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Paper toepassing ACF d = 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: Mon, 21 Dec 2009 07:27:06 -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/21/t1261405725ea2yt16zkm1fvuh.htm/, Retrieved Mon, 21 Dec 2009 15:28:47 +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/21/t1261405725ea2yt16zkm1fvuh.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:

Shw; Paper toepassing ACF d = D = 1

Dataseries X:

» Textbox « » Textfile « » CSV «

103.1 103.1 103.3 103.5 103.3 103.5 103.8 103.9 103.9 104.2 104.6 104.9 105.2 105.2 105.6 105.6 106.2 106.3 106.4 106.9 107.2 107.3 107.3 107.4 107.55 107.87 108.37 108.38 107.92 108.03 108.14 108.3 108.64 108.66 109.04 109.03 109.03 109.54 109.75 109.83 109.65 109.82 109.95 110.12 110.15 110.2 109.99 110.14 110.14 110.81 110.97 110.99 109.73 109.81 110.02 110.18 110.21 110.25 110.36 110.51 110.64 110.95 111.18 111.19 111.69 111.7 111.83 111.77 111.73 112.01 111.86 112.04

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	-0.062381	-0.4792	0.3168
2	-0.0265	-0.2036	0.419703
3	-0.17039	-1.3088	0.09784
4	0.005815	0.0447	0.482262
5	0.05799	0.4454	0.32882
6	0.03782	0.2905	0.386227
7	0.036804	0.2827	0.389201
8	-0.009128	-0.0701	0.472171
9	0.016855	0.1295	0.448715
10	0.047379	0.3639	0.358609
11	-0.016795	-0.129	0.448895
12	-0.496018	-3.81	0.000167
13	0.024338	0.1869	0.426174
14	0.00342	0.0263	0.489564
15	0.097867	0.7517	0.227601
16	0.034654	0.2662	0.395513
17	0.009998	0.0768	0.469523
18	-0.050888	-0.3909	0.348647
19	-0.065173	-0.5006	0.309256
20	-0.054135	-0.4158	0.339525
21	0.054319	0.4172	0.339012
22	0.004886	0.0375	0.485094
23	0.045838	0.3521	0.363012
24	0.257514	1.978	0.026302
25	-0.000641	-0.0049	0.498043
26	-0.083642	-0.6425	0.261529
27	-0.063429	-0.4872	0.313958
28	-0.017268	-0.1326	0.447467
29	0.037238	0.286	0.387927
30	0.040926	0.3144	0.377179
31	0.020988	0.1612	0.436238
32	-0.05148	-0.3954	0.346978
33	-0.069828	-0.5364	0.296863
34	0.009744	0.0748	0.470295
35	0.03181	0.2443	0.403908
36	-0.368707	-2.8321	0.003158

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.062381	-0.4792	0.3168
2	-0.03051	-0.2344	0.407761
3	-0.17484	-1.343	0.092213
4	-0.01872	-0.1438	0.443079
5	0.047004	0.361	0.359679
6	0.015639	0.1201	0.452397
7	0.043927	0.3374	0.368502
8	0.017268	0.1326	0.447465
9	0.030947	0.2377	0.406464
10	0.064753	0.4974	0.310385
11	-0.00906	-0.0696	0.472378
12	-0.514901	-3.955	0.000104
13	-0.055204	-0.424	0.336544
14	-0.039962	-0.307	0.379978
15	-0.107961	-0.8293	0.205149
16	0.048879	0.3754	0.354338
17	0.113602	0.8726	0.193211
18	0.011878	0.0912	0.463806
19	0.024607	0.189	0.425367
20	-0.054699	-0.4202	0.337951
21	0.012809	0.0984	0.460977
22	0.039235	0.3014	0.382095
23	-0.019488	-0.1497	0.440759
24	0.029508	0.2267	0.410737
25	0.065556	0.5035	0.308227
26	-0.114028	-0.8759	0.192327
27	-0.031388	-0.2411	0.405158
28	0.025445	0.1954	0.422857
29	0.020467	0.1572	0.43781
30	0.010266	0.0789	0.468706
31	-0.024347	-0.187	0.426145
32	-0.140775	-1.0813	0.141979
33	-0.030896	-0.2373	0.406616
34	-0.002577	-0.0198	0.492138
35	0.045823	0.352	0.363055
36	-0.304948	-2.3423	0.011278

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261405725ea2yt16zkm1fvuh/1x9y51261405624.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261405725ea2yt16zkm1fvuh/1x9y51261405624.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261405725ea2yt16zkm1fvuh/2v3uh1261405624.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/21/t1261405725ea2yt16zkm1fvuh/2v3uh1261405624.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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