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pacf-acf olie

*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: Mon, 22 Dec 2008 03:01:15 -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/22/t1229940123mi6yh66tk48r3q1.htm/, Retrieved Mon, 22 Dec 2008 11:02:03 +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/22/t1229940123mi6yh66tk48r3q1.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 «

20.72 21.45 22.09 21.53 23.35 23.57 26.42 25.21 26.44 29.34 29.40 33.05 28.38 26.01 29.31 30.36 35.75 36.15 34.21 37.91 38.70 42.12 42.16 39.80 37.36 38.35 42.60 41.25 42.16 46.94 47.43 47.06 50.18 50.13 43.23 40.04 40.37 42.21 37.00 39.74 42.68 46.29 46.97 48.73 52.37 50.05 54.04 57.78 64.72 63.41 64.36 66.03 72.14 76.60 86.97 93.48 95.59 81.89 70.55 50.38 36.25

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.341898	2.6483	0.005161
2	0.14612	1.1318	0.131102
3	0.049472	0.3832	0.35146
4	-0.093239	-0.7222	0.236481
5	-0.026311	-0.2038	0.419598
6	-0.165244	-1.28	0.10274
7	-0.028655	-0.222	0.412549
8	-0.073102	-0.5662	0.28667
9	-0.130185	-1.0084	0.158653
10	0.091029	0.7051	0.241735
11	0.048538	0.376	0.354131
12	-0.06581	-0.5098	0.306044
13	-0.095791	-0.742	0.230493
14	-0.065768	-0.5094	0.306157
15	0.081738	0.6331	0.264523
16	-0.117485	-0.91	0.183223
17	-0.106033	-0.8213	0.207354
18	-0.106216	-0.8227	0.206955
19	-0.155908	-1.2077	0.115959
20	-0.06463	-0.5006	0.309234
21	0.064357	0.4985	0.309974
22	0.137395	1.0643	0.145739
23	0.070319	0.5447	0.293995
24	0.065295	0.5058	0.307434
25	0.184704	1.4307	0.07885
26	0.13848	1.0727	0.14386
27	-0.011953	-0.0926	0.46327
28	-0.044249	-0.3428	0.366491
29	-0.073774	-0.5714	0.284915
30	-0.068834	-0.5332	0.297937
31	-0.059907	-0.464	0.322151
32	0.009178	0.0711	0.471779
33	0.037099	0.2874	0.387411
34	-0.057238	-0.4434	0.329548
35	0.092289	0.7149	0.238732
36	0.064866	0.5024	0.308596
37	0.071723	0.5556	0.290287
38	0.000922	0.0071	0.497163
39	-0.031642	-0.2451	0.40361
40	-0.026112	-0.2023	0.420197
41	-0.078479	-0.6079	0.272775
42	-0.001164	-0.009	0.496419
43	-0.11867	-0.9192	0.180833
44	-0.084244	-0.6526	0.258269
45	0.001703	0.0132	0.49476
46	0.041598	0.3222	0.374203
47	0.141027	1.0924	0.139514
48	0.033548	0.2599	0.39793
49	-0.086625	-0.671	0.252399
50	-0.031203	-0.2417	0.404918
51	-0.091241	-0.7068	0.241228
52	-0.014437	-0.1118	0.455667
53	-0.044274	-0.3429	0.366418
54	-0.073371	-0.5683	0.285966
55	-0.041022	-0.3178	0.375887
56	-0.037057	-0.287	0.387535
57	0.002125	0.0165	0.493461
58	-0.029174	-0.226	0.410992
59	-0.016375	-0.1268	0.449745
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.341898	2.6483	0.005161
2	0.033095	0.2564	0.399278
3	-0.011504	-0.0891	0.464646
4	-0.125927	-0.9754	0.166633
5	0.047236	0.3659	0.357868
6	-0.172668	-1.3375	0.093057
7	0.097527	0.7554	0.226471
8	-0.098345	-0.7618	0.224589
9	-0.077368	-0.5993	0.275619
10	0.157821	1.2225	0.113154
11	0.003831	0.0297	0.488212
12	-0.172784	-1.3384	0.092912
13	-0.047936	-0.3713	0.355857
14	0.023343	0.1808	0.428562
15	0.108234	0.8384	0.202573
16	-0.197134	-1.527	0.066008
17	-0.062546	-0.4845	0.314906
18	-0.087711	-0.6794	0.249746
19	-0.023512	-0.1821	0.42805
20	-0.048142	-0.3729	0.355266
21	0.126595	0.9806	0.165364
22	0.021764	0.1686	0.433345
23	0.013218	0.1024	0.459396
24	0.017054	0.1321	0.447675
25	0.097711	0.7569	0.226045
26	0.025757	0.1995	0.421269
27	-0.056704	-0.4392	0.331038
28	-0.041799	-0.3238	0.373617
29	-0.015342	-0.1188	0.452899
30	-0.021623	-0.1675	0.433773
31	0.000363	0.0028	0.498884
32	-0.015623	-0.121	0.45204
33	0.038886	0.3012	0.382149
34	-0.048629	-0.3767	0.35387
35	0.146804	1.1371	0.13
36	-0.118674	-0.9192	0.180824
37	0.097563	0.7557	0.226387
38	-0.030718	-0.2379	0.406369
39	0.063045	0.4883	0.313543
40	-0.111516	-0.8638	0.19557
41	0.069159	0.5357	0.297072
42	0.032612	0.2526	0.400716
43	-0.161536	-1.2513	0.10785
44	0.030894	0.2393	0.405844
45	0.084412	0.6539	0.257853
46	-0.006492	-0.0503	0.480031
47	0.037071	0.2872	0.387492
48	-0.083667	-0.6481	0.259702
49	-0.109268	-0.8464	0.20035
50	-0.005615	-0.0435	0.482725
51	0.026709	0.2069	0.4184
52	-0.049953	-0.3869	0.350086
53	0.033706	0.2611	0.39746
54	-0.049553	-0.3838	0.351228
55	-0.000683	-0.0053	0.497898
56	-0.030907	-0.2394	0.405803
57	-0.093639	-0.7253	0.235536
58	-0.010303	-0.0798	0.46833
59	0.02342	0.1814	0.428329
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229940123mi6yh66tk48r3q1/1f6k71229940069.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229940123mi6yh66tk48r3q1/1f6k71229940069.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229940123mi6yh66tk48r3q1/22l0o1229940069.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229940123mi6yh66tk48r3q1/22l0o1229940069.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; 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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