Home » date » 2008 » Dec » 24 »

Partial Autocorrelation

*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: Wed, 24 Dec 2008 06:17:53 -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/24/t1230124716a49um2worg3gizm.htm/, Retrieved Wed, 24 Dec 2008 14:18:38 +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/24/t1230124716a49um2worg3gizm.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 «

97.5 97.1 97.5 98.5 100.5 102.8 105.2 107.4 108.0 107.6 107.0 105.8 104.3 103.8 104.4 106.2 108.5 109.8 110.3 109.7 108.7 108.9 109.7 110.4 111.4 112.6 113.6 113.8 113.2 113.6 113.9 113.4 113.8 116.0 118.3 120.5 121.9 121.2 120.2 120.6 110.2 109.2 108.7 109.9 112.2 114.5 114.7 113.2 112.1 112.6 113.6 114.0 114.5 115.0 114.9 114.8 114.3 113.7 114.5 116.0 116.6 116.2 115.7 115.6 115.2 115.0 115.7 115.9 115.6 115.9 117.0 117.9 118.8 119.9

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.36198	-3.0715	0.001502
2	0.046962	0.3985	0.345727
3	-0.011467	-0.0973	0.46138
4	-0.136506	-1.1583	0.125286
5	-0.145063	-1.2309	0.111183
6	-0.003939	-0.0334	0.486713
7	-0.003878	-0.0329	0.486921
8	0.075335	0.6392	0.262348
9	0.07358	0.6243	0.267187
10	0.008272	0.0702	0.472119
11	0.011396	0.0967	0.461618
12	0.019534	0.1657	0.43441
13	-0.07223	-0.6129	0.270939
14	-0.007286	-0.0618	0.475436
15	-0.03969	-0.3368	0.36863
16	0.001842	0.0156	0.493787
17	0.079509	0.6747	0.251028
18	-0.043755	-0.3713	0.355764
19	-0.046867	-0.3977	0.346021
20	0.097947	0.8311	0.20433
21	0.04375	0.3712	0.355777
22	-0.025888	-0.2197	0.413377
23	-0.032032	-0.2718	0.393277
24	-0.063931	-0.5425	0.294585
25	-0.023915	-0.2029	0.419882
26	-0.047486	-0.4029	0.344095
27	0.026154	0.2219	0.412501
28	0.124185	1.0537	0.147761
29	0.058631	0.4975	0.310177
30	-0.037403	-0.3174	0.375937
31	0.018492	0.1569	0.437879
32	-0.007666	-0.065	0.474158
33	-0.081716	-0.6934	0.245151
34	-0.014096	-0.1196	0.452564
35	-0.01892	-0.1605	0.436453
36	-0.01974	-0.1675	0.433724
37	0.046193	0.392	0.348123
38	0.000218	0.0019	0.499264
39	0.025635	0.2175	0.414208
40	-0.005549	-0.0471	0.481287
41	-0.008521	-0.0723	0.471282
42	-0.00648	-0.055	0.478153
43	0.001687	0.0143	0.494308
44	0.007951	0.0675	0.473197
45	0.01203	0.1021	0.459489
46	-0.003762	-0.0319	0.487312
47	-0.009953	-0.0845	0.466465
48	0.00259	0.022	0.491264

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.36198	-3.0715	0.001502
2	-0.096744	-0.8209	0.207206
3	-0.032343	-0.2744	0.392265
4	-0.171705	-1.457	0.074736
5	-0.31072	-2.6366	0.005126
6	-0.255236	-2.1657	0.016822
7	-0.199369	-1.6917	0.047513
8	-0.111226	-0.9438	0.174219
9	-0.065993	-0.56	0.288618
10	-0.112102	-0.9512	0.172338
11	-0.122417	-1.0387	0.151201
12	-0.049561	-0.4205	0.337672
13	-0.068369	-0.5801	0.28182
14	-0.052584	-0.4462	0.328398
15	-0.091704	-0.7781	0.21952
16	-0.089424	-0.7588	0.225227
17	0.027103	0.23	0.40938
18	-0.033426	-0.2836	0.388754
19	-0.165725	-1.4062	0.08198
20	-0.063523	-0.539	0.29577
21	0.098616	0.8368	0.20274
22	0.115972	0.9841	0.164192
23	0.007479	0.0635	0.474786
24	-0.113363	-0.9619	0.169655
25	-0.088799	-0.7535	0.226808
26	-0.087363	-0.7413	0.230463
27	-0.070213	-0.5958	0.276596
28	0.032507	0.2758	0.391734
29	0.065846	0.5587	0.289043
30	-0.027142	-0.2303	0.409253
31	-0.019948	-0.1693	0.433031
32	0.077546	0.658	0.25632
33	0.083053	0.7047	0.241627
34	0.086086	0.7305	0.233738
35	0.087402	0.7416	0.230362
36	0.046589	0.3953	0.346887
37	0.014518	0.1232	0.451151
38	-0.034434	-0.2922	0.385495
39	0.006535	0.0555	0.477965
40	-0.000349	-0.003	0.498823
41	-0.051268	-0.435	0.332422
42	-0.095913	-0.8138	0.209208
43	-0.097145	-0.8243	0.206246
44	-0.06767	-0.5742	0.283811
45	-0.052334	-0.4441	0.329163
46	-0.029653	-0.2516	0.401028
47	-0.004425	-0.0375	0.485076
48	-0.047058	-0.3993	0.345426

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124716a49um2worg3gizm/1ws671230124671.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124716a49um2worg3gizm/1ws671230124671.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124716a49um2worg3gizm/26kut1230124671.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124716a49um2worg3gizm/26kut1230124671.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 2 ; 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

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by