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ACF d=1D=0 Likeur

*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 14:29:20 +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/t1292855232gw2osv30ctwgqxy.htm/, Retrieved Mon, 20 Dec 2010 15:27:12 +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/t1292855232gw2osv30ctwgqxy.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 «
25,00 25,09 25,03 25,21 25,33 25,23 25,13 25,03 25,03 25,15 25,18 24,90 25,18 25,25 25,28 25,32 25,27 25,22 25,14 25,41 25,72 25,66 25,65 25,27 23,90 24,06 24,33 24,39 24,39 24,49 24,83 25,08 25,11 25,13 25,17 25,11 25,35 25,36 25,35 25,34 25,39 25,58 25,71 25,66 25,74 25,73 25,72 25,55 25,71 25,92 25,93 26,00 26,02 26,08 26,17 26,18 26,21 26,28 26,34 26,17 26,38 26,36 26,27 26,26 26,49 26,99 27,14 27,10 27,01 26,93 26,97 26,35 26,93
 
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
10.0612190.51950.302516
2-0.113957-0.9670.168402
3-0.071204-0.60420.273809
4-0.126158-1.07050.143988
5-0.074745-0.63420.26397
6-0.092614-0.78590.217264
7-0.018258-0.15490.438658
80.0217470.18450.427057
9-0.013309-0.11290.4552
100.0192860.16360.435233
110.0214660.18210.427989
12-0.030156-0.25590.399385
130.0278960.23670.406777
14-0.023853-0.20240.420087
15-0.022452-0.19050.424723
160.0836680.70990.240015
170.0154570.13120.448009
18-0.002686-0.02280.49094
190.0307150.26060.397562
20-0.111299-0.94440.174061
21-0.02262-0.19190.424166
220.0470830.39950.345348
230.0675050.57280.284284
240.0637070.54060.295234
25-0.125525-1.06510.145192
26-0.023432-0.19880.42148
27-0.030723-0.26070.397536
280.0224720.19070.424657
290.0119910.10170.459622
30-0.027008-0.22920.409693
31-0.00734-0.06230.475257
320.0047190.040.484086
33-0.017473-0.14830.441275
340.0214140.18170.428163
350.0629810.53440.297352
360.0172760.14660.441931
37-0.027115-0.23010.409342
380.0424950.36060.359734
390.0413970.35130.363208
40-0.06986-0.59280.277591
41-0.176857-1.50070.068906
42-0.087361-0.74130.230467
43-0.021387-0.18150.428252
440.0275740.2340.407835
450.0776070.65850.256154
460.0487910.4140.340051
470.2099611.78160.039517
48-0.121212-1.02850.153574


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.0612190.51950.302516
2-0.118147-1.00250.159727
3-0.05718-0.48520.314507
4-0.13408-1.13770.129508
5-0.0775-0.65760.256444
6-0.126005-1.06920.144279
7-0.048503-0.41160.340942
8-0.035366-0.30010.382486
9-0.062142-0.52730.299806
10-0.022735-0.19290.423787
11-0.018209-0.15450.438819
12-0.059357-0.50370.30802
130.0126310.10720.457475
14-0.049006-0.41580.339385
15-0.030437-0.25830.398469
160.0692090.58730.279434
17-0.000748-0.00630.497477
180.0015780.01340.494677
190.0411920.34950.363858
20-0.105675-0.89670.186437
210.0004840.00410.498367
220.0449560.38150.351991
230.0644380.54680.293112
240.0525010.44550.328653
25-0.114767-0.97380.166701
26-0.001973-0.01670.493344
27-0.045235-0.38380.351117
280.0488940.41490.339731
29-0.022207-0.18840.425533
30-0.03108-0.26370.396374
31-0.028882-0.24510.40355
32-0.026673-0.22630.410794
33-0.029236-0.24810.402392
340.004820.04090.483744
350.0373880.31720.375986
360.0213550.18120.428357
37-0.028241-0.23960.405648
380.0644660.5470.293031
390.0405550.34410.365879
40-0.072684-0.61670.269676
41-0.154942-1.31470.096388
42-0.080449-0.68260.248516
43-0.049728-0.4220.337156
44-0.002137-0.01810.492791
45-0.023961-0.20330.419732
46-0.033929-0.28790.387127
470.1795951.52390.065955
48-0.163756-1.38950.084479
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855232gw2osv30ctwgqxy/1rbdb1292855357.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855232gw2osv30ctwgqxy/1rbdb1292855357.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855232gw2osv30ctwgqxy/2k2dw1292855357.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855232gw2osv30ctwgqxy/2k2dw1292855357.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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