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Partial autcorrelation function d=1 Paper

*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: Thu, 11 Dec 2008 07:53:43 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/11/t1229007323nk3rlzm79vpaa51.htm/, Retrieved Thu, 11 Dec 2008 14:55:25 +0000

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/2008/Dec/11/t1229007323nk3rlzm79vpaa51.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

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User-defined keywords:

Partial autcorrelation function d=1 Paper

Dataseries X:

» Textbox « » Textfile « » CSV «

14929387.5 14717825.3 15826281.2 16301309.6 15033016.9 16998460.6 14066462.7 13328937.3 17319718.2 17586426.8 15887037.4 17935679.1 15869489 15892510.9 17556558.1 16791643 15953688.5 18144913.6 14390881 13885708.7 17332571.5 17152595.8 16003877.1 16841467.1 14783398.1 14667847.5 17714362.2 16282088 15014866.2 17722582.4 13876509.4 15495489.6 17799521.1 17920079.1 17248022.4 18813782.4 16249688.3 17823358.5 20424438.3 17814218.7 19699959.6 19776328.1 15679833.1 17119266.5 20092613 20863688.3 20925203.1 21032593 20664684.3 19711511.4 22553293.4 19498332.9 20722827.8 21321275 17960847.7 17789654.9 20003708.5 21169851.7 20422839.4 19810562.3

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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.354421	-2.7224	0.004255
2	-0.349878	-2.6875	0.00467
3	0.440912	3.3867	0.000632
4	-0.32881	-2.5256	0.007127
5	-0.172014	-1.3213	0.095757
6	0.589045	4.5245	1.5e-05
7	-0.269427	-2.0695	0.021443
8	-0.207032	-1.5902	0.058562
9	0.397612	3.0541	0.001692
10	-0.399925	-3.0719	0.001608
11	-0.159014	-1.2214	0.113394
12	0.688084	5.2853	1e-06
13	-0.286209	-2.1984	0.015927
14	-0.208752	-1.6035	0.057087
15	0.316633	2.4321	0.009032
16	-0.332921	-2.5572	0.006571
17	-0.044033	-0.3382	0.368198
18	0.429449	3.2987	0.000825
19	-0.250063	-1.9208	0.029799
20	-0.098278	-0.7549	0.22666
21	0.281005	2.1584	0.017487
22	-0.378011	-2.9036	0.002592
23	0.009718	0.0746	0.470375
24	0.443669	3.4079	0.000593
25	-0.281706	-2.1638	0.017269
26	-0.036795	-0.2826	0.389225
27	0.173683	1.3341	0.093651
28	-0.249981	-1.9201	0.029839
29	0.040765	0.3131	0.377645
30	0.242797	1.865	0.033581
31	-0.187856	-1.443	0.077161
32	0.01211	0.093	0.463103
33	0.133988	1.0292	0.153797
34	-0.274454	-2.1081	0.019639
35	0.07955	0.611	0.271762
36	0.225623	1.733	0.044156
37	-0.100695	-0.7735	0.221171
38	-0.057728	-0.4434	0.329543
39	0.070581	0.5421	0.294881
40	-0.103518	-0.7951	0.214861
41	0.018711	0.1437	0.443105
42	0.104918	0.8059	0.211771
43	-0.073499	-0.5646	0.287259
44	-0.011061	-0.085	0.466291
45	0.078766	0.605	0.273746
46	-0.123938	-0.952	0.172494
47	0.022988	0.1766	0.430224
48	0.091925	0.7061	0.241456
49	-0.028722	-0.2206	0.413077
50	-0.018839	-0.1447	0.442717
51	-0.009405	-0.0722	0.471326
52	-0.006935	-0.0533	0.478848
53	0.002943	0.0226	0.49102
54	0.011169	0.0858	0.46596
55	0.004907	0.0377	0.485032
56	-0.006449	-0.0495	0.480329
57	-0.002095	-0.0161	0.493606
58	0.000914	0.007	0.49721
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.354421	-2.7224	0.004255
2	-0.543802	-4.177	4.9e-05
3	0.092138	0.7077	0.240951
4	-0.408827	-3.1403	0.001319
5	-0.393966	-3.0261	0.001834
6	0.146878	1.1282	0.131903
7	0.000235	0.0018	0.499284
8	-0.009956	-0.0765	0.46965
9	0.117529	0.9028	0.185163
10	-0.226123	-1.7369	0.043813
11	-0.38467	-2.9547	0.002245
12	0.200227	1.538	0.064701
13	0.179457	1.3784	0.086637
14	0.149976	1.152	0.126987
15	-0.066477	-0.5106	0.305762
16	-0.046426	-0.3566	0.361331
17	0.026194	0.2012	0.420617
18	-0.121726	-0.935	0.1768
19	-0.082047	-0.6302	0.265493
20	-0.100409	-0.7713	0.221818
21	-0.081914	-0.6292	0.265825
22	-0.166142	-1.2762	0.103449
23	-0.003502	-0.0269	0.489317
24	-0.02668	-0.2049	0.419166
25	-0.160774	-1.2349	0.110877
26	-0.085093	-0.6536	0.25795
27	-0.149252	-1.1464	0.128124
28	0.087654	0.6733	0.251697
29	-0.001859	-0.0143	0.494329
30	-0.090388	-0.6943	0.245114
31	-0.043936	-0.3375	0.368477
32	-0.036086	-0.2772	0.391305
33	-0.024273	-0.1864	0.426368
34	-0.040023	-0.3074	0.379801
35	-0.066113	-0.5078	0.306735
36	-0.166443	-1.2785	0.103044
37	0.201521	1.5479	0.063496
38	-0.038323	-0.2944	0.384756
39	0.019626	0.1507	0.440344
40	0.013366	0.1027	0.459289
41	-0.027611	-0.2121	0.416387
42	-0.032009	-0.2459	0.40332
43	-0.099264	-0.7625	0.224412
44	-0.115398	-0.8864	0.189504
45	-0.043268	-0.3323	0.370402
46	0.03565	0.2738	0.392586
47	0.048853	0.3752	0.354411
48	0.00773	0.0594	0.476426
49	-0.222523	-1.7092	0.046332
50	-0.059001	-0.4532	0.326036
51	-0.068951	-0.5296	0.29918
52	-0.077417	-0.5947	0.277175
53	-0.003489	-0.0268	0.489357
54	-0.080586	-0.619	0.269152
55	0.012114	0.093	0.46309
56	0.032066	0.2463	0.403152
57	0.016083	0.1235	0.451051
58	-0.054018	-0.4149	0.339853
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007323nk3rlzm79vpaa51/10a601229007222.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007323nk3rlzm79vpaa51/10a601229007222.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007323nk3rlzm79vpaa51/2y0cr1229007222.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229007323nk3rlzm79vpaa51/2y0cr1229007222.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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 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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Error 001_3: History of computation (impact.txt) is not saved due to a technical problem. We are sorry for this inconveniance and will correct it A.S.A.P.