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Partial Autocorrelation function d=0 D=1 EU

*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 10:22:27 -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/t1229016195vo5ny9ebb02ogi3.htm/, Retrieved Thu, 11 Dec 2008 17:23:17 +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/t1229016195vo5ny9ebb02ogi3.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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Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
13807.9 14101.7 16010.3 14633.1 14478.5 15327.3 14179.5 11398.2 16111.5 15887.4 14529.3 13923.1 13960.2 14807.8 17511.5 15845.9 14594.2 17252.2 14832.8 13132.1 17665.9 16913 17318.8 16224.2 15469.6 16557.5 19414.8 17335 16525.2 18160.4 15553.8 15262.2 18581 17564.1 18948.6 17187.8 17564.8 17668.4 20811.7 17257.8 18984.2 20532.6 17082.3 16894.9 20274.9 20078.6 19900.9 17012.2 19642.9 19024 21691 18835.9 19873.4 21468.2 19406.8 18385.3 20739.3 22268.3 21569 17514.8
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.097429-0.6750.251454
2-0.167497-1.16050.125802
30.2632361.82380.03721
40.0465260.32230.374296
5-0.010402-0.07210.471423
6-0.028847-0.19990.421218
7-0.257074-1.78110.040615
8-0.069918-0.48440.31515
90.1552491.07560.143742
10-0.232097-1.6080.057195
11-0.260832-1.80710.038509
120.0203260.14080.444299
13-0.020082-0.13910.444965
140.1881151.30330.099345
15-0.151527-1.04980.149532
16-0.154447-1.070.144976
170.2863011.98360.026521
180.0680940.47180.319615
19-0.035178-0.24370.404243
200.0814260.56410.287643
210.1046110.72480.236057
22-0.042222-0.29250.385575
230.179881.24620.109361
24-0.174291-1.20750.116574
25-0.204292-1.41540.081707
260.1831071.26860.105351
27-0.028551-0.19780.422017
28-0.162232-1.1240.133307
29-0.020509-0.14210.443802
30-0.0938-0.64990.259439
310.0827310.57320.284601
320.0140380.09730.461464
33-0.139035-0.96330.170122
340.0789270.54680.293517
350.1375490.9530.172691
36-0.0861-0.59650.276816
37-0.002658-0.01840.492693
380.0275270.19070.424777
39-0.059286-0.41070.341543
400.08630.59790.276358
41-0.007057-0.04890.480605
42-0.097653-0.67660.250967
430.0680020.47110.319841
440.0313410.21710.414512
45-0.054478-0.37740.353757
460.0094940.06580.473915
470.0447130.30980.379034
48NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.097429-0.6750.251454
2-0.178686-1.2380.110874
30.2363081.63720.054066
40.0698970.48430.315202
50.0866790.60050.275489
6-0.075621-0.52390.301375
7-0.320811-2.22260.015493
8-0.204626-1.41770.08137
90.0877060.60760.273145
10-0.077258-0.53530.297472
11-0.186861-1.29460.100824
12-0.162937-1.12890.132283
13-0.10672-0.73940.231639
140.298322.06680.022084
15-0.061896-0.42880.334983
16-0.148811-1.0310.153855
17-0.024628-0.17060.432618
18-0.084288-0.5840.280988
190.1175280.81430.209759
200.1176420.8150.209536
210.1232050.85360.198786
22-0.229152-1.58760.05947
23-0.031-0.21480.415427
24-0.120102-0.83210.20474
25-0.02177-0.15080.440373
260.014740.10210.459544
270.0306890.21260.416262
28-0.037278-0.25830.398651
29-0.02237-0.1550.438741
30-0.088206-0.61110.272005
310.0661390.45820.324431
320.0082060.05690.477449
33-0.096234-0.66670.25407
340.0421730.29220.385703
35-0.058726-0.40690.342958
36-0.061048-0.4230.337109
37-0.114252-0.79160.216256
38-0.010795-0.07480.470345
39-0.000807-0.00560.497781
40-0.154607-1.07120.144729
41-0.065335-0.45270.326418
420.0200510.13890.445049
430.0605430.41950.338377
440.0205760.14260.44362
450.0253440.17560.430677
46-0.104462-0.72370.23637
470.0083380.05780.477086
48NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016195vo5ny9ebb02ogi3/1v4ya1229016145.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016195vo5ny9ebb02ogi3/1v4ya1229016145.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016195vo5ny9ebb02ogi3/2nm631229016145.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016195vo5ny9ebb02ogi3/2nm631229016145.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 1 ; par3 = 0 ; 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')
 




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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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