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degree of non-seasonal differencing = 1 (Porto)

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R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 25 Jan 2010 07:08:28 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Jan/25/t12644294803gtuctnrpwph0oz.htm/, Retrieved Mon, 25 Jan 2010 15:24:43 +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/Jan/25/t12644294803gtuctnrpwph0oz.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:

KDGP2W21

Dataseries X:

» Textbox « » Textfile « » CSV «

8.2 8.21 8.22 8.2 8.18 8.2 8.19 8.24 8.31 8.27 8.36 8.32 8.29 8.27 8.27 8.43 8.46 8.48 8.46 8.46 8.43 8.4 8.38 8.3 8.39 8.53 8.52 8.54 8.62 8.52 8.49 8.44 8.31 8.26 8.21 8.03 7.89 7.83 7.85 7.84 7.88 8.01 8.08 8.11 8.11 8.07 8.06 7.95 7.95 8.07 8.17 8.21 8.2 8.19 8.18 8.16 8.17 8.17 8.19 8.01 8.04 8.13 8.14 8.17 8.25 8.27 8.27 8.26 8.24 8.21 8.25 8.06 8.16 8.32 8.43 8.39 8.41

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.244212	2.129	0.018247
2	0.016846	0.1469	0.441817
3	0.055282	0.4819	0.315617
4	-0.078409	-0.6836	0.248168
5	-0.180129	-1.5703	0.060247
6	-0.141696	-1.2353	0.110266
7	-0.114396	-0.9973	0.160896
8	-0.028664	-0.2499	0.401675
9	0.065158	0.568	0.285842
10	-0.007841	-0.0684	0.47284
11	-0.04078	-0.3555	0.361597
12	0.209828	1.8292	0.035643
13	-0.009642	-0.0841	0.466616
14	-0.099057	-0.8636	0.195275
15	-0.029228	-0.2548	0.399781
16	0.030919	0.2695	0.394121
17	-0.058094	-0.5064	0.307004
18	-0.072494	-0.632	0.264646
19	-0.12883	-1.1231	0.132463
20	-0.101094	-0.8813	0.190463
21	-0.115501	-1.0069	0.158586
22	-0.037593	-0.3277	0.37201
23	0.192501	1.6782	0.04871
24	0.26298	2.2926	0.012319
25	0.028989	0.2527	0.400582
26	-0.006038	-0.0526	0.479079
27	-0.061399	-0.5353	0.297014
28	-0.129137	-1.1258	0.131898
29	-0.165872	-1.446	0.076139
30	-0.072622	-0.6331	0.264282
31	-0.020497	-0.1787	0.429329
32	0.026438	0.2305	0.409168
33	0.112044	0.9768	0.165889
34	0.055681	0.4854	0.314388
35	0.052025	0.4535	0.325724
36	0.159155	1.3875	0.084675
37	-0.115016	-1.0027	0.159596
38	-0.129727	-1.1309	0.13082
39	0.019242	0.1678	0.433612
40	-0.036603	-0.3191	0.375265
41	-0.065442	-0.5705	0.285008
42	-0.004869	-0.0424	0.483128
43	-0.085059	-0.7415	0.230331
44	-0.121953	-1.0632	0.145537
45	0.026764	0.2333	0.408069
46	0.014401	0.1255	0.450211
47	-0.019771	-0.1724	0.431808
48	0.155087	1.352	0.09019

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.244212	2.129	0.018247
2	-0.045508	-0.3967	0.34634
3	0.06617	0.5769	0.282871
4	-0.115378	-1.0058	0.158841
5	-0.139789	-1.2187	0.113373
6	-0.0779	-0.6791	0.249564
7	-0.065508	-0.5711	0.284814
8	0.02442	0.2129	0.415991
9	0.058291	0.5082	0.306402
10	-0.069107	-0.6025	0.274331
11	-0.0689	-0.6007	0.274927
12	0.211986	1.8481	0.034243
13	-0.133099	-1.1603	0.124773
14	-0.046321	-0.4038	0.34374
15	-0.032542	-0.2837	0.388709
16	0.071196	0.6207	0.268336
17	-0.04922	-0.4291	0.334534
18	-0.055936	-0.4876	0.313604
19	-0.133735	-1.1659	0.123655
20	-0.06017	-0.5245	0.300713
21	-0.139747	-1.2183	0.113443
22	0.035381	0.3084	0.379294
23	0.259417	2.2615	0.013292
24	0.08601	0.7498	0.22784
25	-0.143551	-1.2514	0.107305
26	-0.066168	-0.5768	0.282875
27	-0.09368	-0.8167	0.20833
28	-0.089734	-0.7823	0.218239
29	-0.039026	-0.3402	0.367315
30	0.071715	0.6252	0.266858
31	0.055209	0.4813	0.315843
32	-0.075741	-0.6603	0.255531
33	0.071032	0.6192	0.268803
34	-0.01323	-0.1153	0.454242
35	-0.098344	-0.8573	0.196975
36	0.078687	0.686	0.247408
37	-0.083503	-0.728	0.234438
38	-0.033348	-0.2907	0.38603
39	0.024507	0.2136	0.415699
40	-0.075114	-0.6548	0.257276
41	-0.012275	-0.107	0.457531
42	-0.037399	-0.326	0.372647
43	-0.111195	-0.9694	0.167717
44	-0.015461	-0.1348	0.446568
45	0.08104	0.7065	0.241022
46	-0.081343	-0.7091	0.240205
47	-0.117652	-1.0257	0.15415
48	0.01274	0.1111	0.455927

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644294803gtuctnrpwph0oz/1ujvw1264428507.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644294803gtuctnrpwph0oz/1ujvw1264428507.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644294803gtuctnrpwph0oz/2uke51264428507.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Jan/25/t12644294803gtuctnrpwph0oz/2uke51264428507.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

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