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PACF 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: Thu, 18 Dec 2008 06:25:56 -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/18/t1229606798vlyl09co70p2okz.htm/, Retrieved Thu, 18 Dec 2008 14:26:40 +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/18/t1229606798vlyl09co70p2okz.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	0.001019	0.0071	0.497199
2	-0.072251	-0.5006	0.30948
3	-0.539298	-3.7364	0.000248
4	-0.061567	-0.4265	0.335809
5	0.010608	0.0735	0.470859
6	0.162859	1.1283	0.132396
7	-0.027461	-0.1903	0.424956
8	0.040152	0.2782	0.391035
9	0.08366	0.5796	0.282444
10	0.045661	0.3164	0.376554
11	-0.019437	-0.1347	0.446719
12	-0.212822	-1.4745	0.073442
13	-0.022235	-0.154	0.439109
14	0.018209	0.1262	0.450068
15	0.148671	1.03	0.154082
16	-0.013868	-0.0961	0.461928
17	0.011255	0.078	0.469085
18	-0.142772	-0.9892	0.163774
19	0.010773	0.0746	0.470407
20	-0.026885	-0.1863	0.426511
21	0.235062	1.6286	0.054977
22	-0.009255	-0.0641	0.474571
23	0.042016	0.2911	0.386117
24	-0.261542	-1.812	0.038121
25	-0.038883	-0.2694	0.394391
26	-0.003955	-0.0274	0.489127
27	0.179891	1.2463	0.109348
28	0.005504	0.0381	0.48487
29	-0.017446	-0.1209	0.45215
30	-0.045298	-0.3138	0.377503
31	4.8e-05	3e-04	0.499867
32	0.033342	0.231	0.409147
33	0.017883	0.1239	0.450958
34	-0.037956	-0.263	0.396852
35	-0.028562	-0.1979	0.421987
36	0.042728	0.296	0.384243
37	0.02257	0.1564	0.4382
38	0.044084	0.3054	0.380683
39	-0.080527	-0.5579	0.289749
40	0.002202	0.0153	0.493947
41	0.015885	0.1101	0.456412
42	-0.022453	-0.1556	0.438516
43	0.017037	0.118	0.453265
44	0.015673	0.1086	0.456993
45	-0.039349	-0.2726	0.393159
46	0.006747	0.0467	0.481456
47	0.010285	0.0713	0.471746
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.001019	0.0071	0.497199
2	-0.072252	-0.5006	0.309477
3	-0.541975	-3.7549	0.000234
4	-0.123434	-0.8552	0.198352
5	-0.113667	-0.7875	0.217428
6	-0.225616	-1.5631	0.062298
7	-0.22261	-1.5423	0.064785
8	-0.095611	-0.6624	0.255437
9	0.044879	0.3109	0.378599
10	-0.059024	-0.4089	0.342204
11	0.00625	0.0433	0.482822
12	-0.137988	-0.956	0.171929
13	-0.010488	-0.0727	0.471187
14	-0.018535	-0.1284	0.449178
15	-0.061452	-0.4258	0.336096
16	-0.071977	-0.4987	0.310145
17	-0.01713	-0.1187	0.453012
18	-0.170694	-1.1826	0.121395
19	-0.148899	-1.0316	0.153714
20	-0.140419	-0.9729	0.167751
21	0.138731	0.9612	0.170646
22	-0.039343	-0.2726	0.393173
23	0.03916	0.2713	0.393658
24	-0.114051	-0.7902	0.216657
25	-0.067619	-0.4685	0.320782
26	-0.007097	-0.0492	0.480495
27	-0.027256	-0.1888	0.425509
28	-0.102745	-0.7118	0.240006
29	-0.093522	-0.6479	0.260057
30	-0.071496	-0.4953	0.311312
31	-0.151982	-1.053	0.148815
32	-0.119347	-0.8269	0.206203
33	0.079841	0.5532	0.291362
34	-0.076223	-0.5281	0.299935
35	-0.039579	-0.2742	0.39255
36	-0.007338	-0.0508	0.479832
37	-0.017817	-0.1234	0.451138
38	0.03615	0.2505	0.401652
39	-0.002254	-0.0156	0.493803
40	0.015652	0.1084	0.457048
41	0.087427	0.6057	0.27378
42	-0.170419	-1.1807	0.121771
43	-0.007463	-0.0517	0.479489
44	0.013724	0.0951	0.462324
45	-0.030191	-0.2092	0.417602
46	-0.00574	-0.0398	0.484223
47	0.054276	0.376	0.354273
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606798vlyl09co70p2okz/1jmkm1229606754.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606798vlyl09co70p2okz/1jmkm1229606754.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606798vlyl09co70p2okz/24hh81229606754.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229606798vlyl09co70p2okz/24hh81229606754.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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