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Partial corelation Brussel (d=1 en 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: Wed, 29 Dec 2010 12:41:30 +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/29/t1293626394lun92au0vl5iyrp.htm/, Retrieved Wed, 29 Dec 2010 13:39:57 +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/29/t1293626394lun92au0vl5iyrp.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 «

45990 42904 49968 42831 42110 45002 42091 39457 44448 48208 49603 48093 43130 45599 52287 49732 49571 48933 49203 45018 49405 56007 61858 55740 48827 52043 60348 55615 56852 55630 56457 50013 56291 52477 59846 55732 49114 55382 61102 61219 55785 57941 58844 51479 59968 60747 61532 61292 55164 56292 66015 60829 57571 57619 55304 54181 61033 63886 67365 63707 53473 52531 62703 61004 60438 65272 64463 62449 67373 70307 75544 71966 66263 69550 75388 57716 55779 52927 45655 46487 48683 50010 48944 41341 32411 34763 39106 34472 32642 34248 32280 29990 29656 34071 34105 33717

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	-0.091421	-0.8911	0.187573
2	-0.327563	-3.1927	0.000956
3	0.019155	0.1867	0.426147
4	0.055517	0.5411	0.294849
5	-0.0364	-0.3548	0.361769
6	0.151801	1.4796	0.071148
7	-0.008703	-0.0848	0.46629
8	0.133071	1.297	0.098883
9	-0.010486	-0.1022	0.459404
10	-0.380107	-3.7048	0.000178
11	-0.050111	-0.4884	0.31319
12	0.594488	5.7944	0
13	-0.097646	-0.9517	0.171824
14	-0.297375	-2.8985	0.002328
15	-0.037811	-0.3685	0.356645
16	0.108639	1.0589	0.146169
17	-0.017726	-0.1728	0.431598
18	0.080776	0.7873	0.216531
19	-0.10498	-1.0232	0.154401
20	0.084472	0.8233	0.206192
21	-0.042677	-0.416	0.339186
22	-0.320071	-3.1197	0.001199
23	0.061744	0.6018	0.274367
24	0.502699	4.8997	2e-06
25	-0.117891	-1.1491	0.126707
26	-0.22721	-2.2146	0.01459
27	-0.044633	-0.435	0.332264
28	0.069198	0.6745	0.250828
29	-0.00063	-0.0061	0.497556
30	0.134694	1.3128	0.0962
31	-0.093303	-0.9094	0.182718
32	0.11404	1.1115	0.134574
33	-0.071802	-0.6998	0.242867
34	-0.258852	-2.523	0.006649
35	0.06049	0.5896	0.278433
36	0.350386	3.4151	0.00047
37	-0.015154	-0.1477	0.441446
38	-0.264241	-2.5755	0.005776
39	-0.020288	-0.1977	0.421834
40	0.059096	0.576	0.282989
41	-0.07092	-0.6912	0.24555
42	0.142506	1.389	0.084044
43	-0.070445	-0.6866	0.246998
44	0.084946	0.828	0.204886
45	-0.019087	-0.186	0.426408
46	-0.201854	-1.9674	0.026025
47	0.010388	0.1012	0.459783
48	0.318593	3.1053	0.001253
49	-0.050618	-0.4934	0.311449
50	-0.197396	-1.924	0.028675
51	0.027611	0.2691	0.394212
52	0.053928	0.5256	0.300186
53	-0.038048	-0.3708	0.355788
54	0.036934	0.36	0.359828
55	-0.045337	-0.4419	0.329787
56	0.047396	0.462	0.322582
57	-0.024549	-0.2393	0.405704
58	-0.13295	-1.2958	0.099086
59	0.03266	0.3183	0.375468
60	0.199677	1.9462	0.027292

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.091421	-0.8911	0.187573
2	-0.338752	-3.3017	0.000677
3	-0.059127	-0.5763	0.282887
4	-0.069153	-0.674	0.250967
5	-0.057543	-0.5609	0.288107
6	0.159194	1.5516	0.062038
7	0.009108	0.0888	0.464725
8	0.282447	2.753	0.003538
9	0.067517	0.6581	0.25604
10	-0.310994	-3.0312	0.00157
11	-0.16731	-1.6307	0.053129
12	0.416812	4.0626	5e-05
13	-0.046058	-0.4489	0.327257
14	-0.164304	-1.6014	0.0563
15	-0.187235	-1.8249	0.035576
16	0.122186	1.1909	0.118326
17	0.078422	0.7644	0.223273
18	0.062793	0.612	0.270989
19	-0.19543	-1.9048	0.029915
20	-0.131613	-1.2828	0.101341
21	-0.037252	-0.3631	0.358672
22	0.002781	0.0271	0.489217
23	0.089223	0.8696	0.193344
24	0.108865	1.0611	0.145671
25	-0.063504	-0.619	0.268713
26	0.072781	0.7094	0.239913
27	0.066722	0.6503	0.258525
28	0.02477	0.2414	0.404873
29	-0.130618	-1.2731	0.103043
30	0.047275	0.4608	0.323005
31	-0.023337	-0.2275	0.410278
32	0.037875	0.3692	0.356414
33	-0.072851	-0.7101	0.239703
34	-0.012369	-0.1206	0.452147
35	-0.026873	-0.2619	0.396973
36	-0.037342	-0.364	0.358347
37	0.204309	1.9914	0.024657
38	-0.167514	-1.6327	0.052919
39	-0.028672	-0.2795	0.390248
40	-0.074855	-0.7296	0.233715
41	-0.100378	-0.9784	0.165191
42	0.126562	1.2336	0.110203
43	-0.038893	-0.3791	0.352738
44	0.044143	0.4303	0.333992
45	0.096669	0.9422	0.174237
46	0.047543	0.4634	0.322072
47	0.0148	0.1443	0.442801
48	-0.013609	-0.1326	0.447378
49	-0.044402	-0.4328	0.333079
50	-0.030538	-0.2976	0.38331
51	0.030673	0.299	0.38281
52	0.034176	0.3331	0.369894
53	-0.070131	-0.6836	0.247961
54	-0.19027	-1.8545	0.033384
55	0.024191	0.2358	0.407052
56	0.014054	0.137	0.445669
57	0.040605	0.3958	0.34658
58	-0.032171	-0.3136	0.377268
59	0.021721	0.2117	0.416393
60	-0.169078	-1.648	0.051331

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626394lun92au0vl5iyrp/1lyz41293626487.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626394lun92au0vl5iyrp/1lyz41293626487.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626394lun92au0vl5iyrp/2vpx71293626487.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626394lun92au0vl5iyrp/2vpx71293626487.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626394lun92au0vl5iyrp/3vpx71293626487.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626394lun92au0vl5iyrp/3vpx71293626487.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 4 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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 (par8 != '') par8 <- as.numeric(par8)

ox <- x

if (par8 == '') {

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

} else {

x <- log(x,base=par8)

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='picts.png')

op <- par(mfrow=c(2,1))

plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')

if (par8=='') {

mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

} else {

mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')

mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')

}

plot(x,type='l', main=mytitle,xlab='time',ylab='value')

par(op)

dev.off()

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)

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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