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PACF GOED

*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, 29 Dec 2010 19:07:56 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff.htm/, Retrieved Wed, 29 Dec 2010 20:06:13 +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/2010/Dec/29/t12936495709v71mbidinuxyff.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

5745 4549 5074 3602 2732 2589 2148 2330 2752 3241 4517 6550 6778 6240 5570 3558 3299 2447 2380 2378 2947 3651 4816 6436 7090 4682 4198 3860 3056 2563 2568 2472 2821 4015 4686 5418 5649 4572 4695 3766 2900 2528 2549 2478 2828 4139 5390 5621 5291 5272 4677 3520 2842 2723 2581 2429 2606 3787 4630 5505 5577 4911 4701 3557 2921 2734 2636 2433 2640 3794 4745 5698 5909 5119 5200 3876 3104 2251 2386 2794 2967 3392 4741 5909 5901 4962 4751 3909 3130 2860 2568 2540 2894 4216 4530 5144 6206 5645 4601 3645 3140 2264 2557 2431 2747 4587 4512 5313 6011 5328 5014 3630 3102 2739 2877 2659 2957 3785 4785 5757 5458 5427 5018 3498 3204 2763 2589 2591 2805 3278 4615 5524 6167 5380 5377 3603 2774 2470 2407 2512 2451 3134 4210 4859 5022 4584 4267 3022 2777 2428 2389 2496 2820 3854 4748 5666 5293 4905 4920 3854 2659 2491 2455 2472 3030 3987 4453 5417

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	'Herman Ole Andreas Wold' @ www.yougetit.org

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.803317	10.4122	0
2	0.443069	5.7428	0
3	-0.011396	-0.1477	0.441375
4	-0.45167	-5.8543	0
5	-0.757133	-9.8136	0
6	-0.868159	-11.2526	0
7	-0.748508	-9.7018	0
8	-0.433509	-5.6189	0
9	0.001791	0.0232	0.490752
10	0.433734	5.6218	0
11	0.753782	9.7701	0
12	0.870128	11.2781	0
13	0.712437	9.2342	0
14	0.383594	4.9719	1e-06
15	-0.039253	-0.5088	0.305786
16	-0.417872	-5.4162	0
17	-0.689482	-8.9367	0
18	-0.784875	-10.1731	0
19	-0.668	-8.6583	0
20	-0.38585	-5.0012	1e-06
21	0.014363	0.1862	0.426272
22	0.41346	5.3591	0
23	0.681863	8.838	0
24	0.776447	10.0639	0
25	0.641142	8.3101	0
26	0.351356	4.5541	5e-06
27	-0.027047	-0.3506	0.363177
28	-0.389988	-5.0548	1e-06
29	-0.638776	-8.2795	0
30	-0.725397	-9.4022	0
31	-0.61967	-8.0318	0
32	-0.363228	-4.708	3e-06
33	0.005507	0.0714	0.47159
34	0.362332	4.6964	3e-06
35	0.616129	7.9859	0
36	0.709178	9.192	0
37	0.588139	7.6232	0
38	0.330991	4.2901	1.5e-05
39	-0.01634	-0.2118	0.416265
40	-0.350123	-4.5381	5e-06
41	-0.580392	-7.5227	0
42	-0.66365	-8.6019	0
43	-0.568291	-7.3659	0
44	-0.339387	-4.399	1e-05
45	-0.011167	-0.1447	0.442544
46	0.316942	4.108	3.1e-05
47	0.556793	7.2169	0
48	0.650699	8.434	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.803317	10.4122	0
2	-0.570224	-7.3909	0
3	-0.468789	-6.0762	0
4	-0.391447	-5.0737	1e-06
5	-0.258879	-3.3555	0.00049
6	-0.26858	-3.4812	0.000318
7	-0.151482	-1.9634	0.025624
8	-0.0672	-0.871	0.192494
9	0.085757	1.1115	0.133963
10	0.11087	1.437	0.076283
11	0.179701	2.3292	0.010519
12	0.138307	1.7927	0.037413
13	-0.224426	-2.9089	0.002059
14	-0.017848	-0.2313	0.408666
15	-0.009822	-0.1273	0.449423
16	0.221479	2.8707	0.002311
17	0.026657	0.3455	0.365069
18	-0.023684	-0.307	0.379617
19	-0.026834	-0.3478	0.36421
20	-0.108289	-1.4036	0.081143
21	0.043331	0.5616	0.287558
22	0.108563	1.4071	0.080617
23	-0.052527	-0.6808	0.248461
24	0.118047	1.5301	0.063941
25	-0.023354	-0.3027	0.381247
26	0.073707	0.9553	0.170387
27	-0.030842	-0.3998	0.344921
28	-0.107584	-1.3944	0.082513
29	0.066548	0.8626	0.194806
30	-0.003937	-0.051	0.47968
31	0.033707	0.4369	0.331376
32	-0.102267	-1.3255	0.093398
33	-0.023523	-0.3049	0.38041
34	-0.071735	-0.9298	0.176907
35	0.003334	0.0432	0.482793
36	0.06885	0.8924	0.186728
37	-0.08188	-1.0613	0.145041
38	-0.03377	-0.4377	0.331079
39	-0.015721	-0.2038	0.419392
40	-0.02543	-0.3296	0.371053
41	0.03925	0.5087	0.305801
42	-0.021457	-0.2781	0.390635
43	-0.018735	-0.2428	0.404214
44	-0.073706	-0.9553	0.170389
45	-0.042674	-0.5531	0.290461
46	0.017386	0.2253	0.410991
47	-0.005416	-0.0702	0.47206
48	0.055707	0.722	0.235634

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff/1dn131293649675.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff/1dn131293649675.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff/25w0o1293649675.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff/25w0o1293649675.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff/3ynzr1293649675.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t12936495709v71mbidinuxyff/3ynzr1293649675.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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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