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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: Fri, 30 Nov 2007 06:10:53 -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/30/t1196427596cy7zbzy6svf3zs5.htm/, Retrieved Fri, 30 Nov 2007 13:59:56 +0100
 
User-defined keywords:
q1
 
Dataseries X:
» Textbox « » Textfile « » CSV «
12710.3 12120.8 12469.5 12054.6 12112.9 9617.2 12645.8 13581.3 12162.3 10969.7 11880.0 11887.6 12926.9 12300.0 12092.8 12380.8 12196.9 9455.0 13168.0 13427.9 11980.5 11884.8 11691.7 12233.8 14341.4 13130.7 12421.1 14285.8 12864.6 11160.2 14316.2 14388.7 14013.9 13419.0 12769.6 13315.5 15332.9 14243.0 13824.4 14962.9 13202.9 12199.0 15508.9 14199.8 15169.6 14058.0 13786.2 14147.9 16541.7 13587.5 15582.4 15802.8 14130.5 12923.2 15612.2 16033.7 16036.6 14037.8 15330.6 15038.3 17401.8
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
017.81020
10.4820213.76470.000189
20.3462262.70410.004431
30.4556843.5590.000364
40.5142474.01648.2e-05
50.4452543.47750.00047
60.5246554.09776.3e-05
70.2986242.33230.0115
80.4144663.23710.000977
90.3527242.75490.003865
100.1516371.18430.120439
110.2743042.14240.018081
120.5761444.49981.6e-05
130.1772111.38410.085691
140.1140730.89090.188232
150.1371571.07120.144144
160.1441331.12570.132348
170.154841.20930.1156
180.1644081.28410.101988
19-0.025089-0.19590.577349
200.0856260.66880.253085
210.0176350.13770.445453
22-0.167407-1.30750.902024
23-0.001878-0.01470.505826
240.1344281.04990.148949
25-0.132663-1.03610.847885
26-0.15739-1.22930.888151
27-0.174973-1.36660.911613
28-0.136784-1.06830.855206
29-0.122717-0.95850.829191
30-0.150099-1.17230.877185
31-0.268176-2.09450.979812
32-0.13739-1.0730.856262
33-0.231907-1.81120.962487
34-0.319781-2.49760.992391
35-0.208443-1.6280.945659


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.4820213.76470.000189
10.1483511.15870.125556
20.32242.5180.007221
30.279512.1830.016445
40.1428281.11550.1345
50.2950762.30460.012303
6-0.21737-1.69770.952671
70.1976761.54390.063893
8-0.199983-1.56190.93826
9-0.349489-2.72960.995862
100.136341.06480.145571
110.4114213.21330.001049
12-0.2979-2.32670.98834
13-0.047747-0.37290.644748
14-0.118969-0.92920.821769
15-0.172664-1.34850.908766
16-0.086835-0.67820.749897
17-0.013642-0.10650.542251
180.1375761.07450.143415
19-0.095981-0.74960.771822
200.0090770.07090.471856
21-0.035777-0.27940.609569
220.0203780.15920.437035
23-0.092983-0.72620.76476
24-0.005809-0.04540.518019
25-0.024479-0.19120.575493
26-0.092229-0.72030.762963
270.1026590.80180.212893
28-0.175833-1.37330.912656
290.0386880.30220.381779
30-0.025583-0.19980.578852
310.0154460.12060.452188
32-0.017177-0.13420.553139
330.0851910.66540.254164
34-0.097723-0.76320.775868
350.007210.05630.47764
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196427596cy7zbzy6svf3zs5/1k6fp1196428248.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196427596cy7zbzy6svf3zs5/1k6fp1196428248.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196427596cy7zbzy6svf3zs5/2rwed1196428248.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/30/t1196427596cy7zbzy6svf3zs5/2rwed1196428248.ps (open in new window)


 
Parameters:
par1 = 36 ; par2 = 0.0 ; 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')
 





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