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pacf en acf

*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, 11 Dec 2009 03:24:57 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/11/t1260527241zs8t1bt7rois4g0.htm/, Retrieved Fri, 11 Dec 2009 11:27:23 +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/2009/Dec/11/t1260527241zs8t1bt7rois4g0.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

3.9 3.6 3.3 3.2 3.4 3.4 3.5 3.2 3.3 3.3 3.4 3.7 3.9 4 3.7 3.9 4.2 4.4 4.3 4.2 4.3 4.3 4.3 4.5 5 5.2 5.2 5.4 5.5 5.4 5.5 5.4 5.7 5.7 6.1 6.5 6.9 6.8 6.7 6.6 6.5 6.4 6.1 6.2 6.3 6.4 6.5 6.7 7 7 6.8 6.7 6.7 6.5 6.4 6.1 6.2 6 6.1 6.1 6.2

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	0.011376	0.0788	0.468753
2	0.368147	2.5506	0.006999
3	-0.137747	-0.9543	0.172347
4	0.115406	0.7996	0.213954
5	-0.07881	-0.546	0.293793
6	-0.034539	-0.2393	0.405947
7	0.01631	0.113	0.45525
8	0.056469	0.3912	0.348679
9	0.272615	1.8887	0.032489
10	0.006853	0.0475	0.481164
11	0.314282	2.1774	0.017199
12	-0.320724	-2.222	0.015514
13	0.147889	1.0246	0.155342
14	-0.16886	-1.1699	0.12391
15	0.085115	0.5897	0.27908
16	-0.141173	-0.9781	0.16647
17	0.188459	1.3057	0.098942
18	0.125822	0.8717	0.19385
19	0.267133	1.8507	0.035182
20	-0.001096	-0.0076	0.496985
21	-0.014391	-0.0997	0.460496
22	-0.040022	-0.2773	0.391378
23	-0.208745	-1.4462	0.077306
24	-0.042763	-0.2963	0.38415
25	-0.251782	-1.7444	0.043745
26	-0.030702	-0.2127	0.416228
27	-0.169819	-1.1765	0.12259
28	0.108004	0.7483	0.228972
29	-0.184896	-1.281	0.103175
30	0.060033	0.4159	0.339661
31	-0.18517	-1.2829	0.102845
32	0.021107	0.1462	0.442173
33	-0.121299	-0.8404	0.202429
34	-0.069627	-0.4824	0.31586
35	-0.01631	-0.113	0.45525
36	-0.060855	-0.4216	0.337593

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.011376	0.0788	0.468753
2	0.368065	2.55	0.007009
3	-0.167258	-1.1588	0.126136
4	-0.010909	-0.0756	0.470034
5	0.031316	0.217	0.414578
6	-0.110847	-0.768	0.223133
7	0.075139	0.5206	0.302526
8	0.109935	0.7617	0.224997
9	0.254563	1.7637	0.042076
10	-0.064545	-0.4472	0.328377
11	0.184195	1.2761	0.104023
12	-0.368754	-2.5548	0.006925
13	0.010963	0.076	0.469885
14	0.186234	1.2903	0.10157
15	-0.076745	-0.5317	0.298691
16	-0.073273	-0.5076	0.307012
17	0.275531	1.9089	0.03113
18	0.066157	0.4584	0.324384
19	0.065293	0.4524	0.326523
20	-0.138096	-0.9568	0.171742
21	-0.023839	-0.1652	0.434755
22	-0.098889	-0.6851	0.248281
23	-0.043629	-0.3023	0.381875
24	-0.130932	-0.9071	0.184437
25	-0.142949	-0.9904	0.163477
26	-0.06292	-0.4359	0.332423
27	-0.146441	-1.0146	0.157699
28	-0.112019	-0.7761	0.220751
29	-0.089528	-0.6203	0.269006
30	0.067529	0.4679	0.321002
31	0.10492	0.7269	0.235407
32	-0.096379	-0.6677	0.25375
33	0.037747	0.2615	0.397406
34	0.072063	0.4993	0.309936
35	-0.006007	-0.0416	0.483488
36	-0.096341	-0.6675	0.253834

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260527241zs8t1bt7rois4g0/17y881260527096.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260527241zs8t1bt7rois4g0/17y881260527096.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260527241zs8t1bt7rois4g0/2lart1260527096.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260527241zs8t1bt7rois4g0/2lart1260527096.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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