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partial autocorrelation function eur/gbp

*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, 18 Dec 2010 10:09:51 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/18/t1292666908qe2sm81439ox612.htm/, Retrieved Sat, 18 Dec 2010 11:08:30 +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/2010/Dec/18/t1292666908qe2sm81439ox612.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

0.6923 0.6886 0.6855 0.6745 0.6769 0.6758 0.6896 0.6843 0.6818 0.6774 0.6821 0.6885 0.6829 0.6796 0.6976 0.6924 0.6849 0.6921 0.6839 0.6727 0.6776 0.6692 0.6738 0.6740 0.6635 0.6737 0.6788 0.6828 0.6795 0.6740 0.6744 0.6764 0.6987 0.6967 0.7116 0.7357 0.7455 0.7639 0.7958 0.7864 0.7853 0.7903 0.7866 0.8039 0.7916 0.7903 0.8242 0.9567 0.8850 0.8865 0.9258 0.8948 0.8762 0.8527 0.8536 0.8805 0.9155 0.8961 0.9127 0.8857

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.143509	-1.1023	0.137402
2	-0.156321	-1.2007	0.117328
3	0.133799	1.0277	0.154136
4	-0.014696	-0.1129	0.455254
5	-0.090139	-0.6924	0.245711
6	-0.016413	-0.1261	0.450053
7	-0.132968	-1.0213	0.15563
8	0.043259	0.3323	0.370428
9	0.317765	2.4408	0.008838
10	-0.100178	-0.7695	0.222339
11	0.091502	0.7028	0.24246
12	0.045218	0.3473	0.364791
13	-0.036593	-0.2811	0.389819
14	-0.092898	-0.7136	0.239155
15	0.111936	0.8598	0.196691
16	-0.12092	-0.9288	0.178388
17	-0.064772	-0.4975	0.310335
18	0.020947	0.1609	0.436361
19	-0.086437	-0.6639	0.254659
20	0.046983	0.3609	0.359739
21	0.039277	0.3017	0.381974
22	-0.03395	-0.2608	0.397588
23	-0.062658	-0.4813	0.316048
24	0.058514	0.4495	0.327374
25	-0.040066	-0.3077	0.379679
26	-0.060539	-0.465	0.321817
27	-0.010842	-0.0833	0.466956
28	-0.077424	-0.5947	0.277157
29	-0.0059	-0.0453	0.482003
30	0.050278	0.3862	0.350372
31	-0.092806	-0.7129	0.239372
32	0.005007	0.0385	0.484725
33	0.101319	0.7782	0.219766
34	-0.112487	-0.864	0.195536
35	-0.02328	-0.1788	0.429346
36	0.069351	0.5327	0.298122
37	-0.040419	-0.3105	0.378651
38	-0.038245	-0.2938	0.384983
39	-0.008922	-0.0685	0.472797
40	-0.016795	-0.129	0.448895
41	0.094168	0.7233	0.236172
42	-0.036978	-0.284	0.38869
43	-0.022317	-0.1714	0.432241
44	-0.01924	-0.1478	0.441508
45	-0.011108	-0.0853	0.466146
46	-0.013172	-0.1012	0.459876
47	-0.00952	-0.0731	0.470979
48	0.003241	0.0249	0.490113
49	0.010284	0.079	0.468653
50	0.046661	0.3584	0.360658
51	0.000989	0.0076	0.496982
52	0.011552	0.0887	0.464798
53	-0.032628	-0.2506	0.40149
54	0.003251	0.025	0.490082
55	-0.008051	-0.0618	0.475449
56	0.017459	0.1341	0.446888
57	0.003461	0.0266	0.48944
58	0.006969	0.0535	0.478745
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.143509	-1.1023	0.137402
2	-0.180636	-1.3875	0.085255
3	0.085905	0.6598	0.25596
4	-0.008226	-0.0632	0.474916
5	-0.061608	-0.4732	0.318902
6	-0.057855	-0.4444	0.329194
7	-0.176519	-1.3559	0.090154
8	-0.00095	-0.0073	0.4971
9	0.313877	2.4109	0.009522
10	0.038132	0.2929	0.385315
11	0.178766	1.3731	0.087454
12	-0.024451	-0.1878	0.425835
13	-0.005477	-0.0421	0.483293
14	-0.103015	-0.7913	0.215977
15	0.147945	1.1364	0.130195
16	-0.009938	-0.0763	0.469707
17	-0.056923	-0.4372	0.331768
18	-0.159424	-1.2246	0.112804
19	-0.169062	-1.2986	0.099568
20	-0.094068	-0.7226	0.236405
21	0.033234	0.2553	0.399699
22	0.02496	0.1917	0.424309
23	-0.058614	-0.4502	0.327099
24	-0.124636	-0.9573	0.17115
25	-0.031856	-0.2447	0.403773
26	-0.057606	-0.4425	0.329879
27	0.096584	0.7419	0.230552
28	0.005692	0.0437	0.482636
29	0.005786	0.0444	0.482351
30	-0.039613	-0.3043	0.380994
31	-0.110821	-0.8512	0.19904
32	0.022141	0.1701	0.432769
33	0.119174	0.9154	0.181856
34	-0.023064	-0.1772	0.429996
35	-0.053175	-0.4084	0.342212
36	-0.073699	-0.5661	0.28674
37	-0.0133	-0.1022	0.45949
38	-0.005783	-0.0444	0.482359
39	0.017142	0.1317	0.447848
40	0.004185	0.0321	0.487232
41	0.045842	0.3521	0.363001
42	-0.113278	-0.8701	0.193885
43	0.042927	0.3297	0.371387
44	-0.086181	-0.662	0.255284
45	-0.054793	-0.4209	0.337689
46	-0.035696	-0.2742	0.392449
47	-0.020888	-0.1604	0.436538
48	-0.022757	-0.1748	0.430917
49	0.013254	0.1018	0.459629
50	-0.019516	-0.1499	0.440674
51	0.001417	0.0109	0.495676
52	-0.04714	-0.3621	0.359289
53	0.02132	0.1638	0.43524
54	0.0158	0.1214	0.451909
55	0.05455	0.419	0.338366
56	0.00973	0.0747	0.470337
57	0.007266	0.0558	0.47784
58	-0.048892	-0.3755	0.354299
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292666908qe2sm81439ox612/106261292666989.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292666908qe2sm81439ox612/106261292666989.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292666908qe2sm81439ox612/206261292666989.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/18/t1292666908qe2sm81439ox612/206261292666989.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 0.0 ; par3 = 1 ; par4 = 0 ; 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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