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Paper H5 Vrouwen (Partial) Autocorrelation 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: Fri, 19 Dec 2008 08:07:29 -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/19/t1229699413dljoqr13q0bpbew.htm/, Retrieved Fri, 19 Dec 2008 16:10:13 +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/19/t1229699413dljoqr13q0bpbew.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 «

308347 298427 289231 291975 294912 293488 290555 284736 281818 287854 316263 325412 326011 328282 317480 317539 313737 312276 309391 302950 300316 304035 333476 337698 335932 323931 313927 314485 313218 309664 302963 298989 298423 301631 329765 335083 327616 309119 295916 291413 291542 284678 276475 272566 264981 263290 296806 303598 286994 276427 266424 267153 268381 262522 255542 253158 243803 250741 280445 285257 270976 261076 255603

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.000119	8e-04	0.499667
2	0.011724	0.0829	0.46713
3	-0.011346	-0.0802	0.468189
4	0.096975	0.6857	0.24803
5	0.057374	0.4057	0.343348
6	0.014755	0.1043	0.45866
7	0.017188	0.1215	0.451876
8	0.041579	0.294	0.384985
9	0.035704	0.2525	0.400859
10	-0.12315	-0.8708	0.194011
11	0.160477	1.1347	0.130947
12	-0.218738	-1.5467	0.06412
13	-0.074883	-0.5295	0.2994
14	0.098818	0.6988	0.243973
15	0.027361	0.1935	0.423688
16	-0.076601	-0.5417	0.295232
17	-0.105836	-0.7484	0.228871
18	0.022045	0.1559	0.438377
19	0.096301	0.6809	0.249523
20	0.04461	0.3154	0.37687
21	-0.060322	-0.4265	0.335773
22	0.064085	0.4531	0.326201
23	0.054105	0.3826	0.351827
24	-0.197427	-1.396	0.084439
25	-0.060894	-0.4306	0.334309
26	-0.181551	-1.2838	0.102571
27	-0.022855	-0.1616	0.436131
28	-0.062487	-0.4419	0.330251
29	0.059364	0.4198	0.338226
30	-0.051828	-0.3665	0.357777
31	-0.080447	-0.5688	0.286004
32	-0.151624	-1.0721	0.144402
33	0.076172	0.5386	0.296272
34	-0.000116	-8e-04	0.499675
35	-0.15573	-1.1012	0.138047
36	0.051975	0.3675	0.357391
37	-0.041849	-0.2959	0.384259
38	0.047103	0.3331	0.370238
39	-0.018151	-0.1283	0.449196
40	0.032323	0.2286	0.410073
41	-0.043656	-0.3087	0.379418
42	0.033495	0.2368	0.406873
43	-0.007178	-0.0508	0.479862
44	0.10856	0.7676	0.223157
45	-0.05042	-0.3565	0.361473
46	-0.054505	-0.3854	0.350784
47	0.024588	0.1739	0.431336
48	0.010388	0.0735	0.470868
49	0.064406	0.4554	0.325389
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	0.000119	8e-04	0.499667
2	0.011724	0.0829	0.46713
3	-0.01135	-0.0803	0.468177
4	0.096867	0.685	0.248268
5	0.058045	0.4104	0.341617
6	0.012798	0.0905	0.464127
7	0.018492	0.1308	0.448244
8	0.033886	0.2396	0.405806
9	0.025291	0.1788	0.429394
10	-0.130992	-0.9263	0.179383
11	0.159864	1.1304	0.131848
12	-0.240444	-1.7002	0.047654
13	-0.085253	-0.6028	0.274673
14	0.144319	1.0205	0.156205
15	-0.010999	-0.0778	0.469158
16	-0.065317	-0.4619	0.323092
17	-0.059993	-0.4242	0.336613
18	0.036868	0.2607	0.397699
19	0.088085	0.6229	0.268105
20	0.04397	0.3109	0.37858
21	0.021529	0.1522	0.439809
22	-0.020566	-0.1454	0.442482
23	0.098233	0.6946	0.245257
24	-0.246534	-1.7433	0.043718
25	-0.134387	-0.9503	0.173275
26	-0.175096	-1.2381	0.110727
27	-0.04022	-0.2844	0.38864
28	-0.062502	-0.442	0.330213
29	0.066319	0.4689	0.320572
30	-0.001408	-0.01	0.496049
31	-0.001755	-0.0124	0.495075
32	-0.064661	-0.4572	0.324746
33	0.113487	0.8025	0.213039
34	-0.075579	-0.5344	0.297707
35	-0.03818	-0.27	0.394147
36	0.001424	0.0101	0.496004
37	-0.104958	-0.7422	0.230731
38	-0.04848	-0.3428	0.366591
39	0.037266	0.2635	0.396619
40	-0.006396	-0.0452	0.482053
41	-0.080306	-0.5678	0.286339
42	-0.008588	-0.0607	0.475911
43	0.046148	0.3263	0.372773
44	0.072938	0.5158	0.304151
45	0.025098	0.1775	0.429928
46	0.061454	0.4345	0.33288
47	-0.03177	-0.2247	0.411583
48	-0.037216	-0.2632	0.396756
49	0.048052	0.3398	0.367724
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/19/t1229699413dljoqr13q0bpbew/1hzwg1229699243.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229699413dljoqr13q0bpbew/1hzwg1229699243.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229699413dljoqr13q0bpbew/2w9aq1229699243.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229699413dljoqr13q0bpbew/2w9aq1229699243.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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