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partial autocorrelation

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Wed, 28 Nov 2007 11:17:29 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Nov/28/t1196273502c8w298l3zqmf37o.htm/, Retrieved Wed, 28 Nov 2007 19:11:42 +0100

User-defined keywords:

Dataseries X:

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103,52 103,5 103,52 103,53 103,53 103,53 103,52 103,54 103,59 103,59 103,59 103,59 103,63 103,74 103,7 103,72 103,81 103,8 104,22 106,91 107,06 107,17 107,25 107,28 107,24 107,23 107,34 107,34 107,3 107,24 107,3 107,32 107,28 107,33 107,33 107,33 107,28 107,28 107,29 107,29 107,23 107,24 107,24 107,2 107,23 107,2 107,21 107,24 107,21 113,89 114,05 114,05 114,05 114,05 115,12 115,68 116,05 116,18 116,35 116,44 117 117,61 118,17 118,33 118,33 118,42 118,5 118,67 119,09 119,14 119,23 119,33

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 3 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 8.4853 0 1 0.955794 8.1102 0 2 0.910003 7.7216 0 3 0.863854 7.33 0 4 0.817337 6.9353 0 5 0.772344 6.5536 0 6 0.724243 6.1454 0 7 0.673977 5.7189 0 8 0.622144 5.2791 1e-06 9 0.569461 4.832 4e-06 10 0.517034 4.3872 1.9e-05 11 0.466826 3.9611 8.7e-05 12 0.417362 3.5414 0.000351 13 0.368453 3.1264 0.001276 14 0.318491 2.7025 0.004289 15 0.268436 2.2778 0.012856 16 0.218977 1.8581 0.033623 17 0.170972 1.4507 0.075597 18 0.125415 1.0642 0.145402 19 0.085447 0.725 0.235388 20 0.051357 0.4358 0.332151 21 0.01773 0.1504 0.440418 22 -0.015694 -0.1332 0.552782 23 -0.048435 -0.411 0.658846 24 -0.050224 -0.4262 0.664369 25 -0.052212 -0.443 0.670466 26 -0.053958 -0.4578 0.67578 27 -0.055377 -0.4699 0.680072 28 -0.057179 -0.4852 0.68549 29 -0.059381 -0.5039 0.692054 30 -0.062404 -0.5295 0.70096 31 -0.073694 -0.6253 0.733128 32 -0.086408 -0.7332 0.767091 33 -0.09954 -0.8446 0.799442 34 -0.112875 -0.9578 0.829309 35 -0.126365 -1.0722 0.856405 36 -0.141178 -1.1979 0.882564 37 -0.15767 -1.3379 0.907426 38 -0.174897 -1.484 0.928919 39 -0.192419 -1.6327 0.946554 40 -0.210034 -1.7822 0.960534 41 -0.228239 -1.9367 0.971645 42 -0.24734 -2.0988 0.980327 43 -0.267221 -2.2674 0.986817 44 -0.28833 -2.4466 0.991567 45 -0.309893 -2.6295 0.994776 46 -0.331635 -2.814 0.996848 47 -0.35306 -2.9958 0.998124 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.955794 8.1102 0 1 -0.040933 -0.3473 0.635322 2 -0.02781 -0.236 0.592939 3 -0.028895 -0.2452 0.596495 4 -0.007754 -0.0658 0.526137 5 -0.062029 -0.5263 0.699863 6 -0.052019 -0.4414 0.669874 7 -0.047508 -0.4031 0.655973 8 -0.040765 -0.3459 0.634786 9 -0.031558 -0.2678 0.605184 10 -0.008352 -0.0709 0.528152 11 -0.025335 -0.215 0.584804 12 -0.027395 -0.2325 0.591579 13 -0.04696 -0.3985 0.654267 14 -0.037139 -0.3151 0.623214 15 -0.033556 -0.2847 0.611667 16 -0.024956 -0.2118 0.583555 17 -0.01475 -0.1252 0.549625 18 0.024348 0.2066 0.418451 19 0.03067 0.2602 0.39771 20 -0.029377 -0.2493 0.598071 21 -0.032795 -0.2783 0.609199 22 -0.028389 -0.2409 0.594838 23 0.326199 2.7679 0.003584 24 -0.038421 -0.326 0.627319 25 -0.022149 -0.1879 0.574274 26 -0.019481 -0.1653 0.565415 27 -0.000841 -0.0071 0.502838 28 -0.043143 -0.3661 0.642311 29 -0.042228 -0.3583 0.639422 30 -0.141174 -1.1979 0.882558 31 -0.049377 -0.419 0.661761 32 -0.036249 -0.3076 0.620357 33 -0.01547 -0.1313 0.552036 34 -0.034979 -0.2968 0.616266 35 -0.036765 -0.312 0.622016 36 -0.051543 -0.4374 0.668418 37 -0.027648 -0.2346 0.592407 38 -0.028617 -0.2428 0.595584 39 -0.02988 -0.2535 0.599713 40 -0.036169 -0.3069 0.620099 41 -0.005647 -0.0479 0.519041 42 0.008044 0.0683 0.472886 43 -0.048494 -0.4115 0.65903 44 -0.044285 -0.3758 0.645905 45 -0.040929 -0.3473 0.635307 46 0.106964 0.9076 0.183553 47 -0.059896 -0.5082 0.693578

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196273502c8w298l3zqmf37o/1usa51196273845.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196273502c8w298l3zqmf37o/1usa51196273845.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196273502c8w298l3zqmf37o/28hdx1196273845.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/28/t1196273502c8w298l3zqmf37o/28hdx1196273845.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(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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