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 16:40:27 +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/t1292949491kfzvu4qzugfl6up.htm/, Retrieved Tue, 21 Dec 2010 17:38:12 +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/t1292949491kfzvu4qzugfl6up.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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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 2 seconds R Server 'RServer@AstonUniversity' @ vre.aston.ac.uk Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.103288 1.1172 0.133093 2 0.032835 0.3552 0.361551 3 -0.121791 -1.3174 0.095143 4 -0.003444 -0.0372 0.485175 5 -0.103171 -1.116 0.133362 6 -0.141673 -1.5324 0.064058 7 -0.007141 -0.0772 0.469283 8 0.010579 0.1144 0.454547 9 -0.12319 -1.3325 0.092641 10 -0.01413 -0.1528 0.439394 11 0.031253 0.3381 0.367963 12 0.626746 6.7793 0 13 0.032339 0.3498 0.36356 14 -0.023379 -0.2529 0.400403 15 -0.146307 -1.5826 0.058111 16 -0.084925 -0.9186 0.180097 17 -0.134384 -1.4536 0.07437 18 -0.238483 -2.5796 0.005565 19 -0.039327 -0.4254 0.335669 20 -0.054159 -0.5858 0.279562 21 -0.070204 -0.7594 0.22458 22 -0.006372 -0.0689 0.472586 23 0.041414 0.448 0.327504 24 0.493451 5.3375 0 25 -0.048499 -0.5246 0.30043 26 -0.075893 -0.8209 0.206683 27 -0.195659 -2.1164 0.018216 28 -0.014666 -0.1586 0.437115 29 -0.125607 -1.3586 0.088436 30 -0.197285 -2.134 0.017467 31 -0.018991 -0.2054 0.418802 32 -0.054541 -0.5899 0.278182 33 -0.118544 -1.2822 0.101146 34 0.006212 0.0672 0.473273 35 0.041777 0.4519 0.326095 36 0.422184 4.5666 6e-06 37 -0.066058 -0.7145 0.238164 38 -0.050264 -0.5437 0.293844 39 -0.197366 -2.1348 0.01743 40 0.001611 0.0174 0.493065 41 -0.086982 -0.9409 0.174359 42 -0.121869 -1.3182 0.095003 43 0.007355 0.0796 0.468363 44 -0.011929 -0.129 0.448778 45 -0.075043 -0.8117 0.209302 46 0.022167 0.2398 0.405462 47 0.038256 0.4138 0.339889 48 0.393778 4.2594 2.1e-05 49 -0.006739 -0.0729 0.471009 50 -0.0147 -0.159 0.43697 51 -0.129051 -1.3959 0.082694 52 0.038794 0.4196 0.337767 53 -0.050276 -0.5438 0.293802 54 -0.077554 -0.8389 0.201624 55 0.006429 0.0695 0.472341 56 -0.006643 -0.0719 0.471419 57 0.015603 0.1688 0.433135 58 0.030618 0.3312 0.370548 59 0.052304 0.5658 0.286322 60 0.306644 3.3169 0.000607 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.103288 1.1172 0.133093 2 0.022406 0.2424 0.404463 3 -0.12886 -1.3938 0.083005 4 0.021958 0.2375 0.406337 5 -0.099333 -1.0745 0.142415 6 -0.142076 -1.5368 0.063522 7 0.032088 0.3471 0.364577 8 -0.009029 -0.0977 0.461182 9 -0.168675 -1.8245 0.035314 10 0.01429 0.1546 0.438712 11 0.016727 0.1809 0.42837 12 0.611468 6.614 0 13 -0.129778 -1.4038 0.08152 14 -0.129817 -1.4042 0.081456 15 -0.051298 -0.5549 0.290019 16 -0.11157 -1.2068 0.114969 17 0.023526 0.2545 0.399791 18 -0.205791 -2.226 0.013966 19 -0.11546 -1.2489 0.107099 20 -0.09644 -1.0432 0.149513 21 0.056884 0.6153 0.269777 22 0.039791 0.4304 0.333844 23 -0.007463 -0.0807 0.4679 24 0.135777 1.4686 0.072306 25 -0.174574 -1.8883 0.030731 26 -0.051906 -0.5615 0.287781 27 -0.112517 -1.2171 0.113015 28 0.130448 1.411 0.080448 29 -0.064224 -0.6947 0.244314 30 -0.041803 -0.4522 0.325993 31 -0.039143 -0.4234 0.336391 32 -0.074095 -0.8015 0.212246 33 -0.09964 -1.0778 0.141675 34 -0.029285 -0.3168 0.375992 35 -0.063872 -0.6909 0.245504 36 -0.033717 -0.3647 0.357995 37 -0.033597 -0.3634 0.358477 38 -0.03557 -0.3847 0.350562 39 -0.021128 -0.2285 0.409815 40 -0.010642 -0.1151 0.454275 41 -0.000465 -0.005 0.497996 42 0.006373 0.0689 0.472579 43 -0.113396 -1.2266 0.111224 44 0.010335 0.1118 0.455589 45 -0.058982 -0.638 0.262363 46 -0.000512 -0.0055 0.497796 47 -0.082219 -0.8893 0.187824 48 0.05314 0.5748 0.283265 49 0.028167 0.3047 0.38058 50 -0.039524 -0.4275 0.334893 51 0.037665 0.4074 0.342226 52 -0.070111 -0.7584 0.224878 53 0.010359 0.112 0.45549 54 0.009679 0.1047 0.458399 55 -0.094787 -1.0253 0.153673 56 -0.048629 -0.526 0.299941 57 0.129258 1.3981 0.082357 58 -0.034494 -0.3731 0.354869 59 -0.022586 -0.2443 0.403712 60 -0.054755 -0.5923 0.277406

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949491kfzvu4qzugfl6up/1orb51292949623.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949491kfzvu4qzugfl6up/1orb51292949623.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949491kfzvu4qzugfl6up/2hiaq1292949623.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949491kfzvu4qzugfl6up/2hiaq1292949623.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949491kfzvu4qzugfl6up/3hiaq1292949623.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/21/t1292949491kfzvu4qzugfl6up/3hiaq1292949623.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 = 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 (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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