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ACF d=1D=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 14:26:33 +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/t1292855062rsj81inkr4t5qqh.htm/, Retrieved Mon, 20 Dec 2010 15:24:22 +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/t1292855062rsj81inkr4t5qqh.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:

» Textbox « » Textfile « » CSV «

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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.061415	0.5211	0.30194
2	-0.175811	-1.4918	0.070059
3	-0.038535	-0.327	0.372314
4	-0.09901	-0.8401	0.201809
5	-0.163834	-1.3902	0.084379
6	0.044231	0.3753	0.354266
7	0.02225	0.1888	0.425391
8	-0.028301	-0.2401	0.405452
9	-0.093713	-0.7952	0.214561
10	-0.065009	-0.5516	0.291458
11	-0.064655	-0.5486	0.292482
12	0.134221	1.1389	0.12926
13	0.072582	0.6159	0.269958
14	-0.044408	-0.3768	0.353709
15	0.018734	0.159	0.437071
16	0.024111	0.2046	0.419236
17	0.053292	0.4522	0.326242
18	-0.015832	-0.1343	0.446755
19	-0.052282	-0.4436	0.329323
20	-0.117387	-0.9961	0.161277
21	-0.007236	-0.0614	0.475606
22	-0.036739	-0.3117	0.378069
23	0.079991	0.6787	0.249737
24	0.128603	1.0912	0.139404
25	0.004152	0.0352	0.485998
26	-0.026148	-0.2219	0.412522
27	-0.031356	-0.2661	0.395475
28	0.037692	0.3198	0.375014
29	-0.017637	-0.1497	0.440726
30	-0.037768	-0.3205	0.374769
31	-0.072086	-0.6117	0.271341
32	0.026622	0.2259	0.41096
33	-0.059311	-0.5033	0.308156
34	-0.001927	-0.0163	0.493501
35	0.135178	1.147	0.127585
36	0.025869	0.2195	0.413439
37	-0.085498	-0.7255	0.235256
38	-0.042779	-0.363	0.358837
39	0.000394	0.0033	0.498672
40	0.005317	0.0451	0.482069
41	0.027871	0.2365	0.406862
42	-0.136215	-1.1558	0.125788
43	-0.086169	-0.7312	0.233525
44	0.055799	0.4735	0.318654
45	-0.100678	-0.8543	0.197892
46	-0.010325	-0.0876	0.465215
47	0.312904	2.6551	0.004877
48	0.021244	0.1803	0.428727

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.061415	0.5211	0.30194
2	-0.180263	-1.5296	0.065251
3	-0.015273	-0.1296	0.448625
4	-0.131671	-1.1173	0.133797
5	-0.166778	-1.4152	0.080667
6	0.020742	0.176	0.430393
7	-0.056519	-0.4796	0.316491
8	-0.042073	-0.357	0.361066
9	-0.141848	-1.2036	0.116339
10	-0.102592	-0.8705	0.193454
11	-0.115554	-0.9805	0.165058
12	0.085608	0.7264	0.234971
13	-0.020191	-0.1713	0.432225
14	-0.078175	-0.6633	0.254616
15	-0.000904	-0.0077	0.496952
16	-0.008787	-0.0746	0.470387
17	0.105311	0.8936	0.187259
18	-0.047783	-0.4055	0.343174
19	-0.058372	-0.4953	0.310947
20	-0.142333	-1.2077	0.115551
21	0.015828	0.1343	0.446768
22	-0.06492	-0.5509	0.291715
23	0.069975	0.5938	0.277266
24	0.054687	0.464	0.322012
25	-0.038838	-0.3296	0.371347
26	0.053128	0.4508	0.326741
27	-0.041547	-0.3525	0.362731
28	0.102786	0.8722	0.193008
29	-0.079335	-0.6732	0.251495
30	-0.039031	-0.3312	0.370732
31	-0.112327	-0.9531	0.171858
32	0.076637	0.6503	0.258789
33	-0.074206	-0.6297	0.265456
34	0.006365	0.054	0.478537
35	0.11721	0.9946	0.16164
36	-0.064655	-0.5486	0.292482
37	0.018686	0.1586	0.437232
38	-0.116619	-0.9895	0.162856
39	0.03142	0.2666	0.395265
40	-0.092089	-0.7814	0.218563
41	0.005741	0.0487	0.48064
42	-0.252282	-2.1407	0.017843
43	-0.047414	-0.4023	0.344321
44	0.015457	0.1312	0.448009
45	-0.229735	-1.9494	0.027573
46	0.047349	0.4018	0.344522
47	0.080778	0.6854	0.247639
48	-0.009654	-0.0819	0.467469

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855062rsj81inkr4t5qqh/1ip701292855190.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855062rsj81inkr4t5qqh/1ip701292855190.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855062rsj81inkr4t5qqh/2ip701292855190.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292855062rsj81inkr4t5qqh/2ip701292855190.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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

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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