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Partial Autocorrelation function d=1 D=1 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 06:30:07 -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/t1229088636w980s8xja88mf62.htm/, Retrieved Fri, 12 Dec 2008 14:30:38 +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/t1229088636w980s8xja88mf62.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	-0.455532	-3.123	0.001531
2	-0.210093	-1.4403	0.078202
3	0.271328	1.8601	0.034566
4	-0.085186	-0.584	0.281004
5	0.040246	0.2759	0.391912
6	0.044658	0.3062	0.380416
7	-0.172122	-1.18	0.121967
8	-0.0105	-0.072	0.47146
9	0.266603	1.8277	0.03697
10	-0.119247	-0.8175	0.208879
11	-0.14687	-1.0069	0.159572
12	0.094822	0.6501	0.259407
13	-0.09278	-0.6361	0.26391
14	0.291679	1.9996	0.025668
15	-0.184758	-1.2666	0.105763
16	-0.201514	-1.3815	0.086827
17	0.286894	1.9668	0.02756
18	-0.044873	-0.3076	0.379859
19	-0.068891	-0.4723	0.319452
20	-0.02916	-0.1999	0.421207
21	0.100035	0.6858	0.248102
22	-0.156725	-1.0745	0.144052
23	0.275082	1.8859	0.032751
24	-0.146309	-1.003	0.160487
25	-0.211258	-1.4483	0.077084
26	0.275263	1.8871	0.032665
27	-0.068659	-0.4707	0.320016
28	-0.048123	-0.3299	0.371466
29	0.075952	0.5207	0.30251
30	-0.136209	-0.9338	0.177589
31	0.137025	0.9394	0.176166
32	0.033975	0.2329	0.408418
33	-0.149394	-1.0242	0.155493
34	0.034945	0.2396	0.405853
35	0.102427	0.7022	0.243008
36	-0.077557	-0.5317	0.298718
37	0.015985	0.1096	0.456601
38	0.013332	0.0914	0.463782
39	-0.084452	-0.579	0.282685
40	0.099926	0.6851	0.248335
41	-0.018992	-0.1302	0.448481
42	-0.066001	-0.4525	0.326503
43	0.044663	0.3062	0.380406
44	0.01732	0.1187	0.452995
45	-0.024178	-0.1658	0.43453
46	-0.012774	-0.0876	0.465293
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.455532	-3.123	0.001531
2	-0.52695	-3.6126	0.000368
3	-0.200635	-1.3755	0.087751
4	-0.180555	-1.2378	0.110965
5	0.051926	0.356	0.361723
6	0.169705	1.1634	0.125262
7	-0.013098	-0.0898	0.464416
8	-0.260042	-1.7828	0.040543
9	-0.001708	-0.0117	0.495355
10	0.128213	0.879	0.191941
11	0.073573	0.5044	0.308171
12	-0.044583	-0.3056	0.380611
13	-0.350254	-2.4012	0.010175
14	0.116828	0.8009	0.213601
15	0.157554	1.0801	0.142796
16	0.019977	0.137	0.445826
17	0.020591	0.1412	0.444172
18	-0.109793	-0.7527	0.22769
19	-0.067289	-0.4613	0.323351
20	-0.098864	-0.6778	0.250619
21	0.265036	1.817	0.037798
22	-0.043619	-0.299	0.383116
23	0.089233	0.6117	0.271826
24	-0.075179	-0.5154	0.304345
25	-0.064786	-0.4441	0.329487
26	-0.023885	-0.1637	0.435317
27	-0.042784	-0.2933	0.385289
28	-0.043766	-0.3	0.382732
29	0.089531	0.6138	0.271156
30	0.024459	0.1677	0.433775
31	0.037624	0.2579	0.398791
32	0.036619	0.251	0.401436
33	-0.097799	-0.6705	0.252917
34	0.05786	0.3967	0.346703
35	0.018186	0.1247	0.450654
36	0.124682	0.8548	0.198506
37	-0.088305	-0.6054	0.273917
38	-0.15716	-1.0774	0.143393
39	0.045696	0.3133	0.377728
40	0.010125	0.0694	0.472477
41	0.064951	0.4453	0.32908
42	-0.069164	-0.4742	0.31879
43	-0.077934	-0.5343	0.297829
44	-0.108437	-0.7434	0.230469
45	0.052822	0.3621	0.35944
46	-0.017811	-0.1221	0.451667
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/t1229088636w980s8xja88mf62/16z2h1229088606.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088636w980s8xja88mf62/16z2h1229088606.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088636w980s8xja88mf62/2hf9n1229088606.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088636w980s8xja88mf62/2hf9n1229088606.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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