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PACF en ACF

*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, 04 Dec 2009 08:58:28 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/04/t1259942345d32v2krdzub1s9x.htm/, Retrieved Fri, 04 Dec 2009 16:59:07 +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/2009/Dec/04/t1259942345d32v2krdzub1s9x.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

136 133 126 120 114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105 107 109

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	-0.123188	-0.8535	0.198819
2	0.012752	0.0883	0.464985
3	0.026321	0.1824	0.428036
4	0.088245	0.6114	0.271917
5	-0.067097	-0.4649	0.322066
6	0.168721	1.1689	0.124101
7	0.105905	0.7337	0.233342
8	-0.034298	-0.2376	0.406592
9	0.020773	0.1439	0.443082
10	-0.133714	-0.9264	0.179437
11	0.439241	3.0431	0.001895
12	-0.19547	-1.3543	0.090998
13	-0.067151	-0.4652	0.321933
14	-0.025259	-0.175	0.430909
15	0.069729	0.4831	0.315612
16	-0.17502	-1.2126	0.115614
17	0.128471	0.8901	0.188933
18	-0.068348	-0.4735	0.31899
19	-0.190975	-1.3231	0.096033
20	-0.026952	-0.1867	0.426329
21	-0.086464	-0.599	0.275982
22	0.101981	0.7065	0.241632
23	-0.142493	-0.9872	0.164242
24	-0.040816	-0.2828	0.389281
25	-0.10884	-0.7541	0.227247
26	-0.035362	-0.245	0.403753
27	-0.069763	-0.4833	0.315528
28	-0.017512	-0.1213	0.45197
29	-0.04513	-0.3127	0.377943
30	-0.052628	-0.3646	0.358499
31	0.055071	0.3815	0.352241
32	0.007242	0.0502	0.480095
33	0.037101	0.257	0.399121
34	-0.057523	-0.3985	0.346002
35	-0.007089	-0.0491	0.480515
36	-0.049943	-0.346	0.365422

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.123188	-0.8535	0.198819
2	-0.002461	-0.0171	0.493233
3	0.028017	0.1941	0.423454
4	0.096471	0.6684	0.253549
5	-0.045765	-0.3171	0.376282
6	0.156724	1.0858	0.141492
7	0.14622	1.013	0.15806
8	-0.008785	-0.0609	0.47586
9	0.014856	0.1029	0.459226
10	-0.179412	-1.243	0.109952
11	0.43813	3.0355	0.001936
12	-0.177421	-1.2292	0.112492
13	-0.160337	-1.1108	0.136084
14	-0.053301	-0.3693	0.356771
15	0.006927	0.048	0.480961
16	-0.031285	-0.2167	0.414662
17	-0.058832	-0.4076	0.342689
18	-0.151954	-1.0528	0.14886
19	-0.12785	-0.8858	0.190079
20	-0.021611	-0.1497	0.440806
21	-0.004503	-0.0312	0.487622
22	-0.098791	-0.6844	0.248492
23	-0.027895	-0.1933	0.423786
24	0.018192	0.126	0.450113
25	-0.022702	-0.1573	0.437841
26	-0.121078	-0.8389	0.202855
27	0.094716	0.6562	0.257411
28	-0.151608	-1.0504	0.149403
29	0.042499	0.2944	0.384844
30	0.102596	0.7108	0.240321
31	0.054647	0.3786	0.353326
32	0.080438	0.5573	0.28996
33	-0.018771	-0.1301	0.448534
34	0.028488	0.1974	0.422186
35	-0.017306	-0.1199	0.452532
36	-0.029525	-0.2046	0.419392

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259942345d32v2krdzub1s9x/1f9r81259942307.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259942345d32v2krdzub1s9x/1f9r81259942307.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259942345d32v2krdzub1s9x/2wzl11259942307.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259942345d32v2krdzub1s9x/2wzl11259942307.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.3 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = -0.3 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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