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Partial Autocorrelation function d=1 D=0 france

*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, 12 Dec 2008 06:14:31 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/12/t1229087732foqkt4p0urzkmu8.htm/, Retrieved Fri, 12 Dec 2008 14:15:32 +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/2008/Dec/12/t1229087732foqkt4p0urzkmu8.htm/},
    year = {2008},
}
@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 = {2008},
    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 «

3258.1 3140.1 3627.4 3279.4 3204 3515.6 3146.6 2271.7 3627.9 3553.4 3018.3 3355.4 3242 3311.1 4125.2 3423 3120.3 3863 3240.8 2837.4 3945 3684.1 3659.6 3769.6 3592.7 3754 4507.8 3853.2 3817.2 3958.4 3428.9 3125.7 3977 3983.3 4299.6 4306.9 4259.5 3986 4755.6 3925.6 4206.5 4323.4 3816.1 3410.7 4227.4 4296.9 4351.7 3800 4277 4100.2 4672.5 4189.9 4231.9 4654.9 4298.5 3635.9 4505.1 4891.9 4894.2 4093.2

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.362388	-2.7836	0.003606
2	-0.313978	-2.4117	0.009504
3	0.275636	2.1172	0.019234
4	-0.024036	-0.1846	0.427078
5	-0.28229	-2.1683	0.01709
6	0.442941	3.4023	0.000603
7	-0.352087	-2.7044	0.004464
8	0.057947	0.4451	0.328939
9	0.238692	1.8334	0.035892
10	-0.268997	-2.0662	0.021604
11	-0.245071	-1.8824	0.032356
12	0.66932	5.1411	2e-06
13	-0.265128	-2.0365	0.023099
14	-0.160707	-1.2344	0.110971
15	0.164511	1.2636	0.105666
16	-0.052183	-0.4008	0.344999
17	-0.174888	-1.3433	0.092153
18	0.314336	2.4145	0.009439
19	-0.240609	-1.8482	0.034797
20	0.066975	0.5144	0.304431
21	0.120591	0.9263	0.179038
22	-0.179084	-1.3756	0.087077
23	-0.113002	-0.868	0.194461
24	0.410839	3.1557	0.00126
25	-0.165653	-1.2724	0.104111
26	-0.102684	-0.7887	0.216714
27	0.073615	0.5654	0.286957
28	-0.015906	-0.1222	0.451588
29	-0.130964	-1.0059	0.159274
30	0.17453	1.3406	0.092596
31	-0.108831	-0.8359	0.20328
32	0.079092	0.6075	0.272919
33	0.061428	0.4718	0.319391
34	-0.136099	-1.0454	0.150052
35	-0.108988	-0.8372	0.202943
36	0.286244	2.1987	0.015917
37	-0.066228	-0.5087	0.306429
38	-0.108152	-0.8307	0.204737
39	0.017854	0.1371	0.445694
40	0.06769	0.5199	0.302527
41	-0.094459	-0.7256	0.235489
42	0.063298	0.4862	0.314312
43	-0.041524	-0.319	0.375444
44	0.052726	0.405	0.343473
45	0.028162	0.2163	0.414744
46	-0.066932	-0.5141	0.304545
47	-0.078389	-0.6021	0.274702
48	0.141083	1.0837	0.141458

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.362388	-2.7836	0.003606
2	-0.512623	-3.9375	0.00011
3	-0.128422	-0.9864	0.163976
4	-0.133989	-1.0292	0.153795
5	-0.371744	-2.8554	0.002962
6	0.203142	1.5604	0.062011
7	-0.429893	-3.3021	0.000817
8	0.109159	0.8385	0.202578
9	-0.033919	-0.2605	0.397679
10	-0.260224	-1.9988	0.025121
11	-0.436106	-3.3498	0.000707
12	0.101167	0.7771	0.22011
13	0.092504	0.7105	0.240085
14	0.100519	0.7721	0.221567
15	0.031496	0.2419	0.404839
16	0.000574	0.0044	0.498248
17	-0.010603	-0.0814	0.467684
18	-0.127129	-0.9765	0.166403
19	0.076477	0.5874	0.279578
20	0.021278	0.1634	0.435365
21	-0.061889	-0.4754	0.318136
22	-0.055266	-0.4245	0.33637
23	0.028027	0.2153	0.415145
24	0.048027	0.3689	0.35676
25	0.128404	0.9863	0.16401
26	0.030115	0.2313	0.408933
27	0.0231	0.1774	0.429887
28	0.01279	0.0982	0.461035
29	-0.061624	-0.4733	0.318857
30	-0.073582	-0.5652	0.287043
31	-0.092301	-0.709	0.240564
32	0.016055	0.1233	0.451136
33	0.072769	0.559	0.289156
34	0.041246	0.3168	0.376252
35	-0.084596	-0.6498	0.259174
36	-0.065667	-0.5044	0.30793
37	-0.051723	-0.3973	0.346292
38	-0.093118	-0.7152	0.238638
39	-0.122573	-0.9415	0.175144
40	0.007685	0.059	0.476565
41	0.060962	0.4683	0.320663
42	0.019886	0.1527	0.439559
43	0.032103	0.2466	0.403041
44	-0.029887	-0.2296	0.409613
45	-0.071341	-0.548	0.292886
46	-0.096144	-0.7385	0.23157
47	0.05829	0.4477	0.327993
48	-0.079569	-0.6112	0.271713

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229087732foqkt4p0urzkmu8/18vr71229087666.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229087732foqkt4p0urzkmu8/18vr71229087666.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229087732foqkt4p0urzkmu8/26np71229087666.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229087732foqkt4p0urzkmu8/26np71229087666.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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