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Q2 Autocorrelation (d=1, D=1)

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 25 Nov 2007 09:29:47 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/25/t1196007680rsrwrcl9pbn52pz.htm/, Retrieved Sun, 25 Nov 2007 17:21:22 +0100

User-defined keywords:

Dataseries X:

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105.1 113.3 99.1 100.3 93.5 98.8 106.2 98.3 102.1 117.1 101.5 80.5 105.9 109.5 97.2 114.5 93.5 100.9 121.1 116.5 109.3 118.1 108.3 105.4 116.2 111.2 105.8 122.7 99.5 107.9 124.6 115 110.3 132.7 99.7 96.5 118.7 112.9 130.5 137.9 115 116.8 140.9 120.7 134.2 147.3 112.4 107.1 128.4 137.7 135 151 137.4 132.4 161.3 139.8 146 154.6 142.1 120.5

Text written by user:

Output produced by software:

Summary of compuational 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 0 1 6.8557 0 1 -0.41033 -2.8131 0.99643 2 -0.167141 -1.1459 0.871173 3 0.054233 0.3718 0.355855 4 0.047383 0.3248 0.37337 5 0.030411 0.2085 0.417874 6 -0.004065 -0.0279 0.511058 7 -0.000191 -0.0013 0.500519 8 -0.129492 -0.8877 0.810402 9 0.144655 0.9917 0.16321 10 -0.083704 -0.5738 0.715596 11 0.107542 0.7373 0.232311 12 -0.152392 -1.0447 0.849258 13 -0.029969 -0.2055 0.58095 14 0.135206 0.9269 0.17935 15 -0.06552 -0.4492 0.672318 16 0.146688 1.0056 0.159869 17 -0.207457 -1.4223 0.919222 18 0.063791 0.4373 0.331937 19 -0.02071 -0.142 0.556149 20 0.0239 0.1639 0.435275 21 0.03035 0.2081 0.418038 22 0.015692 0.1076 0.457394 23 0.046899 0.3215 0.37462 24 -0.212685 -1.4581 0.924268 25 0.137921 0.9455 0.17461 26 0.088251 0.605 0.274039 27 -0.088411 -0.6061 0.726323 28 -0.094208 -0.6459 0.739244 29 0.121666 0.8341 0.204222 30 -0.014359 -0.0984 0.538998 31 -0.001351 -0.0093 0.503674 32 0.013143 0.0901 0.464295 33 -0.085507 -0.5862 0.71973 34 0.055498 0.3805 0.352653 35 0.038346 0.2629 0.396895 36 -0.022699 -0.1556 0.5615 37 0.026647 0.1827 0.427917 38 -0.084925 -0.5822 0.718397 39 0.040656 0.2787 0.390839 40 0.06399 0.4387 0.331446 41 -0.045004 -0.3085 0.620479 42 -0.079929 -0.548 0.706847 43 0.114887 0.7876 0.217434 44 -0.037663 -0.2582 0.601311 45 -0.025008 -0.1714 0.567697 46 0.014966 0.1026 0.459358 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.41033 -2.8131 0.99643 1 -0.403439 -2.7658 0.995955 2 -0.298105 -2.0437 0.976695 3 -0.210134 -1.4406 0.921838 4 -0.092995 -0.6375 0.736568 5 -0.004865 -0.0334 0.513234 6 0.067527 0.4629 0.322772 7 -0.112938 -0.7743 0.778674 8 0.013769 0.0944 0.462598 9 -0.125746 -0.8621 0.803487 10 0.061225 0.4197 0.338296 11 -0.128204 -0.8789 0.808043 12 -0.204306 -1.4007 0.916057 13 -0.117214 -0.8036 0.787158 14 -0.176679 -1.2112 0.884072 15 0.126663 0.8684 0.194805 16 -0.040349 -0.2766 0.608358 17 0.013987 0.0959 0.462008 18 -0.097288 -0.667 0.745974 19 -0.203602 -1.3958 0.915337 20 -0.144586 -0.9912 0.836676 21 -0.064118 -0.4396 0.668868 22 0.156785 1.0749 0.143961 23 -0.07208 -0.4942 0.68825 24 -0.135326 -0.9277 0.82086 25 0.042251 0.2897 0.386676 26 -0.077637 -0.5323 0.701471 27 -0.088189 -0.6046 0.72582 28 -0.045062 -0.3089 0.62063 29 -0.12714 -0.8716 0.806078 30 -0.027305 -0.1872 0.573844 31 -0.116004 -0.7953 0.784776 32 -0.009838 -0.0674 0.526742 33 -0.015512 -0.1063 0.542121 34 0.069874 0.479 0.317069 35 -0.026021 -0.1784 0.570407 36 -0.053161 -0.3645 0.641423 37 -0.087522 -0.6 0.724314 38 -0.072691 -0.4983 0.689717 39 0.08124 0.557 0.290102 40 0.052263 0.3583 0.360864 41 -0.100679 -0.6902 0.753274 42 0.053949 0.3699 0.356577 43 -0.036939 -0.2532 0.599407 44 -0.028972 -0.1986 0.578292 45 -0.006596 -0.0452 0.517939 46 NA NA NA 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196007680rsrwrcl9pbn52pz/1587b1196008185.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196007680rsrwrcl9pbn52pz/1587b1196008185.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196007680rsrwrcl9pbn52pz/2r9qi1196008185.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196007680rsrwrcl9pbn52pz/2r9qi1196008185.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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