ACF 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: Tue, 21 Dec 2010 16:34:57 +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/21/t1292949142c2bvdynis0ozuw3.htm/, Retrieved Tue, 21 Dec 2010 17:32:25 +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/21/t1292949142c2bvdynis0ozuw3.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 «

143827 145191 146832 148577 149873 151847 153252 154292 155657 156523 156416 156693 160312 160438 160882 161668 164391 168556 169738 170387 171294 172202 172651 172770 178366 180014 181067 182586 184957 186417 188599 189490 190264 191221 191110 190674 195438 196393 197172 198760 200945 203845 204613 205487 206100 206315 206291 207801 211653 211325 211893 212056 214696 217455 218884 219816 219984 219062 218550 218179 222218 222196 223393 223292 226236 228831 228745 229140 229270 229359 230006 228810 232677 232961 234629 235660 240024 243554 244368 244356 245126 246321 246797 246735 251083 251786 252732 255051 259022 261698 263891 265247 262228 263429 264305 266371 273248 275472 278146 279506 283991 286794 288703 289285 288869 286942 285833 284095 289229 289389 290793 291454 294733 293853 294056 293982 293075 292391

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 0.975388 10.5954 0 2 0.950078 10.3205 0 3 0.924186 10.0392 0 4 0.898199 9.7569 0 5 0.871901 9.4713 0 6 0.845317 9.1825 0 7 0.819584 8.903 0 8 0.793618 8.6209 0 9 0.767735 8.3397 0 10 0.741568 8.0555 0 11 0.716175 7.7796 0 12 0.689533 7.4902 0 13 0.662171 7.193 0 14 0.633443 6.8809 0 15 0.603975 6.5608 0 16 0.574343 6.239 0 17 0.545527 5.9259 0 18 0.518371 5.6309 0 19 0.492552 5.3505 0 20 0.466698 5.0696 1e-06 21 0.44132 4.794 2e-06 22 0.416315 4.5223 7e-06 23 0.392886 4.2678 2e-05 24 0.369414 4.0129 5.3e-05 25 0.34679 3.7671 0.00013 26 0.324522 3.5252 0.000302 27 0.301154 3.2714 0.000702 28 0.278329 3.0234 0.001533 29 0.256362 2.7848 0.003121 30 0.235257 2.5555 0.005936 31 0.215766 2.3438 0.01038 32 0.19674 2.1371 0.017325 33 0.177773 1.9311 0.027934 34 0.15894 1.7265 0.043435 35 0.140841 1.5299 0.064356 36 0.12198 1.325 0.093859 37 0.103767 1.1272 0.130973 38 0.0858 0.932 0.176614 39 0.067872 0.7373 0.23121 40 0.050208 0.5454 0.293255 41 0.033006 0.3585 0.360293 42 0.017465 0.1897 0.424927 43 0.003199 0.0348 0.486168 44 -0.010929 -0.1187 0.452851 45 -0.024782 -0.2692 0.394122 46 -0.038832 -0.4218 0.336959 47 -0.05219 -0.5669 0.285921 48 -0.065901 -0.7159 0.237744 49 -0.07908 -0.859 0.196033 50 -0.092766 -1.0077 0.157831 51 -0.106642 -1.1584 0.124514 52 -0.120618 -1.3102 0.096329 53 -0.13423 -1.4581 0.073733 54 -0.146492 -1.5913 0.057108 55 -0.157685 -1.7129 0.044679 56 -0.169005 -1.8359 0.034447 57 -0.180297 -1.9585 0.026264 58 -0.192329 -2.0892 0.019418 59 -0.203747 -2.2133 0.014401 60 -0.215876 -2.345 0.010348 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.975388 10.5954 0 2 -0.026787 -0.291 0.385787 3 -0.02479 -0.2693 0.394088 4 -0.01507 -0.1637 0.435125 5 -0.019929 -0.2165 0.414492 6 -0.019729 -0.2143 0.415338 7 0.003431 0.0373 0.485168 8 -0.019273 -0.2094 0.417263 9 -0.012965 -0.1408 0.44412 10 -0.020424 -0.2219 0.412405 11 9e-04 0.0098 0.496109 12 -0.041005 -0.4454 0.328414 13 -0.029963 -0.3255 0.372697 14 -0.043955 -0.4775 0.316956 15 -0.031907 -0.3466 0.364754 16 -0.021002 -0.2281 0.409965 17 -0.000467 -0.0051 0.497981 18 0.014801 0.1608 0.436272 19 0.009059 0.0984 0.460889 20 -0.020346 -0.221 0.412731 21 -0.008319 -0.0904 0.464076 22 -0.011588 -0.1259 0.450019 23 0.014934 0.1622 0.435705 24 -0.018166 -0.1973 0.421953 25 0.001464 0.0159 0.493669 26 -0.009307 -0.1011 0.459823 27 -0.038856 -0.4221 0.336867 28 -0.005906 -0.0642 0.474476 29 0.000113 0.0012 0.49951 30 -0.00423 -0.046 0.481713 31 0.013538 0.1471 0.441668 32 -0.011099 -0.1206 0.452119 33 -0.017678 -0.192 0.424024 34 -0.015947 -0.1732 0.431382 35 -0.001183 -0.0129 0.494884 36 -0.034088 -0.3703 0.355916 37 -0.005147 -0.0559 0.477754 38 -0.012101 -0.1314 0.447822 39 -0.016126 -0.1752 0.430623 40 -0.010527 -0.1144 0.454577 41 -0.006188 -0.0672 0.47326 42 0.013624 0.148 0.441301 43 0.007604 0.0826 0.467155 44 -0.018211 -0.1978 0.421761 45 -0.011463 -0.1245 0.450557 46 -0.02115 -0.2298 0.409342 47 0.000945 0.0103 0.495914 48 -0.021734 -0.2361 0.406884 49 -0.004834 -0.0525 0.479106 50 -0.027016 -0.2935 0.384841 51 -0.021273 -0.2311 0.408823 52 -0.018918 -0.2055 0.418766 53 -0.008542 -0.0928 0.463116 54 0.006715 0.0729 0.470987 55 0.003685 0.04 0.484067 56 -0.024026 -0.261 0.397277 57 -0.017466 -0.1897 0.424925 58 -0.034201 -0.3715 0.355458 59 0.00041 0.0045 0.498227 60 -0.030576 -0.3321 0.370186

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949142c2bvdynis0ozuw3/1hi281292949293.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949142c2bvdynis0ozuw3/1hi281292949293.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949142c2bvdynis0ozuw3/2s9jt1292949293.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949142c2bvdynis0ozuw3/2s9jt1292949293.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949142c2bvdynis0ozuw3/3s9jt1292949293.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949142c2bvdynis0ozuw3/3s9jt1292949293.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;

Parameters (R input):

par1 = 60 ; 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 (par8 != '') par8 <- as.numeric(par8) ox <- x if (par8 == '') { if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } } else { x <- log(x,base=par8) } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) bitmap(file='picts.png') op <- par(mfrow=c(2,1)) plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value') if (par8=='') { mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } else { mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } plot(x,type='l', main=mytitle,xlab='time',ylab='value') par(op) dev.off() bitmap(file='pic1.png') racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) dev.off() bitmap(file='pic2.png') rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) 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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