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Partial Autocorrelation function d=0 D=0 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 10:24:10 -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/t1229016274pzme1wpqb76tmai.htm/, Retrieved Thu, 11 Dec 2008 17:24:34 +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/t1229016274pzme1wpqb76tmai.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 time3 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.6251984.84285e-06
20.4894633.79140.000175
30.5790894.48561.7e-05
40.5761244.46261.8e-05
50.5271964.08366.7e-05
60.5735294.44251.9e-05
70.4546533.52170.000413
80.4230833.27720.000873
90.3835882.97130.002131
100.2383671.84640.034885
110.299972.32360.011778
120.5111313.95920.000101
130.220341.70670.04652
140.1341661.03920.151431
150.1653851.28110.10255
160.1559831.20820.115848
170.1301421.00810.158733
180.1759671.3630.088982
190.068340.52940.299255
200.0362360.28070.38996
21-0.013722-0.10630.457855
22-0.11972-0.92730.178732
23-0.017611-0.13640.445975
240.0773130.59890.275759
25-0.133146-1.03130.153259
26-0.170419-1.32010.095915
27-0.14698-1.13850.129717
28-0.141516-1.09620.13869
29-0.164164-1.27160.10421
30-0.122013-0.94510.174197
31-0.179166-1.38780.085163
32-0.190521-1.47580.072617
33-0.260316-2.01640.024121
34-0.335082-2.59550.005928
35-0.238201-1.84510.03498
36-0.171201-1.32610.094913
37-0.300687-2.32910.011619
38-0.344804-2.67080.004862
39-0.308537-2.38990.010005
40-0.285146-2.20870.015512
41-0.29756-2.30490.012324
42-0.259104-2.0070.02463
43-0.276196-2.13940.01824
44-0.277511-2.14960.017815
45-0.30875-2.39160.009964
46-0.314371-2.43510.008939
47-0.260661-2.01910.023977
48-0.217748-1.68670.04843


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.6251984.84285e-06
20.1618561.25370.107401
30.3732742.89140.002667
40.1778761.37780.086688
50.1231440.95390.171989
60.2090791.61950.055291
7-0.144186-1.11690.134254
80.0191180.14810.441385
9-0.171112-1.32540.095027
10-0.317673-2.46070.008381
110.076730.59430.277257
120.4194763.24920.000949
13-0.343998-2.66460.004943
140.0509440.39460.347263
15-0.184388-1.42830.079201
160.0230320.17840.429504
170.0288690.22360.411906
180.0047750.0370.48531
190.0239870.18580.426613
20-0.089592-0.6940.245187
21-0.135575-1.05020.148929
22-0.022692-0.17580.430532
230.0976690.75650.226143
24-0.121083-0.93790.176027
250.0342990.26570.395698
26-0.057412-0.44470.329065
270.0279110.21620.414785
280.0679910.52670.300187
29-0.103458-0.80140.213037
300.0166550.1290.448891
310.0094990.07360.470794
32-0.069285-0.53670.296738
33-0.05348-0.41430.340082
34-0.113763-0.88120.190861
35-0.148936-1.15370.126608
360.090070.69770.244036
37-0.015883-0.1230.451246
38-0.015875-0.1230.451271
390.1243380.96310.169677
40-0.055015-0.42610.335765
410.0488580.37850.353215
420.0042350.03280.48697
43-0.068237-0.52860.29953
44-0.033112-0.25650.399227
450.0202690.1570.437886
46-0.017834-0.13810.445297
47-0.054668-0.42350.336737
48-0.094909-0.73520.232553
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016274pzme1wpqb76tmai/1fdw51229016245.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016274pzme1wpqb76tmai/1fdw51229016245.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016274pzme1wpqb76tmai/2qgjn1229016245.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016274pzme1wpqb76tmai/2qgjn1229016245.ps (open in new window)


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




Copyright

Creative Commons License

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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