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Partial Autocorrelation function d=0 D=1 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 12:00:35 -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/t1229108561egb3bjuj5a8siit.htm/, Retrieved Fri, 12 Dec 2008 20:02:43 +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/t1229108561egb3bjuj5a8siit.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	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.288979	2.0021	0.025471
2	0.114101	0.7905	0.216558
3	0.215396	1.4923	0.071082
4	-0.058024	-0.402	0.344732
5	0.036052	0.2498	0.401912
6	0.001031	0.0071	0.497165
7	-0.215813	-1.4952	0.070705
8	0.105466	0.7307	0.234261
9	0.041713	0.289	0.386913
10	-0.272899	-1.8907	0.032354
11	-0.216981	-1.5033	0.069658
12	-0.173635	-1.203	0.117442
13	-0.136104	-0.943	0.175212
14	0.02799	0.1939	0.423528
15	-0.019535	-0.1353	0.446453
16	-0.051026	-0.3535	0.362623
17	0.119108	0.8252	0.206668
18	-0.003443	-0.0239	0.490535
19	-0.151498	-1.0496	0.149577
20	-0.055167	-0.3822	0.351997
21	-0.019619	-0.1359	0.446225
22	-0.093067	-0.6448	0.261068
23	0.010406	0.0721	0.471412
24	-0.177307	-1.2284	0.112639
25	-0.216569	-1.5004	0.070025
26	-0.000487	-0.0034	0.498662
27	-0.070766	-0.4903	0.313084
28	-0.152431	-1.0561	0.148111
29	0.052219	0.3618	0.359552
30	0.020209	0.14	0.444617
31	0.154475	1.0702	0.144932
32	0.133559	0.9253	0.179713
33	-0.053811	-0.3728	0.355463
34	0.153585	1.0641	0.14631
35	0.181387	1.2567	0.107474
36	0.04383	0.3037	0.381347
37	0.040086	0.2777	0.391208
38	0.026681	0.1849	0.427062
39	0.020783	0.144	0.443056
40	0.038775	0.2686	0.394679
41	-0.058423	-0.4048	0.343723
42	-0.075671	-0.5243	0.301254
43	0.017537	0.1215	0.451902
44	0.008543	0.0592	0.476525
45	-0.046922	-0.3251	0.373264
46	-0.031189	-0.2161	0.414919
47	-0.001523	-0.0106	0.495812
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.288979	2.0021	0.025471
2	0.03338	0.2313	0.409047
3	0.189932	1.3159	0.097231
4	-0.192043	-1.3305	0.094818
5	0.102252	0.7084	0.241055
6	-0.083683	-0.5798	0.282391
7	-0.167559	-1.1609	0.125715
8	0.224855	1.5578	0.06292
9	-0.03881	-0.2689	0.394586
10	-0.268605	-1.8609	0.034441
11	-0.21234	-1.4711	0.07389
12	0.027009	0.1871	0.426177
13	0.030988	0.2147	0.41546
14	0.0593	0.4108	0.341507
15	0.060206	0.4171	0.339226
16	-0.095436	-0.6612	0.255824
17	-0.00545	-0.0378	0.485019
18	-0.047141	-0.3266	0.372693
19	-0.085958	-0.5955	0.277141
20	-0.044577	-0.3088	0.37939
21	0.019473	0.1349	0.446622
22	-0.193043	-1.3374	0.093691
23	-0.030836	-0.2136	0.415868
24	-0.18058	-1.2511	0.108481
25	-0.141383	-0.9795	0.166114
26	0.043685	0.3027	0.381728
27	0.081989	0.568	0.286329
28	-0.14535	-1.007	0.159488
29	-0.037122	-0.2572	0.399066
30	2e-06	0	0.499994
31	0.109147	0.7562	0.226615
32	-0.077259	-0.5353	0.297469
33	-0.032642	-0.2261	0.411023
34	0.077733	0.5386	0.296343
35	-0.108636	-0.7527	0.227667
36	-0.021306	-0.1476	0.441635
37	-0.101229	-0.7013	0.243241
38	0.018958	0.1313	0.448025
39	-0.039411	-0.273	0.392994
40	-0.051822	-0.359	0.360573
41	0.026891	0.1863	0.426495
42	-0.016618	-0.1151	0.454411
43	-0.034173	-0.2368	0.406928
44	-0.070487	-0.4883	0.313764
45	0.064355	0.4459	0.328849
46	-0.049782	-0.3449	0.365837
47	-0.048708	-0.3375	0.36862
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229108561egb3bjuj5a8siit/1tk5p1229108434.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229108561egb3bjuj5a8siit/1tk5p1229108434.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229108561egb3bjuj5a8siit/2992y1229108434.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229108561egb3bjuj5a8siit/2992y1229108434.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; 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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