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Partial Autocorrelation function d=1 D=1 NED

*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 06:35:20 -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/t1229088952xxzlajv52ug3r43.htm/, Retrieved Fri, 12 Dec 2008 14:35:54 +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/t1229088952xxzlajv52ug3r43.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 «

2236 2084.9 2409.5 2199.3 2203.5 2254.1 1975.8 1742.2 2520.6 2438.1 2126.3 2267.5 2201.1 2128.5 2596 2458.2 2210.5 2621.2 2231.4 2103.6 2685.8 2539.3 2462.4 2693.3 2307.7 2385.9 2737.6 2653.9 2545.4 2848.8 2359.5 2488.3 2861.1 2717.9 2844 2749 2652.9 2660.2 3187.1 2774.1 3158.2 3244.6 2665.5 2820.8 2983.4 3077.4 3024.8 2731.8 3046.2 2834.8 3292.8 2946.1 3196.9 3284.2 3003 2979 3137.4 3630.2 3270.7 2942.3

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	-0.57845	-3.9657	0.000124
2	0.005757	0.0395	0.484341
3	0.220337	1.5106	0.068798
4	-0.165153	-1.1322	0.13164
5	0.015621	0.1071	0.457587
6	0.161278	1.1057	0.137249
7	-0.267522	-1.834	0.036492
8	0.077283	0.5298	0.299365
9	0.229574	1.5739	0.061112
10	-0.275122	-1.8861	0.032732
11	0.072241	0.4953	0.311361
12	0.105865	0.7258	0.235789
13	-0.23901	-1.6386	0.05399
14	0.230732	1.5818	0.060199
15	-0.04836	-0.3315	0.370855
16	-0.201953	-1.3845	0.086369
17	0.311997	2.1389	0.018833
18	-0.169215	-1.1601	0.125938
19	0.014084	0.0966	0.461745
20	0.020701	0.1419	0.443876
21	0.080244	0.5501	0.292419
22	-0.26447	-1.8131	0.038102
23	0.379835	2.604	0.006147
24	-0.247507	-1.6968	0.048172
25	-0.051593	-0.3537	0.362571
26	0.241787	1.6576	0.052029
27	-0.15808	-1.0837	0.142003
28	0.004555	0.0312	0.48761
29	0.062411	0.4279	0.33535
30	-0.126776	-0.8691	0.194596
31	0.108947	0.7469	0.229422
32	-0.007055	-0.0484	0.480816
33	-0.111346	-0.7633	0.224536
34	0.077101	0.5286	0.299793
35	0.03509	0.2406	0.405469
36	-0.067157	-0.4604	0.323675
37	0.024773	0.1698	0.432934
38	-0.023359	-0.1601	0.436728
39	-0.007651	-0.0524	0.479196
40	0.095805	0.6568	0.257255
41	-0.100447	-0.6886	0.247222
42	0.036733	0.2518	0.401136
43	0.020379	0.1397	0.444742
44	-0.007996	-0.0548	0.478259
45	-0.013499	-0.0925	0.46333
46	-0.001412	-0.0097	0.49616
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.57845	-3.9657	0.000124
2	-0.494213	-3.3882	0.000716
3	-0.120436	-0.8257	0.206582
4	-0.05613	-0.3848	0.351058
5	-0.061373	-0.4208	0.337926
6	0.165437	1.1342	0.131236
7	-0.08601	-0.5897	0.279122
8	-0.266473	-1.8268	0.037038
9	0.077042	0.5282	0.299932
10	0.084253	0.5776	0.283143
11	-0.026983	-0.185	0.427019
12	-0.006371	-0.0437	0.482673
13	-0.223827	-1.5345	0.065808
14	-0.108345	-0.7428	0.230656
15	0.002189	0.015	0.494045
16	-0.098475	-0.6751	0.251456
17	0.131087	0.8987	0.1867
18	0.004359	0.0299	0.488144
19	0.096043	0.6584	0.256734
20	-0.081284	-0.5573	0.289998
21	0.165407	1.134	0.131278
22	-0.162484	-1.1139	0.135485
23	0.097511	0.6685	0.253541
24	0.086289	0.5916	0.278487
25	-0.056317	-0.3861	0.350585
26	-0.027879	-0.1911	0.424624
27	0.087944	0.6029	0.274733
28	0.127044	0.871	0.1941
29	-0.037876	-0.2597	0.398128
30	-0.086272	-0.5915	0.278526
31	0.014668	0.1006	0.460163
32	-0.099524	-0.6823	0.249198
33	-0.10078	-0.6909	0.246508
34	-0.014114	-0.0968	0.461663
35	-0.062918	-0.4313	0.334095
36	-0.012098	-0.0829	0.467125
37	-0.047013	-0.3223	0.374325
38	-0.187747	-1.2871	0.102176
39	0.051879	0.3557	0.361843
40	-0.051802	-0.3551	0.362038
41	0.055734	0.3821	0.352057
42	0.014351	0.0984	0.461022
43	0.026091	0.1789	0.429405
44	-0.116998	-0.8021	0.213267
45	-0.041766	-0.2863	0.387941
46	-0.051283	-0.3516	0.363364
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088952xxzlajv52ug3r43/1yfwo1229088919.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088952xxzlajv52ug3r43/1yfwo1229088919.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088952xxzlajv52ug3r43/29jnm1229088919.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229088952xxzlajv52ug3r43/29jnm1229088919.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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