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Partial Autocorrelation function d=1 D=0 Poland

*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 06:23:15 -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/t1229088242qilvxe9fm70p5w6.htm/, Retrieved Fri, 12 Dec 2008 14:24:04 +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/t1229088242qilvxe9fm70p5w6.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 «

156.3 151.5 159.1 166.9 160.5 162.8 178.9 148.5 184.1 197 186.8 139.2 162.7 187.5 235.8 219.4 212.4 220.2 197.5 185.6 232.4 223.8 219.4 191.4 210.4 212.6 274.4 256 227.6 261.7 237 234.9 310.6 274.2 288.1 242.5 271.7 282.2 317.4 280.3 322.6 328.2 280.7 288.8 347.9 360.1 348 275.7 332.6 340.8 390.5 351.2 377.4 413.5 366.9 364.8 388 429.8 423.6 326.4

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	-0.255291	-1.9609	0.027307
2	-0.181119	-1.3912	0.084695
3	-0.227367	-1.7464	0.04297
4	0.146977	1.129	0.131743
5	0.028441	0.2185	0.413913
6	0.07429	0.5706	0.285207
7	-0.052003	-0.3994	0.345506
8	0.178367	1.3701	0.087929
9	-0.195878	-1.5046	0.068886
10	-0.162766	-1.2502	0.108077
11	-0.125686	-0.9654	0.16914
12	0.58769	4.5141	1.5e-05
13	-0.206236	-1.5841	0.059256
14	0.032182	0.2472	0.402807
15	-0.272492	-2.093	0.020327
16	0.076095	0.5845	0.280557
17	0.057122	0.4388	0.331218
18	0.080781	0.6205	0.268661
19	-0.03777	-0.2901	0.386372
20	0.128976	0.9907	0.162942
21	-0.152624	-1.1723	0.122889
22	-0.171794	-1.3196	0.096037
23	0.011278	0.0866	0.46563
24	0.379477	2.9148	0.002511
25	-0.221637	-1.7024	0.046969
26	0.105439	0.8099	0.210629
27	-0.198625	-1.5257	0.066218
28	0.107737	0.8275	0.205632
29	-0.046271	-0.3554	0.361773
30	-0.021821	-0.1676	0.433731
31	0.095677	0.7349	0.232654
32	0.12618	0.9692	0.168198
33	-0.210821	-1.6193	0.055353
34	-0.105068	-0.807	0.211443
35	0.025385	0.195	0.423037
36	0.221833	1.7039	0.046828
37	-0.066103	-0.5077	0.306762
38	0.00019	0.0015	0.499421
39	-0.12772	-0.981	0.16529
40	0.110544	0.8491	0.199628
41	-0.028095	-0.2158	0.414943
42	-0.013732	-0.1055	0.458178
43	0.035364	0.2716	0.393425
44	0.083225	0.6393	0.262563
45	-0.080812	-0.6207	0.268583
46	-0.101009	-0.7759	0.220463
47	-0.00115	-0.0088	0.496491
48	0.092108	0.7075	0.241023

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.255291	-1.9609	0.027307
2	-0.263463	-2.0237	0.023769
3	-0.405829	-3.1172	0.00141
4	-0.172984	-1.3287	0.094529
5	-0.19068	-1.4646	0.074164
6	-0.081851	-0.6287	0.265984
7	-0.058028	-0.4457	0.328716
8	0.247583	1.9017	0.031047
9	0.03443	0.2645	0.396174
10	-0.166515	-1.279	0.102948
11	-0.3848	-2.9557	0.002239
12	0.293954	2.2579	0.013833
13	-0.128082	-0.9838	0.164612
14	0.190426	1.4627	0.07443
15	-0.022876	-0.1757	0.430559
16	-0.058508	-0.4494	0.32739
17	0.001241	0.0095	0.496212
18	-0.001633	-0.0125	0.495018
19	0.022024	0.1692	0.433121
20	-0.003868	-0.0297	0.488199
21	0.067152	0.5158	0.30396
22	-0.176355	-1.3546	0.090353
23	0.068091	0.523	0.301461
24	0.067289	0.5169	0.303594
25	-0.147496	-1.1329	0.130912
26	0.005367	0.0412	0.483627
27	0.073471	0.5643	0.287329
28	0.095612	0.7344	0.232805
29	-0.028072	-0.2156	0.415012
30	-0.091499	-0.7028	0.242468
31	0.018982	0.1458	0.442288
32	-0.023536	-0.1808	0.428577
33	-0.083012	-0.6376	0.263092
34	0.007115	0.0547	0.4783
35	-0.113674	-0.8731	0.193062
36	-0.087962	-0.6757	0.250951
37	0.116225	0.8927	0.187811
38	-0.140978	-1.0829	0.141636
39	0.063211	0.4855	0.314548
40	-0.063641	-0.4888	0.313386
41	0.083177	0.6389	0.262682
42	0.10081	0.7743	0.220912
43	-0.023456	-0.1802	0.428819
44	-0.034131	-0.2622	0.397054
45	0.014903	0.1145	0.454625
46	0.000434	0.0033	0.498677
47	-0.029549	-0.227	0.410617
48	-0.085442	-0.6563	0.257093

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088242qilvxe9fm70p5w6/1v4v51229088193.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088242qilvxe9fm70p5w6/1v4v51229088193.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088242qilvxe9fm70p5w6/20wt41229088193.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088242qilvxe9fm70p5w6/20wt41229088193.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 0.1 ; par3 = 1 ; 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')

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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