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ACF d=0,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: Fri, 27 Nov 2009 08:55:59 -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/Nov/27/t12593374264dugmoo3dw0kzs6.htm/, Retrieved Fri, 27 Nov 2009 16:57:09 +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/Nov/27/t12593374264dugmoo3dw0kzs6.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

12,6 15,7 13,2 20,3 12,8 8 0,9 3,6 14,1 21,7 24,5 18,9 13,9 11 5,8 15,5 22,4 31,7 30,3 31,4 20,2 19,7 10,8 13,2 15,1 15,6 15,5 12,7 10,9 10 9,1 10,3 16,9 22 27,6 28,9 31 32,9 38,1 28,8 29 21,8 28,8 25,6 28,2 20,2 17,9 16,3 13,2 8,1 4,5 -0,1 0 2,3 2,8 2,9 0,1 3,5 8,6 13,8

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	0.863793	6.6909	0
2	0.682049	5.2831	1e-06
3	0.429836	3.3295	0.000746
4	0.300333	2.3264	0.011697
5	0.21257	1.6466	0.052438
6	0.183261	1.4195	0.08046
7	0.118483	0.9178	0.181207
8	0.028691	0.2222	0.412441
9	-0.115036	-0.8911	0.188227
10	-0.272688	-2.1122	0.019419
11	-0.412092	-3.1921	0.001125
12	-0.483303	-3.7437	0.000204
13	-0.48033	-3.7206	0.00022
14	-0.408538	-3.1645	0.00122
15	-0.317849	-2.462	0.008352
16	-0.230294	-1.7839	0.039753
17	-0.174139	-1.3489	0.091223
18	-0.13225	-1.0244	0.154878
19	-0.085663	-0.6635	0.254763
20	-0.037086	-0.2873	0.387449
21	0.028074	0.2175	0.414293
22	0.066465	0.5148	0.30428
23	0.123454	0.9563	0.171386
24	0.144625	1.1203	0.133533
25	0.176665	1.3684	0.088138
26	0.153183	1.1866	0.12004
27	0.118391	0.9171	0.181393
28	0.046907	0.3633	0.358814
29	-0.021435	-0.166	0.434344
30	-0.105568	-0.8177	0.208374
31	-0.165812	-1.2844	0.101974
32	-0.201615	-1.5617	0.061809
33	-0.200354	-1.5519	0.062968
34	-0.185375	-1.4359	0.078111
35	-0.176862	-1.37	0.087901
36	-0.189636	-1.4689	0.073539

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.863793	6.6909	0
2	-0.252458	-1.9555	0.027591
3	-0.378563	-2.9323	0.002378
4	0.472656	3.6612	0.000266
5	-0.032357	-0.2506	0.401477
6	-0.269341	-2.0863	0.020605
7	-0.028711	-0.2224	0.412382
8	-0.069919	-0.5416	0.295052
9	-0.267378	-2.0711	0.021329
10	-0.213916	-1.657	0.051372
11	0.031133	0.2412	0.405128
12	0.049454	0.3831	0.351512
13	-0.05777	-0.4475	0.328068
14	0.103323	0.8003	0.213337
15	0.091836	0.7114	0.23981
16	0.009493	0.0735	0.470815
17	0.008046	0.0623	0.475256
18	0.040996	0.3176	0.375963
19	0.085417	0.6616	0.255368
20	-0.196895	-1.5251	0.066239
21	-0.049078	-0.3802	0.352585
22	-0.091953	-0.7123	0.23953
23	0.09664	0.7486	0.228522
24	-0.090003	-0.6972	0.244199
25	-0.04085	-0.3164	0.376391
26	0.008998	0.0697	0.472332
27	-0.06421	-0.4974	0.310375
28	-0.021601	-0.1673	0.433841
29	-0.10485	-0.8122	0.209953
30	-0.147443	-1.1421	0.128977
31	0.062436	0.4836	0.315206
32	0.091832	0.7113	0.239819
33	-0.105297	-0.8156	0.208971
34	-0.021445	-0.1661	0.434314
35	0.063342	0.4906	0.312734
36	-0.046702	-0.3618	0.359404

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593374264dugmoo3dw0kzs6/1o27y1259337358.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593374264dugmoo3dw0kzs6/1o27y1259337358.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593374264dugmoo3dw0kzs6/2gihu1259337358.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/27/t12593374264dugmoo3dw0kzs6/2gihu1259337358.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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