Home » date » 2010 » Dec » 29 »

pacf

*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 22:16:11 +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/t1293660844lavyokigyjn4mpu.htm/, Retrieved Wed, 29 Dec 2010 23:14:07 +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/t1293660844lavyokigyjn4mpu.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 «
16896.20 16698.00 19691.60 15930.70 17444.60 17699.40 15189.80 15672.70 17180.80 17664.90 17862.90 16162.30 17463.60 16772.10 19106.90 16721.30 18161.30 18509.90 17802.70 16409.90 17967.70 20286.60 19537.30 18021.90 20194.30 19049.60 20244.70 21473.30 19673.60 21053.20 20159.50 18203.60 21289.50 20432.30 17180.40 15816.80 15076.60 14531.60 15761.30 14345.50 13916.80 15496.80 14285.60 13597.30 16263.10 16773.30 15986.90 16842.60 16014.60 15878.60 18664.90 17690.50 17107.60 19165.70 17203.60 16579.00 18885.10
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Herman Ole Andreas Wold' @ www.yougetit.org


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.218172-1.44720.077466
20.0739390.49050.313124
30.4467232.96320.002449
4-0.267686-1.77560.041355
50.2188081.45140.07688
60.1954181.29630.100822
7-0.352255-2.33660.012039
80.0866050.57450.284287
9-0.055614-0.36890.356985
10-0.202253-1.34160.093305
110.0529030.35090.363661
12-0.254675-1.68930.049116
13-0.198464-1.31650.097418
140.0663850.44040.330919
15-0.131524-0.87240.193855
16-0.038998-0.25870.398542
170.0034940.02320.490806
18-0.154554-1.02520.155437
190.0092260.06120.47574
200.1630711.08170.142641
21-0.121395-0.80520.212505
220.0508460.33730.368756
230.0812560.5390.296304
24-0.070642-0.46860.32084
250.0545190.36160.359676
260.0741420.49180.312651
27-0.07916-0.52510.301079
280.0328660.2180.414215
290.0449890.29840.383393
300.0113680.07540.470115
31-0.007113-0.04720.481292
320.0378380.2510.401494
33-0.035601-0.23620.407205
34-0.015775-0.10460.45857
350.0347770.23070.409315
36-0.022204-0.14730.44179
37-0.006675-0.04430.482441
38-0.001199-0.00790.496846
39-0.013333-0.08840.464963
400.0041910.02780.488973
41-0.001266-0.00840.496669
420.0028980.01920.492374
430.0022920.01520.49397
44NANANA
45NANANA
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.218172-1.44720.077466
20.0276560.18350.427643
30.4922313.26510.001061
4-0.095983-0.63670.263816
50.0708590.470.320328
60.1108570.73530.233017
7-0.247424-1.64120.05394
8-0.288515-1.91380.031083
9-0.149789-0.99360.162929
100.0397440.26360.396647
11-0.018044-0.11970.452637
12-0.196384-1.30270.099733
13-0.168626-1.11850.134703
140.0591680.39250.348301
150.1331880.88350.190893
160.0328640.2180.414221
17-0.038527-0.25560.399742
18-0.08597-0.57030.2857
19-0.184119-1.22130.114237
200.0463310.30730.380022
21-0.027011-0.17920.429313
22-0.02654-0.1760.430533
23-0.009791-0.06490.474255
24-0.008188-0.05430.478466
25-0.22878-1.51760.068139
26-0.104097-0.69050.246753
270.1218260.80810.211689
280.096430.63960.26286
29-0.052795-0.35020.36393
300.0034470.02290.490931
31-0.079154-0.5250.301094
32-0.016999-0.11280.455367
33-0.024563-0.16290.435659
34-0.041835-0.27750.391346
35-0.064318-0.42660.335863
36-0.057261-0.37980.352952
37-0.050025-0.33180.370797
38-0.057448-0.38110.352493
390.0617190.40940.342117
400.0502550.33340.370224
410.0325070.21560.415137
42-0.036576-0.24260.404714
43-0.084702-0.56180.288536
44NANANA
45NANANA
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293660844lavyokigyjn4mpu/1isiu1293660970.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293660844lavyokigyjn4mpu/1isiu1293660970.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t1293660844lavyokigyjn4mpu/2b1zx1293660970.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293660844lavyokigyjn4mpu/2b1zx1293660970.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t1293660844lavyokigyjn4mpu/3b1zx1293660970.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293660844lavyokigyjn4mpu/3b1zx1293660970.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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')
 




Copyright

Creative Commons License

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.


Privacy Policy

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