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Inducing Stationarity in Time Series-Q2

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 10 Dec 2007 14:32:28 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Dec/10/t1197321477rayvgbqmh9iq516.htm/, Retrieved Mon, 10 Dec 2007 22:17:59 +0100

User-defined keywords:

s0650550 s0650062

Dataseries X:

» Textbox « » Textfile « » CSV «

1.1 1.3 1.2 1.6 1.7 1.5 0.9 1.5 1.4 1.6 1.7 1.4 1.8 1.7 1.4 1.2 1.0 1.7 2.4 2.0 2.1 2.0 1.8 2.7 2.3 1.9 2.0 2.3 2.8 2.4 2.3 2.7 2.7 2.9 3.0 2.2 2.3 2.8 2.8 2.8 2.2 2.6 2.8 2.5 2.4 2.3 1.9 1.7 2.0 2.1 1.7 1.8 1.8 1.8 1.3 1.3 1.3 1.2 1.4 2.2

Text written by user:

Output produced by software:

Summary of compuational 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 0 1 6.8557 0 1 -0.113244 -0.7764 0.779288 2 -0.395214 -2.7095 0.995313 3 0.015786 0.1082 0.45714 4 -0.117146 -0.8031 0.787024 5 0.369671 2.5343 0.007328 6 0.025903 0.1776 0.429908 7 -0.309473 -2.1216 0.980415 8 0.02304 0.158 0.437585 9 -0.088477 -0.6066 0.726472 10 0.312086 2.1396 0.018807 11 0.257132 1.7628 0.042217 12 -0.572458 -3.9246 0.999859 13 -0.063537 -0.4356 0.667435 14 0.246257 1.6883 0.048994 15 0.024591 0.1686 0.433422 16 0.114606 0.7857 0.217993 17 -0.280448 -1.9227 0.969702 18 -0.081629 -0.5596 0.710803 19 0.15061 1.0325 0.153554 20 0.017392 0.1192 0.4528 21 0.096578 0.6621 0.25557 22 -0.117618 -0.8064 0.787949 23 -0.164264 -1.1261 0.867088 24 0.148783 1.02 0.156474 25 0.085204 0.5841 0.280963 26 -0.093134 -0.6385 0.736874 27 -0.01843 -0.1264 0.550004 28 -0.053039 -0.3636 0.641112 29 0.014851 0.1018 0.459669 30 0.040854 0.2801 0.390323 31 0.006372 0.0437 0.48267 32 0.013217 0.0906 0.464094 33 -0.020693 -0.1419 0.556102 34 0.018672 0.128 0.449344 35 0.045003 0.3085 0.379523 36 -0.028081 -0.1925 0.575915 37 -0.047675 -0.3268 0.62738 38 0.026181 0.1795 0.429163 39 -0.003659 -0.0251 0.509954 40 -0.008312 -0.057 0.5226 41 0.09657 0.6621 0.255586 42 0.030702 0.2105 0.4171 43 -0.034297 -0.2351 0.592434 44 -0.035749 -0.2451 0.596271 45 -0.01869 -0.1281 0.550705 46 -0.014792 -0.1014 0.54017 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.113244 -0.7764 0.779288 1 -0.413339 -2.8337 0.99662 2 -0.115181 -0.7896 0.783148 3 -0.368417 -2.5257 0.992512 4 0.332679 2.2807 0.013571 5 -0.10281 -0.7048 0.757803 6 0.031377 0.2151 0.415306 7 -0.125679 -0.8616 0.803363 8 -0.148639 -1.019 0.843294 9 0.23875 1.6368 0.054177 10 0.239962 1.6451 0.053311 11 -0.314471 -2.1559 0.981879 12 -0.0061 -0.0418 0.51659 13 -0.01366 -0.0936 0.537106 14 -0.039535 -0.271 0.606226 15 -0.085739 -0.5878 0.720259 16 -0.034621 -0.2373 0.593291 17 0.000637 0.0044 0.498268 18 -0.174673 -1.1975 0.881441 19 0.014005 0.096 0.461959 20 -0.197882 -1.3566 0.909307 21 0.180257 1.2358 0.111341 22 0.033468 0.2294 0.409759 23 -0.128224 -0.8791 0.80808 24 -0.060667 -0.4159 0.660315 25 -0.071279 -0.4887 0.686323 26 0.047946 0.3287 0.371921 27 -0.037288 -0.2556 0.600325 28 -0.119373 -0.8184 0.791365 29 -0.114451 -0.7846 0.781698 30 0.008854 0.0607 0.475928 31 -0.04444 -0.3047 0.619017 32 0.01718 0.1178 0.453372 33 0.057382 0.3934 0.347904 34 0.114419 0.7844 0.218366 35 -0.146489 -1.0043 0.839806 36 0.002932 0.0201 0.492025 37 -0.123641 -0.8476 0.799533 38 0.057859 0.3967 0.346706 39 0.041542 0.2848 0.388524 40 0.05608 0.3845 0.351183 41 0.023414 0.1605 0.43658 42 0.034179 0.2343 0.407877 43 -0.008328 -0.0571 0.522644 44 -0.045227 -0.3101 0.621057 45 -0.093492 -0.6409 0.737665 46 NA NA NA 47 NA NA NA 48 NA NA NA 49 NA NA NA 50 NA NA NA 51 NA NA NA 52 NA NA NA 53 NA NA NA 54 NA NA NA 55 NA NA NA 56 NA NA NA 57 NA NA NA 58 NA NA NA 59 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197321477rayvgbqmh9iq516/1f7bu1197322346.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197321477rayvgbqmh9iq516/1f7bu1197322346.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197321477rayvgbqmh9iq516/27x971197322346.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t1197321477rayvgbqmh9iq516/27x971197322346.ps (open in new window)

Parameters:

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

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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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