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PACF d=0 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: Thu, 31 Dec 2009 08:22:59 -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/31/t1262273019wuapkn66jhj0q7i.htm/, Retrieved Thu, 31 Dec 2009 16:23:41 +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/31/t1262273019wuapkn66jhj0q7i.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 «

40.22 44.23 45.85 53.38 53.26 51.8 55.3 57.81 63.96 63.77 59.15 56.12 57.42 63.52 61.71 63.01 68.18 72.03 69.75 74.41 74.33 64.24 60.03 59.44 62.5 55.04 58.34 61.92 67.65 67.68 70.3 75.26 71.44 76.36 81.71 92.6 90.6 92.23 94.09 102.79 109.65 124.05 132.69 135.81 116.07 101.42 75.73 55.48 43.8 45.29 44.01 47.48 51.07 57.84 69.04 65.61 72.87 68.41 73.25 77.43

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	0.885601	6.8598	0
2	0.730613	5.6593	0
3	0.540295	4.1851	4.7e-05
4	0.363605	2.8165	0.003281
5	0.189728	1.4696	0.073443
6	0.030981	0.24	0.405583
7	-0.064688	-0.5011	0.309078
8	-0.125987	-0.9759	0.166518
9	-0.135958	-1.0531	0.148252
10	-0.122759	-0.9509	0.172738
11	-0.115777	-0.8968	0.186703
12	-0.122201	-0.9466	0.173828
13	-0.126914	-0.9831	0.164759
14	-0.115562	-0.8951	0.187144
15	-0.114962	-0.8905	0.18838
16	-0.118017	-0.9142	0.182147
17	-0.113455	-0.8788	0.191503
18	-0.089063	-0.6899	0.246464
19	-0.061283	-0.4747	0.318364
20	-0.013618	-0.1055	0.458172
21	0.048029	0.372	0.355591
22	0.086296	0.6684	0.253205
23	0.109429	0.8476	0.200006
24	0.106876	0.8279	0.205517
25	0.105324	0.8158	0.208911
26	0.05446	0.4218	0.337321
27	-0.010632	-0.0824	0.46732
28	-0.082085	-0.6358	0.263655
29	-0.1432	-1.1092	0.13588
30	-0.190397	-1.4748	0.072746
31	-0.228414	-1.7693	0.040964
32	-0.236666	-1.8332	0.035867
33	-0.247808	-1.9195	0.029839
34	-0.242054	-1.8749	0.032835
35	-0.228563	-1.7704	0.040867
36	-0.205732	-1.5936	0.058141
37	-0.196162	-1.5195	0.066949
38	-0.197673	-1.5312	0.065492
39	-0.203662	-1.5776	0.059963
40	-0.20211	-1.5655	0.061358
41	-0.186273	-1.4429	0.077129
42	-0.149915	-1.1612	0.125073
43	-0.097437	-0.7547	0.226677
44	-0.030084	-0.233	0.408267
45	0.047249	0.366	0.35783
46	0.128797	0.9977	0.161226
47	0.178297	1.3811	0.086188
48	0.193876	1.5018	0.069203
49	0.161355	1.2498	0.108104
50	0.132826	1.0289	0.153836
51	0.082409	0.6383	0.262841
52	0.03301	0.2557	0.399531
53	-0.006171	-0.0478	0.481018
54	-0.033371	-0.2585	0.398457
55	-0.028159	-0.2181	0.414037
56	-0.036727	-0.2845	0.388508
57	-0.032028	-0.2481	0.402457
58	-0.031649	-0.2451	0.403589
59	-0.021839	-0.1692	0.433119
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.885601	6.8598	0
2	-0.248831	-1.9274	0.029331
3	-0.234105	-1.8134	0.037388
4	-0.013126	-0.1017	0.459676
5	-0.12032	-0.932	0.177538
6	-0.097022	-0.7515	0.227635
7	0.169868	1.3158	0.096625
8	-0.032341	-0.2505	0.401524
9	0.060283	0.467	0.321113
10	0.019299	0.1495	0.440834
11	-0.167765	-1.2995	0.099372
12	-0.106865	-0.8278	0.20554
13	0.0555	0.4299	0.334403
14	0.051838	0.4015	0.344725
15	-0.053929	-0.4177	0.338818
16	0.004329	0.0335	0.486681
17	0.022788	0.1765	0.430243
18	0.027486	0.2129	0.41606
19	-0.031163	-0.2414	0.405038
20	0.110274	0.8542	0.198201
21	0.083738	0.6486	0.259525
22	-0.119926	-0.9289	0.17832
23	-0.00635	-0.0492	0.480468
24	-0.054526	-0.4224	0.337137
25	0.025292	0.1959	0.422671
26	-0.154796	-1.199	0.117612
27	-0.005119	-0.0397	0.48425
28	-0.026819	-0.2077	0.418068
29	-0.016018	-0.1241	0.450836
30	-0.030942	-0.2397	0.4057
31	-0.051875	-0.4018	0.344622
32	-0.002316	-0.0179	0.492874
33	-0.082413	-0.6384	0.262831
34	-0.013588	-0.1053	0.458262
35	-0.042902	-0.3323	0.370404
36	0.004858	0.0376	0.485055
37	-0.071752	-0.5558	0.290211
38	-0.058069	-0.4498	0.327237
39	-0.111427	-0.8631	0.195758
40	0.042974	0.3329	0.370196
41	0.033019	0.2558	0.399503
42	0.0396	0.3067	0.380052
43	0.015291	0.1184	0.453055
44	0.067976	0.5265	0.300226
45	0.018626	0.1443	0.442883
46	-0.021742	-0.1684	0.433412
47	-0.078816	-0.6105	0.271917
48	-0.036094	-0.2796	0.390379
49	-0.086534	-0.6703	0.252624
50	0.105631	0.8182	0.208237
51	-0.02822	-0.2186	0.413854
52	-0.001036	-0.008	0.496812
53	0.059452	0.4605	0.323405
54	-0.027549	-0.2134	0.41587
55	0.0282	0.2184	0.413915
56	-0.129118	-1.0001	0.160629
57	-0.032015	-0.248	0.402496
58	0.045158	0.3498	0.363861
59	0.042267	0.3274	0.372253
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262273019wuapkn66jhj0q7i/1czbn1262272977.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262273019wuapkn66jhj0q7i/1czbn1262272977.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262273019wuapkn66jhj0q7i/2xtkr1262272977.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/31/t1262273019wuapkn66jhj0q7i/2xtkr1262272977.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.7 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = -0.7 ; 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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