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Partial Autocorrelation 3

*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 02:57:14 -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/t1229335114hwdneaedqicnspa.htm/, Retrieved Mon, 15 Dec 2008 10:58:37 +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/t1229335114hwdneaedqicnspa.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 «

85 95,9 108,9 96,2 100,1 105,7 64,5 66,8 110,3 96,1 102,5 97,6 83,6 86,5 96 91,1 87,2 84,5 59,2 61,5 98,8 97,9 92,7 84,2 74,5 79,7 86,8 79,8 87 91,4 58,7 62,8 87,9 90,4 80,6 73,5 71,4 70,6 78,3 76 77,4 80,9 63,4 58,1 88,2 81,2 84,9 76,4 71,5 76,1 82,9 78 82 84,7 55,7 59,5 83,2 87,6 76,2 76,4 68,3 70 76,3 70,9 72,4 80,1 57,4 62,7 82,6 88,9 80,4 72 69,4 69,2 77,3 79,4 78,6 76,1 61,8 59,4 78,1

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.26241	2.1797	0.016346
2	0.352098	2.9247	0.002331
3	0.212625	1.7662	0.040893
4	0.110401	0.9171	0.181152
5	0.020033	0.1664	0.434162
6	0.084	0.6978	0.243838
7	0.033768	0.2805	0.389966
8	0.105019	0.8723	0.193022
9	0.067607	0.5616	0.288108
10	0.035561	0.2954	0.384291
11	-0.005876	-0.0488	0.480607
12	-0.376848	-3.1303	0.00128
13	-0.035525	-0.2951	0.384404
14	-0.200507	-1.6655	0.05017
15	-0.043862	-0.3643	0.358356
16	-0.049347	-0.4099	0.341572
17	0.132562	1.1011	0.137331
18	0.133929	1.1125	0.134892
19	0.173072	1.4376	0.077528
20	0.137175	1.1395	0.129226
21	0.226479	1.8813	0.032077
22	0.017318	0.1439	0.443019
23	0.146345	1.2156	0.114135
24	0.0733	0.6089	0.272304
25	0.025327	0.2104	0.416993
26	0.119219	0.9903	0.162743
27	0.055882	0.4642	0.321987
28	0.084126	0.6988	0.243511
29	-0.04964	-0.4123	0.340683
30	-0.086882	-0.7217	0.23646
31	-0.08082	-0.6713	0.252121
32	-0.17059	-1.417	0.080488
33	-0.267574	-2.2226	0.01476
34	-0.109575	-0.9102	0.182942
35	-0.223976	-1.8605	0.03354
36	-0.004549	-0.0378	0.484984

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.26241	2.1797	0.016346
2	0.304184	2.5267	0.006905
3	0.081084	0.6735	0.25143
4	-0.05521	-0.4586	0.32398
5	-0.09554	-0.7936	0.215071
6	0.072287	0.6005	0.275084
7	0.04048	0.3363	0.36885
8	0.08432	0.7004	0.243011
9	0.007039	0.0585	0.476772
10	-0.055324	-0.4596	0.32364
11	-0.060534	-0.5028	0.308342
12	-0.462811	-3.8444	0.000133
13	0.167454	1.391	0.084351
14	0.067834	0.5635	0.287469
15	0.144552	1.2007	0.116978
16	-0.02777	-0.2307	0.409126
17	0.107741	0.895	0.186959
18	0.188623	1.5668	0.060866
19	0.032111	0.2667	0.395236
20	0.103443	0.8593	0.196585
21	0.186508	1.5492	0.062948
22	-0.116726	-0.9696	0.167817
23	-0.003337	-0.0277	0.488985
24	-0.322686	-2.6804	0.004594
25	0.037186	0.3089	0.379167
26	0.007504	0.0623	0.47524
27	0.023473	0.195	0.422989
28	-0.010205	-0.0848	0.466346
29	-0.131308	-1.0907	0.139594
30	-0.022178	-0.1842	0.427188
31	0.056297	0.4676	0.320758
32	0.00487	0.0405	0.483925
33	0.034268	0.2847	0.388382
34	-0.116843	-0.9706	0.167577
35	-0.010151	-0.0843	0.466523
36	-0.02991	-0.2485	0.402261

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229335114hwdneaedqicnspa/1u1fo1229335032.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229335114hwdneaedqicnspa/1u1fo1229335032.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229335114hwdneaedqicnspa/2qmsx1229335032.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229335114hwdneaedqicnspa/2qmsx1229335032.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -1.3 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = -1.3 ; 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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