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Partial Autocorrelation 2

*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: Mon, 15 Dec 2008 02:51:52 -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/15/t1229334861mtz7p2u2ugyxbye.htm/, Retrieved Mon, 15 Dec 2008 10:54:21 +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/15/t1229334861mtz7p2u2ugyxbye.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 «

98,5 97 103,3 99,6 100,1 102,9 95,9 94,5 107,4 116 102,8 99,8 109,6 103 111,6 106,3 97,9 108,8 103,9 101,2 122,9 123,9 111,7 120,9 99,6 103,3 119,4 106,5 101,9 124,6 106,5 107,8 127,4 120,1 118,5 127,7 107,7 104,5 118,8 110,3 109,6 119,1 96,5 106,7 126,3 116,2 118,8 115,2 110 111,4 129,6 108,1 117,8 122,9 100,6 111,8 127 128,6 124,8 118,5 114,7 112,6 128,7 111 115,8 126 111,1 113,2 120,1 130,6 124 119,4 116,7 116,5 119,6 126,5 111,3 123,5 114,2 103,7 129,5

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.05328	0.4426	0.329727
2	0.065092	0.5407	0.295228
3	0.264315	2.1956	0.015744
4	-0.052828	-0.4388	0.33108
5	0.154762	1.2855	0.10145
6	0.161541	1.3419	0.09202
7	-0.108108	-0.898	0.186151
8	0.138556	1.1509	0.126867
9	0.2566	2.1315	0.018307
10	-0.085152	-0.7073	0.240873
11	0.005375	0.0446	0.48226
12	-0.109833	-0.9123	0.182383
13	-0.143001	-1.1879	0.119481
14	0.101217	0.8408	0.20169
15	-0.051383	-0.4268	0.335421
16	-0.070969	-0.5895	0.278721
17	0.186419	1.5485	0.063037
18	0.035124	0.2918	0.385672
19	-0.183102	-1.521	0.06642
20	-0.005144	-0.0427	0.48302
21	0.016511	0.1372	0.445655
22	-0.117571	-0.9766	0.166084
23	0.117781	0.9784	0.165657
24	-0.245956	-2.0431	0.022434
25	-0.105839	-0.8792	0.191181
26	0.089257	0.7414	0.230477
27	0.001627	0.0135	0.494626
28	-0.105563	-0.8769	0.1918
29	0.007542	0.0626	0.475115
30	-0.0395	-0.3281	0.371909
31	0.059147	0.4913	0.312381
32	0.115453	0.959	0.170447
33	-0.178815	-1.4853	0.071004
34	0.026221	0.2178	0.414111
35	0.10256	0.8519	0.198601
36	0.011181	0.0929	0.463135

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.05328	0.4426	0.329727
2	0.062431	0.5186	0.302853
3	0.259482	2.1554	0.01731
4	-0.085056	-0.7065	0.24112
5	0.142414	1.183	0.120438
6	0.09215	0.7655	0.223305
7	-0.109012	-0.9055	0.184171
8	0.072514	0.6023	0.274459
9	0.240033	1.9939	0.02506
10	-0.091204	-0.7576	0.225636
11	-0.123655	-1.0272	0.153968
12	-0.197994	-1.6447	0.052295
13	-0.069934	-0.5809	0.281596
14	0.052339	0.4348	0.332545
15	0.009711	0.0807	0.46797
16	0.029731	0.247	0.402834
17	0.177772	1.4767	0.072154
18	0.059922	0.4978	0.31012
19	-0.246113	-2.0444	0.022368
20	-0.073574	-0.6112	0.271553
21	0.231864	1.926	0.029112
22	-0.077877	-0.6469	0.259922
23	-0.035687	-0.2964	0.383892
24	-0.307749	-2.5564	0.006391
25	-0.052874	-0.4392	0.330944
26	-0.043404	-0.3605	0.359771
27	0.252841	2.1003	0.019682
28	0.050234	0.4173	0.338887
29	0.147848	1.2281	0.111787
30	-0.043513	-0.3614	0.359437
31	-0.036408	-0.3024	0.381618
32	-0.017679	-0.1469	0.441837
33	0.050849	0.4224	0.337029
34	0.023528	0.1954	0.422811
35	0.004101	0.0341	0.486463
36	-0.058657	-0.4872	0.313815

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229334861mtz7p2u2ugyxbye/1v0ab1229334707.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229334861mtz7p2u2ugyxbye/1v0ab1229334707.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229334861mtz7p2u2ugyxbye/2g6mv1229334707.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229334861mtz7p2u2ugyxbye/2g6mv1229334707.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -1.0 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -1.0 ; 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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