Home » date » 2009 » Dec » 09 »

WS10 - PACF Y d = 1/ D=1 / lambda = 1

*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: Wed, 09 Dec 2009 08:00:11 -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/09/t12603708757z0mwudr824y4xw.htm/, Retrieved Wed, 09 Dec 2009 16:01:18 +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/09/t12603708757z0mwudr824y4xw.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 «
286.1 307 358.1 341.8 378.8 375.2 295.6 362.7 409.6 336.8 389.1 389.3 355.9 542 648.4 452 582.4 506.5 555.5 530.4 609.4 543.9 616.2 634.6 541.7 549.8 627.6 797.4 689.8 1576.6 1572.1 1626.4 1972.4 1509.6 1584.9 1880 1324 1777.7 2172.4 1780.3 2134.9 1838.4 1557 1755.2 1702 1577.5 1485.9 2179.1 1740.9 1724.5 2328.1 1774.1 2224.2 1536.3 1521.2 2051.8 2483.1 1929.8 1808.6 2584.9 1997.9 1639.9 2379.1 1715 2750.9 1865.4 1647.4 2180.4 2593 2057.2 2635.8 2315.4 1863.6 2038 2235.8 2222.1 2636.9 2076.8 1935.5 2086.3 2470.9 1854.6 2041.3 2170.8 1905.5 2130.2 2791.2 2539.7 2661.3 1764.9 2176.9 2458.5 2179 2242.5 2089.6 2661.6 2112 2367.3 2543 2603.9 3146.7 1789.2 2114.8 2236.3 2288.1 2173.2 1877.7 2807.4 2357.4 2107.7 2856.8 2510.8 2875 2229.7 2055.1 2545.4 2775.1 2252.2 2091.7 2433
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.449419-4.64885e-06
20.0423290.43790.331187
30.1647811.70450.045594
4-0.33699-3.48590.000356
50.2231372.30810.011457
6-0.10443-1.08020.141233
7-0.132485-1.37040.086709
80.2218042.29440.011861
9-0.032413-0.33530.369032
100.0013050.01350.494626
110.1180611.22120.11234
12-0.301758-3.12140.001157
130.1111051.14930.126502
14-0.006111-0.06320.474859
15-0.172875-1.78820.038285
160.1426521.47560.071494
17-0.023843-0.24660.402831
180.1020971.05610.14665
19-0.097829-1.01190.156923
200.0592060.61240.270777
21-0.006862-0.0710.471772
220.0286310.29620.383842
23-0.008869-0.09170.463536
24-0.113668-1.17580.121143
250.1136351.17540.121212
26-0.14432-1.49290.069208
270.2626082.71640.003848
28-0.206637-2.13750.017419
29-0.032449-0.33570.368893
300.2305632.3850.00942
31-0.163768-1.6940.046584
320.083070.85930.196053
33-0.022659-0.23440.407566
34-0.232596-2.4060.008922
350.3064163.16960.000995
36-0.181093-1.87320.031882
37-0.020723-0.21440.415337
380.2197462.27310.01251
39-0.210861-2.18120.01568
400.1587181.64180.051785
410.0793840.82120.206692
42-0.325081-3.36270.000536
430.2780412.87610.00243
44-0.161377-1.66930.048991
45-0.038173-0.39490.346863
460.1836591.89980.030077
47-0.199339-2.0620.020816
480.1875631.94020.027495
49-0.076872-0.79520.214137
50-0.048172-0.49830.30965
510.0187510.1940.423287
52-0.006276-0.06490.47418
53-0.002658-0.02750.489059
540.001620.01680.493332
55-0.011535-0.11930.452622
560.0199210.20610.418566
570.077690.80360.211695
58-0.078687-0.81390.208744
590.0225460.23320.408021
600.0034030.03520.485992


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.449419-4.64885e-06
2-0.200054-2.06940.02046
30.1275351.31920.094954
4-0.251385-2.60030.005314
5-0.035479-0.3670.357172
6-0.076119-0.78740.2164
7-0.185885-1.92280.028581
8-0.00985-0.10190.459518
90.1575721.62990.053027
100.0668030.6910.245525
110.0995141.02940.152812
12-0.221459-2.29080.011968
13-0.159618-1.65110.050825
14-0.072492-0.74990.227491
15-0.125569-1.29890.098386
16-0.147363-1.52430.065188
17-0.022041-0.2280.410041
180.1142751.18210.1199
19-0.220968-2.28570.012121
20-0.014382-0.14880.44101
210.0849340.87860.190804
220.1726061.78540.038511
230.0752490.77840.21903
24-0.117534-1.21580.113372
25-0.045943-0.47520.317794
26-0.256198-2.65010.004633
270.1574861.6290.053122
28-0.126745-1.31110.096322
29-0.165332-1.71020.045063
300.1083921.12120.132354
310.0137210.14190.443699
320.0341080.35280.362461
330.1082791.120.132602
34-0.17787-1.83990.034277
350.1213071.25480.10614
36-0.084684-0.8760.191503
37-0.010587-0.10950.456502
38-0.07274-0.75240.226722
390.0678970.70230.241999
40-0.091824-0.94980.172169
410.0922230.9540.171127
420.0068660.0710.471756
43-0.007283-0.07530.470043
44-0.021095-0.21820.41384
450.0032980.03410.486425
460.0522090.54010.295141
47-0.0779-0.80580.211072
48-0.065093-0.67330.251096
49-0.149105-1.54240.06297
50-0.003689-0.03820.484815
51-0.037698-0.390.348673
52-0.003159-0.03270.486998
530.0302750.31320.377381
540.0414420.42870.334509
550.0085880.08880.46469
560.0552020.5710.284594
570.0097690.10110.459848
58-0.064653-0.66880.252539
59-0.015368-0.1590.436996
60-0.021408-0.22140.412584
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/09/t12603708757z0mwudr824y4xw/1ni6g1260370809.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/09/t12603708757z0mwudr824y4xw/1ni6g1260370809.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/09/t12603708757z0mwudr824y4xw/2h1et1260370809.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/09/t12603708757z0mwudr824y4xw/2h1et1260370809.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; 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')
 





Copyright

Creative Commons License

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