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paper3: pacf d,D=0

*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: Sat, 26 Dec 2009 11:52:50 -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/26/t12618536353nvn47lpni0lkrz.htm/, Retrieved Sat, 26 Dec 2009 19:53:58 +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/26/t12618536353nvn47lpni0lkrz.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 «

111.6 104.6 91.6 98.3 97.7 106.3 102.3 106.6 108.1 93.8 88.2 108.9 114.2 102.5 94.2 97.4 98.5 106.5 102.9 97.1 103.7 93.4 85.8 108.6 110.2 101.2 101.2 96.9 99.4 118.7 108.0 101.2 119.9 94.8 95.3 118.0 115.9 111.4 108.2 108.8 109.5 124.8 115.3 109.5 124.2 92.9 98.4 120.9 111.7 116.1 109.4 111.7 114.3 133.7 114.3 126.5 131.0 104.0 108.9 128.5 132.4 128.0 116.4 120.9 118.6 133.1 121.1 127.6 135.4 114.9 114.3 128.9 138.9 129.4 115.0 128.0 127.0 128.8 137.9 128.4 135.9 122.2 113.1 136.2 138.0 115.2 111.0 99.2 102.4 112.7 105.5 98.3 116.4 97.4 93.3 117.4

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	0.579791	5.6808	0
2	0.385913	3.7812	0.000136
3	0.520972	5.1045	1e-06
4	0.450861	4.4175	1.3e-05
5	0.515641	5.0522	1e-06
6	0.57591	5.6427	0
7	0.432854	4.2411	2.6e-05
8	0.374284	3.6672	0.000201
9	0.322311	3.158	0.001062
10	0.140805	1.3796	0.085458
11	0.334755	3.2799	0.000724
12	0.595924	5.8388	0
13	0.274204	2.6866	0.004253
14	0.126385	1.2383	0.10931
15	0.192088	1.8821	0.031428
16	0.176182	1.7262	0.043762
17	0.257426	2.5222	0.006653
18	0.270673	2.652	0.004681
19	0.186204	1.8244	0.0356
20	0.140689	1.3785	0.085631
21	0.07595	0.7442	0.229299
22	-0.058776	-0.5759	0.28302
23	0.109513	1.073	0.142979
24	0.295211	2.8925	0.002364
25	0.054221	0.5313	0.298235
26	-0.104935	-1.0281	0.153233
27	-0.050185	-0.4917	0.312024
28	-0.048037	-0.4707	0.319474
29	-0.009922	-0.0972	0.461378
30	0.008679	0.085	0.466204
31	-0.029787	-0.2919	0.385514
32	-0.106184	-1.0404	0.150387
33	-0.171052	-1.676	0.0485
34	-0.245613	-2.4065	0.00901
35	-0.141391	-1.3853	0.084579
36	0.038988	0.382	0.351651

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.579791	5.6808	0
2	0.074952	0.7344	0.232256
3	0.409835	4.0155	5.9e-05
4	0.010438	0.1023	0.459376
5	0.368022	3.6059	0.000248
6	0.140455	1.3762	0.085985
7	0.020994	0.2057	0.41873
8	-0.04522	-0.4431	0.329359
9	-0.180892	-1.7724	0.039753
10	-0.402751	-3.9461	7.6e-05
11	0.228759	2.2414	0.013653
12	0.480308	4.706	4e-06
13	-0.209725	-2.0549	0.021304
14	-0.155261	-1.5212	0.065744
15	-0.131318	-1.2866	0.100655
16	0.182129	1.7845	0.038751
17	-0.027767	-0.2721	0.393078
18	-0.088488	-0.867	0.194052
19	-0.008623	-0.0845	0.466423
20	-0.102298	-1.0023	0.159357
21	0.085575	0.8385	0.201927
22	-0.034355	-0.3366	0.368572
23	-0.012638	-0.1238	0.450856
24	-0.055019	-0.5391	0.295541
25	-0.020125	-0.1972	0.422052
26	-0.111207	-1.0896	0.139307
27	0.06701	0.6566	0.256518
28	-0.069188	-0.6779	0.249732
29	-0.083764	-0.8207	0.20692
30	-0.022922	-0.2246	0.411387
31	0.13464	1.3192	0.09512
32	-0.1045	-1.0239	0.154231
33	-0.085449	-0.8372	0.202272
34	0.036519	0.3578	0.360636
35	-0.106341	-1.0419	0.150032
36	0.068259	0.6688	0.252616

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/26/t12618536353nvn47lpni0lkrz/1iph91261853568.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/26/t12618536353nvn47lpni0lkrz/1iph91261853568.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/26/t12618536353nvn47lpni0lkrz/22axn1261853568.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/26/t12618536353nvn47lpni0lkrz/22axn1261853568.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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