Home » date » 2008 » Dec » 12 »

Partial Autocorrelation function d=1 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: Fri, 12 Dec 2008 06:27:42 -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/t1229088513rzit2xzkgxpn96h.htm/, Retrieved Fri, 12 Dec 2008 14:28:35 +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/t1229088513rzit2xzkgxpn96h.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 «

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 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	-0.336637	-2.5858	0.006103
2	-0.291218	-2.2369	0.014543
3	0.110423	0.8482	0.199885
4	0.063564	0.4882	0.313592
5	-0.123693	-0.9501	0.172967
6	0.211193	1.6222	0.055046
7	-0.16151	-1.2406	0.109835
8	0.076932	0.5909	0.278413
9	0.140298	1.0776	0.142788
10	-0.306925	-2.3575	0.010866
11	-0.220035	-1.6901	0.048141
12	0.704852	5.4141	1e-06
13	-0.279093	-2.1438	0.018092
14	-0.127751	-0.9813	0.165232
15	0.032117	0.2467	0.403002
16	0.008253	0.0634	0.474833
17	-0.063746	-0.4896	0.313101
18	0.175818	1.3505	0.091009
19	-0.129557	-0.9951	0.161865
20	0.089648	0.6886	0.246887
21	0.062962	0.4836	0.315222
22	-0.282823	-2.1724	0.016927
23	-0.005773	-0.0443	0.48239
24	0.416514	3.1993	0.001109
25	-0.230096	-1.7674	0.041166
26	-0.043729	-0.3359	0.369072
27	-0.00558	-0.0429	0.482978
28	0.03139	0.2411	0.405154
29	-0.068048	-0.5227	0.301576
30	0.098889	0.7596	0.225264
31	-0.067283	-0.5168	0.303611
32	0.126946	0.9751	0.166748
33	-0.010339	-0.0794	0.468486
34	-0.217965	-1.6742	0.04969
35	0.018327	0.1408	0.444265
36	0.27925	2.145	0.018042
37	-0.11968	-0.9193	0.180846
38	-0.067973	-0.5221	0.301773
39	-0.032931	-0.2529	0.400594
40	0.079675	0.612	0.271446
41	-0.050623	-0.3888	0.349396
42	0.026522	0.2037	0.419636
43	-0.02204	-0.1693	0.433074
44	0.088041	0.6763	0.250759
45	-0.040379	-0.3102	0.378767
46	-0.082161	-0.6311	0.26521
47	-0.024179	-0.1857	0.426649
48	0.119257	0.916	0.18169

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.336637	-2.5858	0.006103
2	-0.456246	-3.5045	0.00044
3	-0.264818	-2.0341	0.023222
4	-0.197257	-1.5152	0.067535
5	-0.291135	-2.2363	0.014565
6	0.047362	0.3638	0.358657
7	-0.165695	-1.2727	0.104054
8	0.106623	0.819	0.208046
9	0.289154	2.221	0.0151
10	-0.086189	-0.662	0.255265
11	-0.502299	-3.8582	0.000143
12	0.293405	2.2537	0.013973
13	-0.052755	-0.4052	0.343392
14	0.176292	1.3541	0.090431
15	-0.01751	-0.1345	0.446735
16	-0.029223	-0.2245	0.411586
17	-0.033778	-0.2595	0.398095
18	-0.09332	-0.7168	0.238161
19	0.089934	0.6908	0.246201
20	0.063609	0.4886	0.313471
21	-0.06491	-0.4986	0.309963
22	-0.118054	-0.9068	0.184103
23	0.147301	1.1314	0.131224
24	-0.005515	-0.0424	0.483178
25	0.063857	0.4905	0.312803
26	-0.072848	-0.5596	0.288951
27	-0.091444	-0.7024	0.242598
28	0.057253	0.4398	0.330854
29	-0.089663	-0.6887	0.246851
30	-0.033572	-0.2579	0.398702
31	-0.051563	-0.3961	0.346744
32	-0.026601	-0.2043	0.419402
33	0.06127	0.4706	0.319823
34	0.151327	1.1624	0.124884
35	-0.096697	-0.7427	0.230292
36	0.033117	0.2544	0.400045
37	0.000873	0.0067	0.497337
38	-0.058336	-0.4481	0.327866
39	-0.008884	-0.0682	0.472914
40	-0.079777	-0.6128	0.271188
41	0.024625	0.1891	0.425314
42	-0.038981	-0.2994	0.382837
43	0.038052	0.2923	0.385548
44	-0.04234	-0.3252	0.373083
45	-0.054555	-0.419	0.338352
46	0.021419	0.1645	0.434942
47	0.051759	0.3976	0.346193
48	-0.125157	-0.9613	0.17015

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088513rzit2xzkgxpn96h/1ekj61229088460.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088513rzit2xzkgxpn96h/1ekj61229088460.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088513rzit2xzkgxpn96h/2ogru1229088460.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088513rzit2xzkgxpn96h/2ogru1229088460.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 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

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by