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partial autocorrelation function: auto's

*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: Fri, 12 Dec 2008 05:39:38 -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/12/t1229085632vy1q7j1901luofk.htm/, Retrieved Fri, 12 Dec 2008 13:40:34 +0100

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/12/t1229085632vy1q7j1901luofk.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

104.89 105.15 105.24 105.57 105.62 106.17 106.27 106.41 106.94 107.16 107.32 107.32 107.35 107.55 107.87 108.37 108.38 107.92 108.03 108.14 108.3 108.64 108.66 109.04 109.03 109.03 109.54 109.75 109.83 109.65 109.82 109.95 110.12 110.15 110.21 109.99 110.14 110.14 110.81 110.97 110.99 109.73 109.81 110.02 110.18 110.21 110.25 110.36 110.51 110.6 110.95 111.18 111.19 111.69 111.7 111.83 111.77 111.73 112.01 111.86 112.04

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.853832	5.9768	0
2	0.723526	5.0647	3e-06
3	0.580345	4.0624	8.7e-05
4	0.475462	3.3282	0.000832
5	0.380063	2.6604	0.005259
6	0.308967	2.1628	0.017733
7	0.238103	1.6667	0.050975
8	0.165069	1.1555	0.126749
9	0.099785	0.6985	0.244086
10	0.0253	0.1771	0.430079
11	-0.049851	-0.349	0.364308
12	-0.138157	-0.9671	0.169122
13	-0.11526	-0.8068	0.211834
14	-0.085194	-0.5964	0.276841
15	-0.063322	-0.4433	0.329766
16	-0.06391	-0.4474	0.32829
17	-0.080413	-0.5629	0.288038
18	-0.11618	-0.8133	0.210002
19	-0.129114	-0.9038	0.185263
20	-0.14393	-1.0075	0.15932
21	-0.141805	-0.9926	0.162883
22	-0.134701	-0.9429	0.175177
23	-0.137907	-0.9653	0.169556
24	-0.119643	-0.8375	0.203189
25	-0.172733	-1.2091	0.116207
26	-0.228967	-1.6028	0.057707
27	-0.272765	-1.9094	0.03104
28	-0.305941	-2.1416	0.018612
29	-0.330622	-2.3144	0.012441
30	-0.31137	-2.1796	0.017062
31	-0.302431	-2.117	0.01968
32	-0.283823	-1.9868	0.026278
33	-0.273172	-1.9122	0.030853
34	-0.246457	-1.7252	0.045397
35	-0.219474	-1.5363	0.065447
36	-0.208064	-1.4564	0.075824

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.853832	5.9768	0
2	-0.020312	-0.1422	0.443759
3	-0.120468	-0.8433	0.201586
4	0.048414	0.3389	0.368068
5	-0.023442	-0.1641	0.435165
6	0.011439	0.0801	0.468252
7	-0.04112	-0.2878	0.38734
8	-0.068608	-0.4803	0.316592
9	-0.0199	-0.1393	0.444893
10	-0.089245	-0.6247	0.267529
11	-0.079639	-0.5575	0.28987
12	-0.122118	-0.8548	0.198405
13	0.322787	2.2595	0.014167
14	0.04024	0.2817	0.389689
15	-0.111255	-0.7788	0.219925
16	-0.041261	-0.2888	0.386966
17	-0.060333	-0.4223	0.337316
18	-0.069638	-0.4875	0.31405
19	0.0409	0.2863	0.387929
20	-0.05992	-0.4194	0.338365
21	0.028027	0.1962	0.422637
22	0.000245	0.0017	0.49932
23	-0.111364	-0.7795	0.219703
24	0.02431	0.1702	0.43279
25	-0.155421	-1.0879	0.140971
26	-0.061835	-0.4328	0.333514
27	0.006201	0.0434	0.482776
28	-0.097281	-0.681	0.249549
29	-0.075458	-0.5282	0.29987
30	0.071818	0.5027	0.308705
31	-0.028339	-0.1984	0.421788
32	-0.011242	-0.0787	0.468799
33	-0.009648	-0.0675	0.473215
34	0.053046	0.3713	0.355998
35	-0.027653	-0.1936	0.423656
36	-0.047515	-0.3326	0.370425

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229085632vy1q7j1901luofk/1froz1229085576.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229085632vy1q7j1901luofk/1froz1229085576.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229085632vy1q7j1901luofk/2d1gp1229085576.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229085632vy1q7j1901luofk/2d1gp1229085576.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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')

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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