ACF d=D=0 Whisky

*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, 20 Dec 2010 14:24:52 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/20/t1292854964l85kwc88vvtwju5.htm/, Retrieved Mon, 20 Dec 2010 15:22:46 +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/Dec/20/t1292854964l85kwc88vvtwju5.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:

Dataseries X:

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16,46 16,49 16,59 16,58 16,60 16,55 16,57 16,51 16,50 16,49 16,44 16,26 16,33 16,72 16,75 16,74 16,84 16,79 16,66 16,69 16,84 16,86 16,76 16,72 16,29 16,29 16,46 16,54 16,70 16,82 16,88 16,89 16,92 16,88 16,91 16,80 16,78 17,03 17,18 17,12 17,11 17,14 17,17 17,21 17,22 17,19 17,15 17,10 17,21 17,33 17,30 17,33 17,35 17,43 17,46 17,50 17,54 17,56 17,44 17,41 17,72 17,79 17,83 17,76 17,95 17,91 17,96 17,98 17,89 17,88 17,91 17,51 17,63

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 4 seconds R Server 'George Udny Yule' @ 72.249.76.132 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.949746 8.1146 0 2 0.899914 7.6889 0 3 0.849352 7.2569 0 4 0.800461 6.8391 0 5 0.756536 6.4638 0 6 0.716175 6.119 0 7 0.673139 5.7513 0 8 0.626933 5.3565 0 9 0.579227 4.9489 2e-06 10 0.541763 4.6288 8e-06 11 0.502615 4.2943 2.7e-05 12 0.460777 3.9369 9.3e-05 13 0.414227 3.5392 0.000351 14 0.386433 3.3017 0.000745 15 0.36045 3.0797 0.00146 16 0.327982 2.8023 0.003247 17 0.297316 2.5403 0.006602 18 0.262146 2.2398 0.014076 19 0.223702 1.9113 0.029945 20 0.189421 1.6184 0.054943 21 0.169221 1.4458 0.076253 22 0.150047 1.282 0.101949 23 0.129736 1.1085 0.135649 24 0.101342 0.8659 0.194701 25 0.053126 0.4539 0.325622 26 0.00719 0.0614 0.475591 27 -0.034008 -0.2906 0.386105 28 -0.07293 -0.6231 0.267576 29 -0.11046 -0.9438 0.1742 30 -0.143252 -1.2239 0.112454 31 -0.17111 -1.462 0.074021 32 -0.194044 -1.6579 0.050814 33 -0.217187 -1.8556 0.03377 34 -0.239262 -2.0443 0.022268 35 -0.262967 -2.2468 0.013839 36 -0.294274 -2.5143 0.007066 37 -0.320006 -2.7341 0.003922 38 -0.332983 -2.845 0.00288 39 -0.342212 -2.9239 0.002301 40 -0.352919 -3.0153 0.001765 41 -0.366064 -3.1277 0.001266 42 -0.379215 -3.24 0.000901 43 -0.383258 -3.2746 0.00081 44 -0.37907 -3.2388 0.000904 45 -0.374024 -3.1957 0.001031 46 -0.358756 -3.0652 0.001524 47 -0.341643 -2.919 0.002333 48 -0.339148 -2.8977 0.00248 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.949746 8.1146 0 2 -0.021464 -0.1834 0.427501 3 -0.033663 -0.2876 0.387228 4 -0.010326 -0.0882 0.464968 5 0.023798 0.2033 0.419722 6 0.011453 0.0979 0.461157 7 -0.051463 -0.4397 0.330727 8 -0.057711 -0.4931 0.311718 9 -0.04011 -0.3427 0.366404 10 0.078721 0.6726 0.251665 11 -0.04318 -0.3689 0.356623 12 -0.062522 -0.5342 0.297417 13 -0.078331 -0.6693 0.252721 14 0.175507 1.4995 0.069025 15 0.006761 0.0578 0.477045 16 -0.110999 -0.9484 0.173034 17 -0.02044 -0.1746 0.430924 18 -0.047149 -0.4028 0.344122 19 -0.027325 -0.2335 0.408028 20 -0.003903 -0.0333 0.486745 21 0.097323 0.8315 0.204193 22 -0.029255 -0.25 0.401661 23 0.002528 0.0216 0.491414 24 -0.102303 -0.8741 0.192471 25 -0.255368 -2.1819 0.016169 26 -0.021162 -0.1808 0.428508 27 0.057881 0.4945 0.311207 28 -0.018047 -0.1542 0.43894 29 -0.09275 -0.7925 0.215331 30 0.041794 0.3571 0.36103 31 0.039336 0.3361 0.368885 32 0.009088 0.0776 0.46916 33 -0.061908 -0.5289 0.299224 34 -0.020828 -0.178 0.429626 35 -0.014141 -0.1208 0.452083 36 -0.093788 -0.8013 0.212772 37 0.000818 0.007 0.497221 38 -0.012597 -0.1076 0.457291 39 0.028858 0.2466 0.402968 40 0.020734 0.1772 0.42994 41 -0.04745 -0.4054 0.34318 42 -0.046223 -0.3949 0.347024 43 0.1214 1.0372 0.151523 44 0.072504 0.6195 0.268767 45 -0.125446 -1.0718 0.143668 46 0.086623 0.7401 0.230805 47 0.094011 0.8032 0.212224 48 -0.14384 -1.229 0.111515

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292854964l85kwc88vvtwju5/1k2dw1292855088.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292854964l85kwc88vvtwju5/1k2dw1292855088.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292854964l85kwc88vvtwju5/2k2dw1292855088.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/20/t1292854964l85kwc88vvtwju5/2k2dw1292855088.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')

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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