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pacf vlaams d=1 D=1

*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: Tue, 16 Dec 2008 07:38:27 -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/t1229438362e6q7hlie52kryiq.htm/, Retrieved Tue, 16 Dec 2008 15:39:24 +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/t1229438362e6q7hlie52kryiq.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 «

217859 208679 213188 216234 213587 209465 204045 200237 203666 241476 260307 243324 244460 233575 237217 235243 230354 227184 221678 217142 219452 256446 265845 248624 241114 229245 231805 219277 219313 212610 214771 211142 211457 240048 240636 230580 208795 197922 194596 194581 185686 178106 172608 167302 168053 202300 202388 182516 173476 166444 171297 169701 164182 161914 159612 151001 158114 186530 187069 174330

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	-0.24702	-1.6935	0.048491
2	0.253692	1.7392	0.044271
3	-0.138321	-0.9483	0.173919
4	0.194766	1.3353	0.094113
5	0.06895	0.4727	0.319309
6	-0.032945	-0.2259	0.411146
7	0.117197	0.8035	0.212877
8	-0.19212	-1.3171	0.097093
9	0.285876	1.9599	0.027978
10	-0.048848	-0.3349	0.3696
11	0.266825	1.8293	0.036855
12	-0.312871	-2.1449	0.018579
13	0.087456	0.5996	0.275837
14	0.038696	0.2653	0.395974
15	-0.008978	-0.0616	0.47559
16	-0.128108	-0.8783	0.192134
17	-0.096015	-0.6582	0.256795
18	0.057319	0.393	0.348064
19	-0.035912	-0.2462	0.403299
20	0.096198	0.6595	0.256396
21	-0.022678	-0.1555	0.438558
22	-0.017751	-0.1217	0.451829
23	-0.083556	-0.5728	0.284745
24	-0.025058	-0.1718	0.432172
25	-0.012971	-0.0889	0.46476
26	-0.135025	-0.9257	0.179669
27	-0.063934	-0.4383	0.331585
28	-0.001206	-0.0083	0.496719
29	-0.05322	-0.3649	0.358428
30	-0.040107	-0.275	0.392277
31	0.023193	0.159	0.437175
32	-0.085369	-0.5853	0.280587
33	0.006782	0.0465	0.481555
34	-0.060137	-0.4123	0.341006
35	-0.033461	-0.2294	0.409779
36	-0.002401	-0.0165	0.493468

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.24702	-1.6935	0.048491
2	0.205193	1.4067	0.083042
3	-0.042054	-0.2883	0.387189
4	0.120792	0.8281	0.205897
5	0.184484	1.2648	0.106096
6	-0.063132	-0.4328	0.333566
7	0.085048	0.5831	0.281321
8	-0.163865	-1.1234	0.133486
9	0.161948	1.1103	0.136268
10	0.132838	0.9107	0.183553
11	0.183318	1.2568	0.107524
12	-0.234166	-1.6054	0.057557
13	-0.14371	-0.9852	0.164779
14	0.101531	0.6961	0.244908
15	-0.053258	-0.3651	0.358329
16	-0.229656	-1.5744	0.061047
17	-0.021166	-0.1451	0.442623
18	0.034727	0.2381	0.40643
19	0.054294	0.3722	0.355701
20	-0.022904	-0.157	0.437951
21	0.122396	0.8391	0.202829
22	0.042952	0.2945	0.38485
23	-0.062777	-0.4304	0.334445
24	-0.212734	-1.4584	0.075687
25	-0.041353	-0.2835	0.389019
26	0.036638	0.2512	0.401387
27	-0.045204	-0.3099	0.379003
28	-0.083114	-0.5698	0.285763
29	-0.077835	-0.5336	0.298062
30	-0.020654	-0.1416	0.444001
31	0.075766	0.5194	0.302951
32	-0.156909	-1.0757	0.143773
33	0.070027	0.4801	0.316698
34	0.093521	0.6411	0.26227
35	-0.068974	-0.4729	0.319251
36	0.007469	0.0512	0.47969

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229438362e6q7hlie52kryiq/1uz1u1229438306.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229438362e6q7hlie52kryiq/1uz1u1229438306.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229438362e6q7hlie52kryiq/2e16v1229438306.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229438362e6q7hlie52kryiq/2e16v1229438306.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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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