Partial Correlation Function

*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 12:54:57 -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/t1229370965qkt215banjxhnwx.htm/, Retrieved Mon, 15 Dec 2008 20:56:05 +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/t1229370965qkt215banjxhnwx.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 «

5.7 5.7 5.6 5.8 5.6 5.6 5.6 5.5 5.4 5.4 5.5 5.4 5.4 5.2 5.4 5.2 5.1 5.1 5.0 5.0 4.9 5.1 5.0 5.0 4.8 4.7 4.7 4.7 4.7 4.7 4.6 4.7 4.7 4.5 4.4 4.5 4.4 4.6 4.5 4.4 4.5 4.5 4.6 4.7 4.7 4.7 4.8 4.7 5.0 4.9 4.8 5.1 5.0 5.5 5.5 5.7 6.1 6.1 6.5 6.7

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 0.866767 6.7139 0 2 0.764671 5.9231 0 3 0.676049 5.2367 1e-06 4 0.555679 4.3043 3.1e-05 5 0.485402 3.7599 0.000194 6 0.399281 3.0928 0.001504 7 0.314381 2.4352 0.008937 8 0.26981 2.0899 0.020435 9 0.209986 1.6265 0.054537 10 0.174598 1.3524 0.090656 11 0.125157 0.9695 0.168103 12 0.047039 0.3644 0.358433 13 0.00434 0.0336 0.486647 14 -0.045061 -0.349 0.364141 15 -0.100573 -0.779 0.21951 16 -0.141422 -1.0954 0.138849 17 -0.196293 -1.5205 0.066821 18 -0.235901 -1.8273 0.036316 19 -0.266337 -2.063 0.021722 20 -0.293112 -2.2704 0.013393 21 -0.299732 -2.3217 0.011831 22 -0.328348 -2.5434 0.006787 23 -0.358793 -2.7792 0.003633 24 -0.367254 -2.8447 0.003036 25 -0.368993 -2.8582 0.002925 26 -0.356679 -2.7628 0.003798 27 -0.348035 -2.6959 0.004548 28 -0.359547 -2.785 0.003576 29 -0.366787 -2.8411 0.003066 30 -0.355103 -2.7506 0.003926 31 -0.3483 -2.6979 0.004523 32 -0.333576 -2.5839 0.006111 33 -0.324953 -2.5171 0.007262 34 -0.290684 -2.2516 0.01401 35 -0.257625 -1.9956 0.025264 36 -0.227637 -1.7633 0.041473 37 -0.204371 -1.583 0.059334 38 -0.193328 -1.4975 0.069752 39 -0.174963 -1.3553 0.090208 40 -0.138263 -1.071 0.144233 41 -0.098533 -0.7632 0.224156 42 -0.055753 -0.4319 0.333695 43 -0.022755 -0.1763 0.430341 44 0.013283 0.1029 0.459196 45 0.045041 0.3489 0.364199 46 0.057863 0.4482 0.327809 47 0.091441 0.7083 0.240751 48 0.117077 0.9069 0.184051 49 0.128649 0.9965 0.161503 50 0.144492 1.1192 0.133752 51 0.169507 1.313 0.097092 52 0.192661 1.4923 0.070424 53 0.213375 1.6528 0.051798 54 0.202301 1.567 0.061185 55 0.198549 1.538 0.064659 56 0.185014 1.4331 0.078508 57 0.13725 1.0631 0.14599 58 0.110252 0.854 0.198249 59 0.058797 0.4554 0.325219 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.866767 6.7139 0 2 0.053821 0.4169 0.339121 3 0.00919 0.0712 0.471742 4 -0.168497 -1.3052 0.098408 5 0.107698 0.8342 0.203732 6 -0.091883 -0.7117 0.239698 7 -0.033783 -0.2617 0.39723 8 0.063207 0.4896 0.313103 9 -0.041295 -0.3199 0.37509 10 0.04143 0.3209 0.374694 11 -0.109288 -0.8465 0.200306 12 -0.124793 -0.9666 0.168801 13 0.02287 0.1771 0.429994 14 -0.028506 -0.2208 0.412995 15 -0.063747 -0.4938 0.311632 16 -0.05247 -0.4064 0.342936 17 -0.057626 -0.4464 0.328468 18 -0.029993 -0.2323 0.408539 19 -0.044931 -0.348 0.364517 20 -0.00586 -0.0454 0.481974 21 0.005364 0.0415 0.483499 22 -0.100299 -0.7769 0.220131 23 -0.0813 -0.6297 0.265626 24 -0.014083 -0.1091 0.456749 25 0.037604 0.2913 0.38592 26 0.00839 0.065 0.4742 27 -0.049255 -0.3815 0.35208 28 -0.105558 -0.8176 0.208397 29 -0.078976 -0.6117 0.27151 30 0.033932 0.2628 0.39679 31 -0.049916 -0.3866 0.350193 32 -0.01229 -0.0952 0.462236 33 -0.040657 -0.3149 0.376955 34 0.075593 0.5855 0.280191 35 -0.06392 -0.4951 0.311162 36 -0.028865 -0.2236 0.411918 37 -0.073111 -0.5663 0.286647 38 -0.039585 -0.3066 0.380097 39 0.000165 0.0013 0.499493 40 0.032745 0.2536 0.400321 41 0.024247 0.1878 0.425827 42 0.00732 0.0567 0.477487 43 -0.028668 -0.2221 0.41251 44 0.005418 0.042 0.483333 45 -0.039552 -0.3064 0.380193 46 -0.073062 -0.5659 0.286773 47 0.064415 0.499 0.309818 48 0.003343 0.0259 0.489714 49 -0.012759 -0.0988 0.460801 50 -0.034686 -0.2687 0.39455 51 0.058177 0.4506 0.326937 52 -0.00173 -0.0134 0.494678 53 -0.007503 -0.0581 0.476924 54 -0.115491 -0.8946 0.18729 55 -0.002453 -0.019 0.492451 56 -0.042366 -0.3282 0.371966 57 -0.159467 -1.2352 0.11078 58 -0.008903 -0.069 0.472623 59 -0.08433 -0.6532 0.258056 60 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229370965qkt215banjxhnwx/1tu2g1229370893.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229370965qkt215banjxhnwx/1tu2g1229370893.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229370965qkt215banjxhnwx/2zcfz1229370893.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229370965qkt215banjxhnwx/2zcfz1229370893.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; 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')

Copyright

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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