Home » date » 2010 » Dec » 21 »

Paper - C&S ACF d=1 D=0

*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: Tue, 21 Dec 2010 13:37:41 +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/21/t1292938534ox2gqmh6j59ybbv.htm/, Retrieved Tue, 21 Dec 2010 14:35:34 +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/21/t1292938534ox2gqmh6j59ybbv.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 «

105.31 105.63 106.02 105.85 106.57 106.48 106.60 106.75 106.69 106.69 106.93 107.21 107.88 108.84 108.96 109.52 108.45 108.67 108.96 108.76 107.85 108.78 107.51 108.83 111.54 111.74 112.04 111.74 111.81 111.86 114.23 114.80 115.17 115.11 114.43 114.66 115.11 117.74 118.18 118.56 117.63 117.71 117.46 117.37 117.34 117.09 116.65 116.71 116.82 117.33 117.95 123.53 124.91 125.99 126.29 125.68 125.52

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	4 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.173433	1.2979	0.099829
2	0.075881	0.5678	0.286206
3	-0.147969	-1.1073	0.136449
4	-0.234142	-1.7522	0.042611
5	-0.165396	-1.2377	0.110493
6	0.084867	0.6351	0.26398
7	0.053874	0.4032	0.344185
8	-0.138656	-1.0376	0.151956
9	-0.07298	-0.5461	0.293572
10	-0.186803	-1.3979	0.083827
11	-0.075555	-0.5654	0.287028
12	0.028744	0.2151	0.415236
13	0.144865	1.0841	0.14149
14	0.226141	1.6923	0.048075
15	0.002054	0.0154	0.493894
16	-0.053641	-0.4014	0.344823
17	-0.127027	-0.9506	0.17295
18	-0.093209	-0.6975	0.244184
19	-0.045457	-0.3402	0.367502
20	0.049024	0.3669	0.357554
21	0.101962	0.763	0.224329
22	-0.001554	-0.0116	0.495382
23	-0.015702	-0.1175	0.453442
24	-0.000991	-0.0074	0.497055
25	-0.02513	-0.1881	0.425757
26	0.044894	0.336	0.369081
27	0.203941	1.5262	0.0663
28	0.133257	0.9972	0.161478
29	-0.089735	-0.6715	0.252328
30	0.031509	0.2358	0.407228
31	-0.152262	-1.1394	0.129688
32	-0.101869	-0.7623	0.224535
33	-0.003991	-0.0299	0.488139
34	-0.030619	-0.2291	0.409802
35	-0.094153	-0.7046	0.241997
36	0.015862	0.1187	0.45297
37	0.002314	0.0173	0.493123
38	0.06919	0.5178	0.303329
39	0.073053	0.5467	0.293385
40	0.025616	0.1917	0.424339
41	-0.001121	-0.0084	0.496669
42	-0.040718	-0.3047	0.380859
43	-0.04873	-0.3647	0.358368
44	-0.032076	-0.24	0.405589
45	-0.025017	-0.1872	0.426087
46	-0.038249	-0.2862	0.38788
47	0.02883	0.2157	0.414986
48	-0.038189	-0.2858	0.38805

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.173433	1.2979	0.099829
2	0.047222	0.3534	0.362566
3	-0.174319	-1.3045	0.098703
4	-0.196098	-1.4675	0.073922
5	-0.082759	-0.6193	0.269112
6	0.147872	1.1066	0.136605
7	-0.015399	-0.1152	0.454334
8	-0.278415	-2.0835	0.020893
9	-0.061654	-0.4614	0.323158
10	-0.095615	-0.7155	0.238631
11	-0.032633	-0.2442	0.403984
12	-0.051868	-0.3881	0.34969
13	0.020552	0.1538	0.439162
14	0.188793	1.4128	0.081624
15	-0.128625	-0.9625	0.169958
16	-0.115822	-0.8667	0.194893
17	-0.025022	-0.1872	0.426071
18	-0.01144	-0.0856	0.466042
19	-0.063651	-0.4763	0.317848
20	-0.10398	-0.7781	0.219889
21	0.100447	0.7517	0.227697
22	0.039122	0.2928	0.385393
23	-0.083414	-0.6242	0.267512
24	0.039624	0.2965	0.383965
25	0.004711	0.0353	0.486
26	0.037613	0.2815	0.389694
27	0.125768	0.9412	0.175333
28	0.04635	0.3469	0.365
29	-0.103383	-0.7736	0.221198
30	0.131816	0.9864	0.164085
31	-0.006632	-0.0496	0.480297
32	-0.023368	-0.1749	0.430907
33	-0.018469	-0.1382	0.445287
34	-0.072316	-0.5412	0.295271
35	-0.057108	-0.4274	0.335378
36	0.053898	0.4033	0.34412
37	0.010509	0.0786	0.4688
38	0.116517	0.8719	0.193485
39	-0.02162	-0.1618	0.436027
40	-0.053137	-0.3976	0.346203
41	-0.043542	-0.3258	0.372881
42	-0.03928	-0.2939	0.384944
43	0.019572	0.1465	0.44204
44	-0.086137	-0.6446	0.260913
45	-0.033672	-0.252	0.400989
46	0.016397	0.1227	0.451389
47	0.034182	0.2558	0.399522
48	-0.07887	-0.5902	0.278713

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292938534ox2gqmh6j59ybbv/15kxf1292938655.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292938534ox2gqmh6j59ybbv/15kxf1292938655.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292938534ox2gqmh6j59ybbv/25kxf1292938655.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292938534ox2gqmh6j59ybbv/25kxf1292938655.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')

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

Software written by Ed van Stee & Patrick Wessa

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by