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Partial autcorrelation function d=1 en 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 08:08:36 -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/t1229008167ixrjswj7306tn3x.htm/, Retrieved Thu, 11 Dec 2008 15:09:27 +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/t1229008167ixrjswj7306tn3x.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},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

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User-defined keywords:

Partial autcorrelation function d=1 en 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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.491762	-3.3714	0.000752
2	0.087785	0.6018	0.275091
3	0.117916	0.8084	0.21147
4	-0.084371	-0.5784	0.282872
5	0.017076	0.1171	0.453653
6	0.16432	1.1265	0.132832
7	-0.220537	-1.5119	0.068624
8	0.139084	0.9535	0.172605
9	0.125032	0.8572	0.197849
10	-0.152775	-1.0474	0.150142
11	0.106057	0.7271	0.235388
12	-0.183936	-1.261	0.106766
13	0.013964	0.0957	0.462071
14	0.133798	0.9173	0.181841
15	-0.070053	-0.4803	0.316636
16	-0.161076	-1.1043	0.137546
17	0.168675	1.1564	0.126686
18	-0.068549	-0.4699	0.320282
19	-0.032375	-0.2219	0.412657
20	0.004799	0.0329	0.486946
21	-0.044333	-0.3039	0.38126
22	-0.043308	-0.2969	0.383924
23	0.032482	0.2227	0.412373
24	0.037994	0.2605	0.397819
25	-0.218	-1.4945	0.07086
26	0.13766	0.9438	0.175062
27	-0.052559	-0.3603	0.360109
28	0.007979	0.0547	0.478305
29	0.00827	0.0567	0.477513
30	-0.089327	-0.6124	0.271614
31	0.049998	0.3428	0.366651
32	0.070762	0.4851	0.314923
33	-0.102569	-0.7032	0.242708
34	0.068449	0.4693	0.320525
35	0.00692	0.0474	0.481182
36	-0.012651	-0.0867	0.465627
37	0.030873	0.2117	0.416646
38	0.001983	0.0136	0.494604
39	-0.033771	-0.2315	0.408958
40	0.047107	0.323	0.374082
41	0.011511	0.0789	0.468717
42	-0.03409	-0.2337	0.408114
43	0.011498	0.0788	0.468751
44	0.008243	0.0565	0.477588
45	-0.010875	-0.0746	0.470442
46	-0.00332	-0.0228	0.49097
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.491762	-3.3714	0.000752
2	-0.20318	-1.3929	0.085097
3	0.096221	0.6597	0.256347
4	0.060055	0.4117	0.341209
5	0.003619	0.0248	0.490155
6	0.199882	1.3703	0.088549
7	-0.05335	-0.3657	0.358097
8	-0.015385	-0.1055	0.458225
9	0.204985	1.4053	0.083253
10	0.071696	0.4915	0.312671
11	0.027686	0.1898	0.425141
12	-0.275757	-1.8905	0.032433
13	-0.242386	-1.6617	0.051613
14	0.011731	0.0804	0.468122
15	0.111907	0.7672	0.223402
16	-0.143331	-0.9826	0.16541
17	-0.109599	-0.7514	0.228086
18	0.044634	0.306	0.380479
19	0.01437	0.0985	0.46097
20	-0.041681	-0.2858	0.388162
21	0.077616	0.5321	0.298578
22	-0.018866	-0.1293	0.44882
23	-0.202327	-1.3871	0.08598
24	-0.014393	-0.0987	0.460908
25	-0.16044	-1.0999	0.138485
26	-0.066965	-0.4591	0.324143
27	-0.031427	-0.2155	0.415173
28	-0.033552	-0.23	0.409536
29	0.033164	0.2274	0.410566
30	-0.028694	-0.1967	0.42245
31	0.045678	0.3132	0.377775
32	0.07262	0.4979	0.310452
33	0.057898	0.3969	0.346607
34	0.081241	0.557	0.290098
35	-0.030512	-0.2092	0.417607
36	0.028586	0.196	0.422737
37	-0.121823	-0.8352	0.203922
38	-0.138519	-0.9496	0.173576
39	0.007198	0.0493	0.480425
40	0.005448	0.0373	0.485182
41	-0.083314	-0.5712	0.285302
42	-0.10214	-0.7002	0.243615
43	-0.038906	-0.2667	0.395423
44	0.060899	0.4175	0.339107
45	0.015421	0.1057	0.458127
46	-0.005114	-0.0351	0.486091
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
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/t1229008167ixrjswj7306tn3x/1rs591229008111.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229008167ixrjswj7306tn3x/1rs591229008111.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229008167ixrjswj7306tn3x/2zn391229008111.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229008167ixrjswj7306tn3x/2zn391229008111.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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.