pacf mannen meer lags

*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 07:01:20 -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/t12290905340s5lbxiq7syvu1o.htm/, Retrieved Fri, 12 Dec 2008 15:02:16 +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/t12290905340s5lbxiq7syvu1o.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 «

7.8 7.6 7.5 7.6 7.5 7.3 7.6 7.5 7.6 7.9 7.9 8.1 8.2 8.0 7.5 6.8 6.5 6.6 7.6 8.0 8.0 7.7 7.5 7.6 7.7 7.9 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.1 7.9 7.3 6.9 6.6 6.7 6.9 7.0 7.1 7.2 7.1 6.9 7.0 6.8 6.4 6.7 6.7 6.4 6.3 6.2 6.5 6.8 6.8 6.5 6.3 5.9 5.9 6.4 6.4

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 0.364167 2.9808 0.002002 2 -0.037788 -0.3093 0.379025 3 -0.317456 -2.5985 0.005752 4 -0.456428 -3.736 0.000194 5 -0.160519 -1.3139 0.09668 6 0.043495 0.356 0.361472 7 0.080989 0.6629 0.254828 8 -0.070521 -0.5772 0.282856 9 -0.087354 -0.715 0.23854 10 -0.07238 -0.5925 0.277769 11 -0.022454 -0.1838 0.427365 12 0.282123 2.3093 0.01201 13 0.08453 0.6919 0.245694 14 0.163343 1.337 0.09287 15 0.084984 0.6956 0.244536 16 -0.073211 -0.5993 0.27551 17 -0.120281 -0.9845 0.164195 18 -0.124341 -1.0178 0.156224 19 -0.012836 -0.1051 0.458317 20 -0.039447 -0.3229 0.373893 21 0.028802 0.2358 0.407172 22 -0.04089 -0.3347 0.369449 23 -0.176609 -1.4456 0.076475 24 -0.010489 -0.0859 0.465917 25 -0.042856 -0.3508 0.363424 26 0.146495 1.1991 0.117354 27 0.199863 1.6359 0.05327 28 0.110782 0.9068 0.183885 29 0.070583 0.5777 0.282685 30 -0.035825 -0.2932 0.385122 31 -0.118461 -0.9696 0.167856 32 -0.177351 -1.4517 0.075628 33 -0.098471 -0.806 0.211541 34 -0.076014 -0.6222 0.267961 35 0.029401 0.2407 0.405277 36 0.163958 1.3421 0.092055 37 0.01985 0.1625 0.435708 38 -0.03553 -0.2908 0.386042 39 -0.067607 -0.5534 0.290921 40 0.01218 0.0997 0.460442 41 0.131332 1.075 0.143115 42 0.151197 1.2376 0.110091 43 0.020022 0.1639 0.435156 44 -0.182579 -1.4945 0.069874 45 -0.151372 -1.239 0.109828 46 -0.110988 -0.9085 0.183443 47 0.022477 0.184 0.427291 48 0.211795 1.7336 0.043793 49 0.09458 0.7742 0.220775 50 -0.004254 -0.0348 0.486162 51 -0.014231 -0.1165 0.453809 52 -0.052229 -0.4275 0.335187 53 -0.054135 -0.4431 0.329554 54 0.005325 0.0436 0.48268 55 -0.004371 -0.0358 0.485784 56 -0.013064 -0.1069 0.45758 57 0.041038 0.3359 0.368995 58 -0.014281 -0.1169 0.453645 59 -0.009615 -0.0787 0.468751 60 0.033768 0.2764 0.391546 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.364167 2.9808 0.002002 2 -0.19646 -1.6081 0.056259 3 -0.275148 -2.2522 0.013796 4 -0.308733 -2.5271 0.006934 5 0.071101 0.582 0.281265 6 -0.046161 -0.3778 0.353371 7 -0.155169 -1.2701 0.104219 8 -0.311396 -2.5489 0.006552 9 -0.037755 -0.309 0.379126 10 -0.089178 -0.73 0.233982 11 -0.170146 -1.3927 0.084157 12 0.163132 1.3353 0.09315 13 -0.265109 -2.17 0.016778 14 0.246627 2.0187 0.02376 15 0.001672 0.0137 0.494561 16 0.070838 0.5798 0.281987 17 -0.147709 -1.209 0.115447 18 0.13655 1.1177 0.133841 19 0.120668 0.9877 0.163424 20 -0.045803 -0.3749 0.354454 21 -0.001418 -0.0116 0.495386 22 -0.075236 -0.6158 0.270044 23 -0.068611 -0.5616 0.288129 24 -0.068491 -0.5606 0.288463 25 -0.069175 -0.5662 0.286566 26 -0.091341 -0.7477 0.228641 27 0.01957 0.1602 0.436609 28 -0.059089 -0.4837 0.315102 29 0.106384 0.8708 0.193488 30 -0.059693 -0.4886 0.313358 31 -0.113962 -0.9328 0.177131 32 -0.013569 -0.1111 0.455949 33 -0.060826 -0.4979 0.310099 34 -0.084764 -0.6938 0.245095 35 0.087359 0.7151 0.238527 36 0.022788 0.1865 0.426298 37 -0.042697 -0.3495 0.363907 38 -0.152421 -1.2476 0.108256 39 0.017283 0.1415 0.443963 40 0.085377 0.6988 0.243536 41 -0.054649 -0.4473 0.328042 42 0.004639 0.038 0.484911 43 -0.123077 -1.0074 0.158676 44 -0.07872 -0.6443 0.260775 45 0.016779 0.1373 0.445585 46 -0.041143 -0.3368 0.368672 47 -0.117914 -0.9652 0.168966 48 0.097073 0.7946 0.214832 49 -0.004474 -0.0366 0.48545 50 0.019429 0.159 0.43706 51 0.047497 0.3888 0.349336 52 0.012209 0.0999 0.460346 53 -0.001538 -0.0126 0.494996 54 -0.087198 -0.7137 0.238933 55 -0.013177 -0.1079 0.457216 56 -0.010968 -0.0898 0.464367 57 -0.046261 -0.3787 0.353067 58 0.00163 0.0133 0.494698 59 0.039344 0.322 0.37421 60 -0.043016 -0.3521 0.362935

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290905340s5lbxiq7syvu1o/17znz1229090475.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290905340s5lbxiq7syvu1o/17znz1229090475.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290905340s5lbxiq7syvu1o/2m09j1229090475.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t12290905340s5lbxiq7syvu1o/2m09j1229090475.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 2 ; par3 = 1 ; par4 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 2 ; 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')

Copyright

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