Home » date » 2009 » Dec » 31 »

PACF d=1 D=0

*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, 31 Dec 2009 02:13:40 -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/31/t1262250894gi34us6eezid9lg.htm/, Retrieved Thu, 31 Dec 2009 10:14:56 +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/31/t1262250894gi34us6eezid9lg.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 «

40.22 44.23 45.85 53.38 53.26 51.8 55.3 57.81 63.96 63.77 59.15 56.12 57.42 63.52 61.71 63.01 68.18 72.03 69.75 74.41 74.33 64.24 60.03 59.44 62.5 55.04 58.34 61.92 67.65 67.68 70.3 75.26 71.44 76.36 81.71 92.6 90.6 92.23 94.09 102.79 109.65 124.05 132.69 135.81 116.07 101.42 75.73 55.48 43.8 45.29 44.01 47.48 51.07 57.84 69.04 65.61 72.87 68.41 73.25 77.43

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	0.433269	3.328	0.000755
2	0.314383	2.4148	0.009431
3	0.07004	0.538	0.296305
4	-0.001932	-0.0148	0.494105
5	-0.166499	-1.2789	0.102969
6	-0.335677	-2.5784	0.006221
7	-0.159928	-1.2284	0.112082
8	-0.234166	-1.7987	0.038594
9	-0.138898	-1.0669	0.145182
10	-0.042953	-0.3299	0.371312
11	0.053321	0.4096	0.341802
12	-0.06707	-0.5152	0.304178
13	-0.098335	-0.7553	0.226528
14	-0.031316	-0.2405	0.405371
15	0.007914	0.0608	0.475866
16	-0.016573	-0.1273	0.449567
17	-0.101428	-0.7791	0.219523
18	-0.06043	-0.4642	0.322117
19	-0.071825	-0.5517	0.291619
20	-0.102278	-0.7856	0.21762
21	0.028235	0.2169	0.414526
22	0.026179	0.2011	0.420661
23	0.16543	1.2707	0.104413
24	0.028639	0.22	0.413322
25	0.228791	1.7574	0.042021
26	0.174518	1.3405	0.092611
27	0.118732	0.912	0.182742
28	-0.005229	-0.0402	0.484048
29	-0.093025	-0.7145	0.238855
30	-0.026362	-0.2025	0.420115
31	-0.157558	-1.2102	0.115509
32	-0.010838	-0.0832	0.466968
33	-0.045447	-0.3491	0.364133
34	0.022417	0.1722	0.431941
35	4e-06	0	0.499987
36	0.091883	0.7058	0.241556
37	0.091414	0.7022	0.242669
38	0.026887	0.2065	0.418548
39	-0.028636	-0.22	0.413331
40	-0.060694	-0.4662	0.321396
41	-0.048559	-0.373	0.355246
42	-0.083434	-0.6409	0.262045
43	-0.079936	-0.614	0.270788
44	-0.156867	-1.2049	0.116522
45	-0.127136	-0.9766	0.166389
46	-0.033022	-0.2536	0.400326
47	-0.066059	-0.5074	0.30688
48	0.035761	0.2747	0.392258
49	-0.019716	-0.1514	0.440071
50	0.075677	0.5813	0.281631
51	0.072226	0.5548	0.290573
52	0.029815	0.229	0.409824
53	0.060765	0.4667	0.321202
54	-0.034423	-0.2644	0.396192
55	0.029125	0.2237	0.411876
56	-0.000271	-0.0021	0.499174
57	0.013208	0.1015	0.459766
58	0.007889	0.0606	0.475943
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.433269	3.328	0.000755
2	0.155933	1.1977	0.117904
3	-0.141943	-1.0903	0.140011
4	-0.042416	-0.3258	0.372862
5	-0.158813	-1.2199	0.113685
6	-0.269167	-2.0675	0.02154
7	0.163802	1.2582	0.106641
8	-0.127531	-0.9796	0.165646
9	-0.05835	-0.4482	0.327828
10	0.12864	0.9881	0.163568
11	-0.02852	-0.2191	0.413678
12	-0.273683	-2.1022	0.019907
13	-0.023077	-0.1773	0.429956
14	0.005288	0.0406	0.483868
15	0.008039	0.0617	0.475486
16	0.026332	0.2023	0.420204
17	-0.176631	-1.3567	0.090019
18	-0.133612	-1.0263	0.154472
19	0.015704	0.1206	0.4522
20	-0.148088	-1.1375	0.129967
21	0.122779	0.9431	0.174743
22	0.017869	0.1373	0.445648
23	0.093178	0.7157	0.238496
24	-0.157122	-1.2069	0.116148
25	0.160051	1.2294	0.111905
26	-0.054713	-0.4203	0.33791
27	0.004606	0.0354	0.485948
28	-0.045854	-0.3522	0.362966
29	-0.059299	-0.4555	0.325217
30	0.019636	0.1508	0.440312
31	0.009753	0.0749	0.470268
32	0.049934	0.3835	0.351346
33	0.008506	0.0653	0.474065
34	-0.008879	-0.0682	0.472928
35	0.032016	0.2459	0.4033
36	0.050577	0.3885	0.349525
37	-0.028559	-0.2194	0.413562
38	0.041722	0.3205	0.374872
39	-0.023048	-0.177	0.430044
40	-0.054702	-0.4202	0.337943
41	0.014532	0.1116	0.455751
42	0.008194	0.0629	0.475013
43	-0.032175	-0.2471	0.402829
44	-0.151995	-1.1675	0.123853
45	0.041365	0.3177	0.375905
46	0.032465	0.2494	0.401971
47	-0.131416	-1.0094	0.158447
48	0.017083	0.1312	0.448026
49	-0.049519	-0.3804	0.352522
50	-0.016245	-0.1248	0.450561
51	0.044521	0.342	0.366793
52	-0.116171	-0.8923	0.187922
53	-0.081404	-0.6253	0.2671
54	0.107938	0.8291	0.205199
55	-0.044313	-0.3404	0.367391
56	0.026569	0.2041	0.419495
57	-0.093931	-0.7215	0.236725
58	-0.04305	-0.3307	0.371032
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262250894gi34us6eezid9lg/1uin51262250818.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262250894gi34us6eezid9lg/1uin51262250818.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262250894gi34us6eezid9lg/2ksb01262250818.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262250894gi34us6eezid9lg/2ksb01262250818.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.7 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ;

Parameters (R input):

par1 = 60 ; par2 = -0.7 ; 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

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