Home » date » 2010 » Dec » 29 »

Partrial corelation Brussel (d=0 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 12:31:18 +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/t1293626137mr9guh6w5b635y3.htm/, Retrieved Wed, 29 Dec 2010 13:35:40 +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/t1293626137mr9guh6w5b635y3.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	0.873998	8.5634	0
2	0.76622	7.5074	0
3	0.732705	7.179	0
4	0.682584	6.6879	0
5	0.620573	6.0803	0
6	0.572084	5.6053	0
7	0.492695	4.8274	3e-06
8	0.410562	4.0227	5.7e-05
9	0.306197	3.0001	0.001719
10	0.214573	2.1024	0.019068
11	0.197225	1.9324	0.028129
12	0.18525	1.8151	0.036318
13	0.05884	0.5765	0.282811
14	-0.031532	-0.3089	0.379015
15	-0.052225	-0.5117	0.305019
16	-0.068826	-0.6744	0.250853
17	-0.112765	-1.1049	0.135989
18	-0.154861	-1.5173	0.066236
19	-0.201074	-1.9701	0.025853
20	-0.222236	-2.1775	0.015948
21	-0.25521	-2.5005	0.007047
22	-0.243166	-2.3825	0.009582
23	-0.169328	-1.6591	0.050182
24	-0.118303	-1.1591	0.12464
25	-0.168761	-1.6535	0.050747
26	-0.18534	-1.816	0.036249
27	-0.157375	-1.542	0.063188
28	-0.127949	-1.2536	0.106508
29	-0.121331	-1.1888	0.118725
30	-0.111683	-1.0943	0.138288
31	-0.128843	-1.2624	0.104932
32	-0.138609	-1.3581	0.08881
33	-0.167847	-1.6446	0.051666
34	-0.180991	-1.7733	0.039672
35	-0.152437	-1.4936	0.069283
36	-0.137801	-1.3502	0.090069
37	-0.183895	-1.8018	0.037359
38	-0.216211	-2.1184	0.018361
39	-0.194638	-1.9071	0.029752
40	-0.173808	-1.703	0.045906
41	-0.181338	-1.7767	0.039389
42	-0.170434	-1.6699	0.049098
43	-0.185415	-1.8167	0.036192
44	-0.189996	-1.8616	0.032861
45	-0.201699	-1.9762	0.025499
46	-0.199577	-1.9554	0.026719
47	-0.171259	-1.678	0.048301
48	-0.147479	-1.445	0.075858
49	-0.184773	-1.8104	0.036682
50	-0.210113	-2.0587	0.021117
51	-0.188678	-1.8487	0.033793
52	-0.177872	-1.7428	0.042286
53	-0.19596	-1.92	0.028913
54	-0.19279	-1.8889	0.030959
55	-0.200636	-1.9658	0.026104
56	-0.203398	-1.9929	0.024557
57	-0.202408	-1.9832	0.025102
58	-0.194715	-1.9078	0.029702
59	-0.166847	-1.6348	0.052687
60	-0.159718	-1.5649	0.060448

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.873998	8.5634	0
2	0.009944	0.0974	0.461295
3	0.258355	2.5313	0.006493
4	-0.052987	-0.5192	0.30242
5	0.00215	0.0211	0.491619
6	-0.003986	-0.0391	0.484465
7	-0.169877	-1.6645	0.049642
8	-0.057181	-0.5603	0.288303
9	-0.248599	-2.4358	0.008353
10	-0.041098	-0.4027	0.344041
11	0.209169	2.0494	0.021574
12	0.077617	0.7605	0.224415
13	-0.375978	-3.6838	0.00019
14	0.029134	0.2855	0.387955
15	0.103477	1.0139	0.156598
16	0.142719	1.3984	0.082614
17	-0.140651	-1.3781	0.085689
18	-0.161266	-1.5801	0.058689
19	-0.070221	-0.688	0.24655
20	0.158271	1.5507	0.062128
21	0.041458	0.4062	0.34275
22	0.142903	1.4002	0.082346
23	0.08083	0.792	0.215167
24	0.058059	0.5689	0.285391
25	-0.163141	-1.5985	0.056614
26	-0.030786	-0.3016	0.38179
27	-0.11616	-1.1381	0.128949
28	-0.03946	-0.3866	0.349943
29	-0.069568	-0.6816	0.248558
30	0.018926	0.1854	0.426639
31	-0.146392	-1.4343	0.077362
32	0.015848	0.1553	0.438465
33	-0.004381	-0.0429	0.482924
34	-0.033967	-0.3328	0.370004
35	-0.024585	-0.2409	0.405079
36	0.036041	0.3531	0.362383
37	0.077684	0.7611	0.224218
38	-0.147052	-1.4408	0.076446
39	0.048953	0.4796	0.316286
40	-0.039334	-0.3854	0.350398
41	0.077059	0.755	0.226043
42	0.099393	0.9738	0.166291
43	-0.071954	-0.705	0.241258
44	0.007626	0.0747	0.470297
45	-0.061435	-0.6019	0.274316
46	-0.065178	-0.6386	0.262297
47	-0.064751	-0.6344	0.263656
48	-0.032647	-0.3199	0.374881
49	-0.090725	-0.8889	0.188135
50	-0.070476	-0.6905	0.245765
51	0.007883	0.0772	0.469297
52	-0.114822	-1.125	0.131692
53	-0.112636	-1.1036	0.136261
54	0.000812	0.008	0.496836
55	0.070542	0.6912	0.245564
56	0.024464	0.2397	0.40554
57	0.066688	0.6534	0.257528
58	0.015446	0.1513	0.440011
59	0.025066	0.2456	0.403258
60	-0.131963	-1.293	0.099563

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626137mr9guh6w5b635y3/1q16r1293625875.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626137mr9guh6w5b635y3/1q16r1293625875.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626137mr9guh6w5b635y3/21b5u1293625875.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626137mr9guh6w5b635y3/21b5u1293625875.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626137mr9guh6w5b635y3/3uk4x1293625875.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626137mr9guh6w5b635y3/3uk4x1293625875.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 4 ; 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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