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PACF d=1 D=0

*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 16:11:01 -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/16/t1229382696nql8jph7cfx8wl7.htm/, Retrieved Tue, 16 Dec 2008 00:11:38 +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/16/t1229382696nql8jph7cfx8wl7.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 «

7.6 7.7 7.6 8.2 8 8.1 8.3 8.2 8.1 7.7 7.6 7.7 8.2 8.4 8.4 8.6 8.4 8.5 8.7 8.7 8.6 7.4 7.3 7.4 9 9.2 9.2 8.5 8.3 8.3 8.6 8.6 8.5 8.1 8.1 8 8.6 8.7 8.7 8.6 8.4 8.4 8.7 8.7 8.5 8.3 8.3 8.3 8.1 8.2 8.1 8.1 7.9 7.7 8.1 8 7.7 7.8 7.6 7.4 7.7

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.109469	0.8479	0.199919
2	-0.09818	-0.7605	0.224968
3	-0.54971	-4.258	3.7e-05
4	-0.20751	-1.6074	0.056612
5	0.08137	0.6303	0.26545
6	0.304399	2.3579	0.010829
7	0.096891	0.7505	0.22794
8	-0.137407	-1.0643	0.145717
9	-0.286219	-2.217	0.01521
10	-0.073054	-0.5659	0.286796
11	0.127512	0.9877	0.163633
12	0.46707	3.6179	0.000305
13	0.115028	0.891	0.188243
14	-0.061695	-0.4779	0.317235
15	-0.332342	-2.5743	0.006265
16	-0.175349	-1.3582	0.089735
17	0.044828	0.3472	0.364813
18	0.165495	1.2819	0.102402
19	0.10806	0.837	0.20295
20	-0.141619	-1.097	0.138517
21	-0.021327	-0.1652	0.434671
22	-0.076074	-0.5893	0.278948
23	0.093658	0.7255	0.23549
24	0.08003	0.6199	0.268832
25	0.066191	0.5127	0.305017
26	-0.039025	-0.3023	0.381741
27	-0.057422	-0.4448	0.329037
28	-0.089821	-0.6958	0.244635
29	-0.001484	-0.0115	0.495433
30	0.096765	0.7495	0.228231
31	0.065978	0.5111	0.30559
32	-0.068691	-0.5321	0.298318
33	-0.074442	-0.5766	0.283175
34	-0.046555	-0.3606	0.359828
35	0.010926	0.0846	0.466417
36	0.078436	0.6076	0.272886
37	0.038159	0.2956	0.384288
38	-0.0067	-0.0519	0.47939
39	-0.017968	-0.1392	0.444887
40	-0.025308	-0.196	0.422622
41	-0.025332	-0.1962	0.42255
42	0.019619	0.152	0.43986
43	0.009848	0.0763	0.469724
44	-0.023837	-0.1846	0.427066
45	-0.030944	-0.2397	0.405694
46	-0.002846	-0.022	0.491241
47	-0.018275	-0.1416	0.443952
48	0.037827	0.293	0.385264
49	0.011318	0.0877	0.465215
50	-0.026551	-0.2057	0.418875
51	0.023917	0.1853	0.426825
52	-0.014093	-0.1092	0.45672
53	-0.033799	-0.2618	0.397184
54	0.022373	0.1733	0.431499
55	-0.012668	-0.0981	0.46108
56	-0.02113	-0.1637	0.435269
57	0.02513	0.1947	0.423159
58	-0.007035	-0.0545	0.478361
59	0.004115	0.0319	0.48734
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.109469	0.8479	0.199919
2	-0.111499	-0.8637	0.195604
3	-0.538629	-4.1722	4.9e-05
4	-0.172073	-1.3329	0.093806
5	0.018308	0.1418	0.443852
6	-0.016466	-0.1275	0.449469
7	-0.138696	-1.0743	0.143487
8	-0.16265	-1.2599	0.106296
9	-0.192787	-1.4933	0.070297
10	-0.093643	-0.7254	0.235527
11	-0.078023	-0.6044	0.27394
12	0.301769	2.3375	0.011384
13	0.061836	0.479	0.316848
14	0.075376	0.5839	0.28075
15	0.138318	1.0714	0.144139
16	0.056244	0.4357	0.332322
17	0.07726	0.5985	0.275895
18	-0.010355	-0.0802	0.46817
19	0.03096	0.2398	0.405644
20	-0.117706	-0.9117	0.182775
21	0.183117	1.4184	0.080622
22	-0.018462	-0.143	0.443383
23	-0.103907	-0.8049	0.212039
24	-0.119443	-0.9252	0.179284
25	-0.032062	-0.2484	0.402355
26	-0.077733	-0.6021	0.274683
27	-0.028045	-0.2172	0.414382
28	-0.034215	-0.265	0.395949
29	-0.041878	-0.3244	0.373387
30	0.148656	1.1515	0.12705
31	0.051783	0.4011	0.344881
32	0.010522	0.0815	0.467657
33	-0.080133	-0.6207	0.268571
34	0.081207	0.629	0.26586
35	-0.085158	-0.6596	0.256007
36	0.015821	0.1226	0.451436
37	0.006775	0.0525	0.479162
38	-0.046331	-0.3589	0.360473
39	-0.016877	-0.1307	0.448213
40	-0.022591	-0.175	0.430839
41	-0.017962	-0.1391	0.444906
42	-0.14683	-1.1373	0.129959
43	-0.031173	-0.2415	0.40501
44	-0.081698	-0.6328	0.264624
45	0.021599	0.1673	0.433848
46	0.014422	0.1117	0.455711
47	0.008204	0.0635	0.474771
48	-0.066551	-0.5155	0.304049
49	0.015416	0.1194	0.452675
50	-0.037812	-0.2929	0.385309
51	-0.013836	-0.1072	0.457505
52	-0.04594	-0.3558	0.361601
53	-0.118859	-0.9207	0.180453
54	0.124373	0.9634	0.169609
55	-0.062662	-0.4854	0.314588
56	-0.043241	-0.3349	0.369417
57	-0.010477	-0.0812	0.467795
58	-0.028578	-0.2214	0.412781
59	-0.026432	-0.2047	0.419233
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229382696nql8jph7cfx8wl7/1lkm81229382659.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229382696nql8jph7cfx8wl7/1lkm81229382659.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229382696nql8jph7cfx8wl7/2z5uj1229382659.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229382696nql8jph7cfx8wl7/2z5uj1229382659.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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

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