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correlation d=1,D=1

*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: Wed, 09 Dec 2009 07:00:29 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/09/t12603673096wlthx202mr8ea0.htm/, Retrieved Wed, 09 Dec 2009 15:01:51 +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/2009/Dec/09/t12603673096wlthx202mr8ea0.htm/},
    year = {2009},
}
@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 = {2009},
    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:

sdws paper

Dataseries X:

» Textbox « » Textfile « » CSV «

518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141 528222 532638 536322 536535 523597 536214 586570 596594 580523 564478

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.12222	1.0371	0.151586
2	0.209307	1.776	0.039976
3	0.243023	2.0621	0.021403
4	0.124569	1.057	0.147022
5	0.110043	0.9337	0.176778
6	0.146785	1.2455	0.10849
7	0.030664	0.2602	0.39773
8	0.16749	1.4212	0.079788
9	0.09688	0.8221	0.20688
10	-0.079455	-0.6742	0.251173
11	0.222762	1.8902	0.031378
12	-0.109497	-0.9291	0.177967
13	-0.007719	-0.0655	0.473978
14	0.191632	1.6261	0.054154
15	0.079756	0.6768	0.250366
16	-0.00362	-0.0307	0.48779
17	0.048479	0.4114	0.341016
18	-0.022228	-0.1886	0.425464
19	0.063338	0.5374	0.29631
20	-0.010604	-0.09	0.464276
21	-0.112522	-0.9548	0.171443
22	-0.027314	-0.2318	0.408689
23	-0.031078	-0.2637	0.396381
24	-0.238467	-2.0235	0.023369
25	-0.100951	-0.8566	0.197255
26	-0.167533	-1.4216	0.079735
27	-0.112995	-0.9588	0.170435
28	-0.102921	-0.8733	0.192697
29	-0.02589	-0.2197	0.41337
30	-0.118299	-1.0038	0.159419
31	-0.049917	-0.4236	0.336576
32	-0.068335	-0.5798	0.281916
33	-0.051106	-0.4336	0.332921
34	-0.019092	-0.162	0.435878
35	0.015024	0.1275	0.449456
36	-0.038917	-0.3302	0.371095

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.12222	1.0371	0.151586
2	0.197317	1.6743	0.049206
3	0.209539	1.778	0.039813
4	0.053216	0.4516	0.326474
5	0.015468	0.1312	0.447972
6	0.065347	0.5545	0.290481
7	-0.042246	-0.3585	0.360522
8	0.113073	0.9595	0.170269
9	0.03989	0.3385	0.367993
10	-0.160729	-1.3638	0.088435
11	0.178238	1.5124	0.067404
12	-0.174249	-1.4786	0.071811
13	-0.019813	-0.1681	0.433479
14	0.196356	1.6661	0.050015
15	0.087384	0.7415	0.230408
16	-0.064405	-0.5465	0.293207
17	-0.08574	-0.7275	0.23463
18	-0.011662	-0.099	0.460724
19	0.032834	0.2786	0.390673
20	-0.040773	-0.346	0.365186
21	-0.058848	-0.4993	0.309531
22	-0.153524	-1.3027	0.098416
23	0.034183	0.2901	0.386304
24	-0.194005	-1.6462	0.052042
25	-0.106887	-0.907	0.183724
26	-0.040102	-0.3403	0.367319
27	0.074412	0.6314	0.264887
28	-0.037335	-0.3168	0.376156
29	0.066109	0.561	0.288284
30	-0.060068	-0.5097	0.305913
31	0.025339	0.215	0.415185
32	0.052938	0.4492	0.32732
33	0.010439	0.0886	0.464832
34	-0.055597	-0.4718	0.319265
35	0.193233	1.6396	0.052721
36	-0.06151	-0.5219	0.30166

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603673096wlthx202mr8ea0/1rdtr1260367226.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603673096wlthx202mr8ea0/1rdtr1260367226.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603673096wlthx202mr8ea0/2klt41260367226.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/09/t12603673096wlthx202mr8ea0/2klt41260367226.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; 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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