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ACF d=1D=0 Jenever

*The author of this computation has been verified*
R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Mon, 20 Dec 2010 13:39:58 +0000
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/20/t129285232300d3i86sy82xjrf.htm/, Retrieved Mon, 20 Dec 2010 14:38:43 +0100
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Dec/20/t129285232300d3i86sy82xjrf.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
11.04 11.02 11.03 11.17 11.19 11.15 11.13 11.06 11.01 11.03 10.99 10.94 11.00 11.06 11.06 11.05 11.04 11.15 11.20 11.16 11.30 11.23 11.25 11.25 11.12 11.14 11.17 11.25 11.27 11.34 11.39 11.44 11.46 11.49 11.51 11.48 11.49 11.52 11.56 11.58 11.58 11.58 11.60 11.62 11.62 11.64 11.67 11.66 11.72 11.82 11.90 12.04 12.08 12.15 12.19 12.22 12.23 12.25 12.26 12.27 12.34 12.38 12.42 12.43 12.48 12.50 12.50 12.49 12.46 12.45 12.45 12.38 12.42
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.1511571.28260.101871
20.1223371.03810.151357
30.1942241.6480.05185
4-0.113737-0.96510.168865
50.0244080.20710.418254
6-0.133189-1.13010.131083
7-0.152986-1.29810.099194
8-0.061704-0.52360.30109
90.0440350.37360.354882
100.0198510.16840.433355
110.039240.3330.370064
12-0.049606-0.42090.337533
130.0390820.33160.370568
140.1499071.2720.103733
15-0.068265-0.57920.282116
16-0.03342-0.28360.388775
170.0852320.72320.235945
18-0.123168-1.04510.149733
19-0.040412-0.34290.366334
20-0.071775-0.6090.27221
21-0.115104-0.97670.165997
22-0.023573-0.20.421012
230.046220.39220.348038
240.0591290.50170.308697
25-0.065514-0.55590.289999
26-0.002601-0.02210.491227
27-0.124402-1.05560.147344
28-0.003556-0.03020.488005
29-0.030632-0.25990.397833
30-0.045742-0.38810.34953
310.103670.87970.190982
32-0.031442-0.26680.395195
330.1038110.88090.19066
340.0936370.79450.214748
350.042930.36430.358362
360.0058330.04950.480331
37-0.027674-0.23480.407507
38-0.077783-0.660.255677
39-0.070608-0.59910.275485
40-0.095091-0.80690.211198
41-0.163198-1.38480.085198
42-0.086773-0.73630.231971
43-0.100687-0.85440.19787
44-0.103832-0.8810.190612
45-0.023669-0.20080.420696
46-0.011458-0.09720.461408
470.1154690.97980.165235
480.0374910.31810.375656


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.1511571.28260.101871
20.1018150.86390.195249
30.1677571.42350.07946
4-0.18282-1.55130.06261
50.0304880.25870.398303
6-0.159686-1.3550.08983
7-0.064954-0.55120.291617
8-0.042204-0.35810.360655
90.1626211.37990.085946
100.0031610.02680.489339
110.0261610.2220.412478
12-0.150469-1.27680.102893
130.0648870.55060.291812
140.1187521.00760.1585
15-0.055257-0.46890.320289
16-0.072469-0.61490.270274
170.1208321.02530.154328
18-0.137107-1.16340.124257
19-0.050912-0.4320.333514
20-0.070302-0.59650.276346
210.045990.39020.348756
22-0.0534-0.45310.325915
230.1081740.91790.180871
240.0213690.18130.428311
25-0.107848-0.91510.181592
26-0.077287-0.65580.257022
27-0.166122-1.40960.081482
280.0742650.63020.265294
290.0593250.50340.308113
300.0541140.45920.323747
310.0416340.35330.362457
32-0.041991-0.35630.361328
330.0069980.05940.476407
340.0114510.09720.461432
350.1188991.00890.158203
36-0.037681-0.31970.375048
37-0.05594-0.47470.318232
38-0.118041-1.00160.159943
39-0.011745-0.09970.460444
40-0.105129-0.8920.18767
41-0.063225-0.53650.296638
42-0.032848-0.27870.390629
43-0.034293-0.2910.385948
44-0.09541-0.80960.210424
45-0.071653-0.6080.272552
460.0006060.00510.497954
470.1172140.99460.161632
48-0.103438-0.87770.191514
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/20/t129285232300d3i86sy82xjrf/1nv091292852394.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t129285232300d3i86sy82xjrf/1nv091292852394.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/20/t129285232300d3i86sy82xjrf/2gn0u1292852394.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t129285232300d3i86sy82xjrf/2gn0u1292852394.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
R code (references can be found in the software module):
if (par1 == 'Default') {
par1 = 10*log10(length(x))
} else {
par1 <- as.numeric(par1)
}
par2 <- as.numeric(par2)
par3 <- as.numeric(par3)
par4 <- as.numeric(par4)
par5 <- as.numeric(par5)
if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
dev.off()
(myacf <- c(racf$acf))
(mypacf <- c(rpacf$acf))
lengthx <- length(x)
sqrtn <- sqrt(lengthx)
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 2:(par1+1)) {
a<-table.row.start(a)
a<-table.element(a,i-1,header=TRUE)
a<-table.element(a,round(myacf[i],6))
mytstat <- myacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:par1) {
a<-table.row.start(a)
a<-table.element(a,i,header=TRUE)
a<-table.element(a,round(mypacf[i],6))
mytstat <- mypacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
 




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This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa


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