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Partial Autocorrelation function d=1 D=1 France

*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 06:17:27 -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/12/t12290879646nthzvnqip2oa15.htm/, Retrieved Fri, 12 Dec 2008 14:19:24 +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/t12290879646nthzvnqip2oa15.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 «

3258.1 3140.1 3627.4 3279.4 3204 3515.6 3146.6 2271.7 3627.9 3553.4 3018.3 3355.4 3242 3311.1 4125.2 3423 3120.3 3863 3240.8 2837.4 3945 3684.1 3659.6 3769.6 3592.7 3754 4507.8 3853.2 3817.2 3958.4 3428.9 3125.7 3977 3983.3 4299.6 4306.9 4259.5 3986 4755.6 3925.6 4206.5 4323.4 3816.1 3410.7 4227.4 4296.9 4351.7 3800 4277 4100.2 4672.5 4189.9 4231.9 4654.9 4298.5 3635.9 4505.1 4891.9 4894.2 4093.2

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.372543	-2.554	0.006975
2	-0.17206	-1.1796	0.122051
3	0.241309	1.6543	0.052362
4	-0.284607	-1.9512	0.028506
5	0.128134	0.8784	0.192086
6	0.109853	0.7531	0.227569
7	-0.346333	-2.3743	0.010858
8	0.255865	1.7541	0.042964
9	0.166802	1.1435	0.129303
10	-0.224104	-1.5364	0.065576
11	-0.009088	-0.0623	0.475291
12	0.002248	0.0154	0.493884
13	-0.085016	-0.5828	0.281393
14	0.146529	1.0046	0.160128
15	-0.00717	-0.0492	0.480503
16	-0.122512	-0.8399	0.202609
17	0.159306	1.0921	0.140168
18	0.025729	0.1764	0.430374
19	-0.168327	-1.154	0.127169
20	0.02311	0.1584	0.437396
21	0.100292	0.6876	0.247553
22	-0.098349	-0.6742	0.251728
23	0.199218	1.3658	0.089256
24	-0.095732	-0.6563	0.257414
25	-0.222213	-1.5234	0.067178
26	0.208701	1.4308	0.079554
27	-0.005822	-0.0399	0.484164
28	-0.180913	-1.2403	0.110514
29	0.168977	1.1584	0.126267
30	-0.117527	-0.8057	0.212229
31	0.099929	0.6851	0.248329
32	0.117392	0.8048	0.212495
33	-0.279742	-1.9178	0.030611
34	0.106133	0.7276	0.235231
35	0.070497	0.4833	0.315562
36	-0.053773	-0.3686	0.357022
37	0.012826	0.0879	0.465154
38	-0.021	-0.144	0.44307
39	0.01075	0.0737	0.470781
40	0.060535	0.415	0.340012
41	-0.0302	-0.207	0.418437
42	-0.068158	-0.4673	0.321233
43	0.0537	0.3681	0.357208
44	0.036801	0.2523	0.400956
45	-0.026318	-0.1804	0.428796
46	-0.013128	-0.09	0.464335
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.372543	-2.554	0.006975
2	-0.360943	-2.4745	0.008504
3	0.026177	0.1795	0.429175
4	-0.286719	-1.9656	0.027632
5	-0.044028	-0.3018	0.382054
6	0.012977	0.089	0.464745
7	-0.292632	-2.0062	0.025305
8	-0.041948	-0.2876	0.387466
9	0.19814	1.3584	0.090414
10	0.082256	0.5639	0.287746
11	-0.178231	-1.2219	0.113921
12	-0.092957	-0.6373	0.263518
13	-0.103137	-0.7071	0.241506
14	-0.081883	-0.5614	0.288609
15	0.029996	0.2056	0.418979
16	-0.003727	-0.0256	0.489862
17	-0.01188	-0.0814	0.467717
18	0.028316	0.1941	0.423457
19	-0.038395	-0.2632	0.396764
20	-0.103068	-0.7066	0.241652
21	0.129692	0.8891	0.189233
22	-0.000714	-0.0049	0.498056
23	0.140851	0.9656	0.169587
24	0.04163	0.2854	0.388294
25	-0.181856	-1.2467	0.109335
26	-0.153529	-1.0525	0.148966
27	0.051888	0.3557	0.361818
28	-0.04426	-0.3034	0.38145
29	-0.073112	-0.5012	0.309275
30	-0.131965	-0.9047	0.185117
31	0.014424	0.0989	0.460826
32	-0.032203	-0.2208	0.413112
33	-0.101316	-0.6946	0.245367
34	0.10501	0.7199	0.237572
35	-0.04548	-0.3118	0.378289
36	0.013338	0.0914	0.463765
37	-0.1164	-0.798	0.214442
38	-0.059159	-0.4056	0.343448
39	-0.024589	-0.1686	0.433428
40	-0.049099	-0.3366	0.368956
41	0.015888	0.1089	0.456864
42	0.017482	0.1198	0.452557
43	0.041821	0.2867	0.387797
44	-0.090332	-0.6193	0.26936
45	0.038251	0.2622	0.397142
46	0.062868	0.431	0.33422
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290879646nthzvnqip2oa15/1ds171229087841.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290879646nthzvnqip2oa15/1ds171229087841.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290879646nthzvnqip2oa15/2fan91229087841.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290879646nthzvnqip2oa15/2fan91229087841.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; 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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