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Partial correlation: differentiatie

*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, 17 Dec 2009 03:35:53 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046329z5zyt4d32nx40m0.htm/, Retrieved Thu, 17 Dec 2009 11:38:51 +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/17/t1261046329z5zyt4d32nx40m0.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 «

9.3 8.7 8.2 8.3 8.5 8.6 8.5 8.2 8.1 7.9 8.6 8.7 8.7 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8 8.2 8.1 8.1 8 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.4 6.1 6.5 7.7 7.9 7.5 6.9 6.6 6.9 7.7 8 8 7.7 7.3 7.4 8.1 8.3 8.2

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	0.336772	2.6086	0.005729
2	-0.303004	-2.3471	0.01112
3	-0.526512	-4.0783	6.8e-05
4	-0.347681	-2.6931	0.004582
5	0.147749	1.1445	0.12849
6	0.534394	4.1394	5.5e-05
7	0.349315	2.7058	0.004429
8	-0.067593	-0.5236	0.301251
9	-0.341231	-2.6432	0.005232
10	-0.317985	-2.4631	0.00833
11	-0.007173	-0.0556	0.477937
12	0.367746	2.8486	0.003004
13	0.08059	0.6243	0.267415
14	-0.081037	-0.6277	0.266287
15	-0.08475	-0.6565	0.257016
16	-0.086491	-0.67	0.252727
17	0.000326	0.0025	0.498998
18	0.096923	0.7508	0.227866
19	0.027335	0.2117	0.416515
20	-0.054541	-0.4225	0.337094
21	-0.063247	-0.4899	0.312993
22	-0.05828	-0.4514	0.326651
23	0.043335	0.3357	0.369145
24	0.166174	1.2872	0.101487
25	-0.104647	-0.8106	0.210401
26	-0.146866	-1.1376	0.129901
27	-0.066347	-0.5139	0.304597
28	-0.011507	-0.0891	0.464635
29	0.081454	0.6309	0.265238
30	0.130559	1.0113	0.157966
31	0.038339	0.297	0.383757
32	-0.120626	-0.9344	0.17693
33	-0.167171	-1.2949	0.100157
34	0.005516	0.0427	0.483032
35	0.172212	1.3339	0.093631
36	0.234732	1.8182	0.037011
37	-0.021855	-0.1693	0.433071
38	-0.179847	-1.3931	0.084367
39	-0.188706	-1.4617	0.07452
40	-0.03458	-0.2679	0.394864
41	0.164656	1.2754	0.103538
42	0.268653	2.081	0.020856
43	0.073383	0.5684	0.285934
44	-0.191575	-1.4839	0.07153
45	-0.262443	-2.0329	0.023249
46	-0.064921	-0.5029	0.308445
47	0.135979	1.0533	0.148215
48	0.20828	1.6133	0.05596
49	0.048623	0.3766	0.353887
50	-0.112159	-0.8688	0.194214
51	-0.14575	-1.129	0.131701
52	-0.063004	-0.488	0.313655
53	0.030086	0.233	0.408261
54	0.084644	0.6556	0.257279
55	0.044243	0.3427	0.366509
56	-0.062493	-0.4841	0.315048
57	-0.081824	-0.6338	0.264309
58	-0.013466	-0.1043	0.458637
59	0.007297	0.0565	0.477557
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.336772	2.6086	0.005729
2	-0.46969	-3.6382	0.000286
3	-0.31601	-2.4478	0.008658
4	-0.247163	-1.9145	0.030163
5	0.083554	0.6472	0.259984
6	0.256257	1.985	0.025863
7	0.045359	0.3513	0.363279
8	0.070156	0.5434	0.294425
9	0.040394	0.3129	0.377724
10	-0.005905	-0.0457	0.481836
11	0.009443	0.0731	0.470966
12	0.150123	1.1629	0.124747
13	-0.464009	-3.5942	0.000329
14	0.107861	0.8355	0.20338
15	0.076382	0.5917	0.278154
16	-0.000149	-0.0012	0.499541
17	-0.051079	-0.3957	0.346882
18	-0.017182	-0.1331	0.447282
19	0.098062	0.7596	0.225238
20	-0.001474	-0.0114	0.495464
21	-0.049406	-0.3827	0.351648
22	-0.138893	-1.0759	0.143148
23	0.061884	0.4794	0.316714
24	0.059142	0.4581	0.324262
25	-0.170898	-1.3238	0.095301
26	-0.082745	-0.6409	0.262
27	-0.094453	-0.7316	0.233622
28	0.053794	0.4167	0.339198
29	0.000355	0.0027	0.498908
30	-0.02368	-0.1834	0.42754
31	0.062268	0.4823	0.315666
32	-0.027364	-0.212	0.416428
33	0.001313	0.0102	0.495961
34	0.240128	1.86	0.033893
35	0.00108	0.0084	0.496676
36	0.015547	0.1204	0.452275
37	0.048555	0.3761	0.354082
38	-0.10158	-0.7868	0.217237
39	-0.08888	-0.6885	0.246907
40	-0.014861	-0.1151	0.454371
41	-0.047297	-0.3664	0.357692
42	0.112471	0.8712	0.193559
43	-0.083403	-0.646	0.260358
44	0.041619	0.3224	0.374143
45	0.075963	0.5884	0.279233
46	-0.016946	-0.1313	0.448004
47	-0.029356	-0.2274	0.410445
48	-0.105913	-0.8204	0.207618
49	-0.003268	-0.0253	0.489946
50	-0.085029	-0.6586	0.256326
51	0.041168	0.3189	0.375461
52	-0.105216	-0.815	0.209148
53	-0.034198	-0.2649	0.396
54	-0.064116	-0.4966	0.310629
55	0.048529	0.3759	0.354156
56	0.016951	0.1313	0.447986
57	-0.051595	-0.3997	0.345416
58	-0.080131	-0.6207	0.268576
59	0.072619	0.5625	0.287935
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046329z5zyt4d32nx40m0/1p2ct1261046151.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046329z5zyt4d32nx40m0/1p2ct1261046151.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046329z5zyt4d32nx40m0/2f2cg1261046151.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261046329z5zyt4d32nx40m0/2f2cg1261046151.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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