Time series
| 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 | 7.746 | 0 |
| 1 | 0.793526 | 6.1466 | 0 |
| 2 | 0.62293 | 4.8252 | 5e-06 |
| 3 | 0.523429 | 4.0545 | 7.3e-05 |
| 4 | 0.496118 | 3.8429 | 0.000148 |
| 5 | 0.436164 | 3.3785 | 0.000643 |
| 6 | 0.430052 | 3.3312 | 0.000742 |
| 7 | 0.336177 | 2.604 | 0.005798 |
| 8 | 0.217869 | 1.6876 | 0.04834 |
| 9 | 0.14903 | 1.1544 | 0.126461 |
| 10 | 0.198872 | 1.5405 | 0.064354 |
| 11 | 0.211594 | 1.639 | 0.053223 |
| 12 | 0.263828 | 2.0436 | 0.022695 |
| 13 | 0.223357 | 1.7301 | 0.044375 |
| 14 | 0.142685 | 1.1052 | 0.136736 |
| 15 | 0.069811 | 0.5408 | 0.295339 |
| 16 | 0.093425 | 0.7237 | 0.236042 |
| 17 | 0.145576 | 1.1276 | 0.131984 |
| 18 | 0.168454 | 1.3048 | 0.098465 |
| 19 | 0.147819 | 1.145 | 0.128378 |
| 20 | 0.101268 | 0.7844 | 0.21794 |
| 21 | 0.011183 | 0.0866 | 0.46563 |
| 22 | 0.00906 | 0.0702 | 0.472143 |
| 23 | 0.039766 | 0.308 | 0.379566 |
| 24 | 0.051975 | 0.4026 | 0.344338 |
| 25 | 0.001648 | 0.0128 | 0.494929 |
| 26 | -0.042172 | -0.3267 | 0.627471 |
| 27 | -0.122045 | -0.9454 | 0.825865 |
| 28 | -0.176504 | -1.3672 | 0.911667 |
| 29 | -0.154858 | -1.1995 | 0.88248 |
| 30 | -0.120025 | -0.9297 | 0.821877 |
| 31 | -0.155428 | -1.2039 | 0.883329 |
| 32 | -0.174628 | -1.3527 | 0.90938 |
| 33 | -0.210805 | -1.6329 | 0.946135 |
| 34 | -0.21839 | -1.6916 | 0.952049 |
| 35 | -0.191239 | -1.4813 | 0.928124 |
| 36 | -0.107281 | -0.831 | 0.795364 |
| 37 | -0.102979 | -0.7977 | 0.785897 |
| 38 | -0.142742 | -1.1057 | 0.86336 |
| 39 | -0.179013 | -1.3866 | 0.914657 |
| 40 | -0.190342 | -1.4744 | 0.927196 |
| 41 | -0.207643 | -1.6084 | 0.943501 |
| 42 | -0.186278 | -1.4429 | 0.922875 |
| 43 | -0.175386 | -1.3585 | 0.91031 |
| 44 | -0.208416 | -1.6144 | 0.944154 |
| 45 | -0.274936 | -2.1296 | 0.981344 |
| 46 | -0.269504 | -2.0876 | 0.979454 |
| 47 | -0.248376 | -1.9239 | 0.970444 |
| 48 | -0.232204 | -1.7986 | 0.961448 |
| 49 | -0.21101 | -1.6345 | 0.946302 |
| 50 | -0.238638 | -1.8485 | 0.965269 |
| 51 | -0.286414 | -2.2186 | 0.984844 |
| 52 | -0.303216 | -2.3487 | 0.988925 |
| 53 | -0.27739 | -2.1487 | 0.982146 |
| 54 | -0.249712 | -1.9343 | 0.9711 |
| 55 | -0.194481 | -1.5064 | 0.931399 |
| 56 | -0.166256 | -1.2878 | 0.898621 |
| 57 | -0.171641 | -1.3295 | 0.905646 |
| 58 | -0.141901 | -1.0992 | 0.861955 |
| 59 | -0.053764 | -0.4165 | 0.660719 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.793526 | 6.1466 | 0 |
| 1 | -0.018239 | -0.1413 | 0.555938 |
| 2 | 0.093397 | 0.7235 | 0.236106 |
| 3 | 0.154113 | 1.1938 | 0.118636 |
| 4 | -0.054863 | -0.425 | 0.66381 |
| 5 | 0.164393 | 1.2734 | 0.103897 |
| 6 | -0.211456 | -1.6379 | 0.946665 |
| 7 | -0.121973 | -0.9448 | 0.825725 |
| 8 | 0.042308 | 0.3277 | 0.372134 |
| 9 | 0.185316 | 1.4354 | 0.078176 |
| 10 | 0.003475 | 0.0269 | 0.489308 |
| 11 | 0.198758 | 1.5396 | 0.064461 |
| 12 | -0.154274 | -1.195 | 0.881606 |
| 13 | -0.116198 | -0.9001 | 0.814158 |
| 14 | -0.021809 | -0.1689 | 0.56679 |
| 15 | 0.000276 | 0.0021 | 0.499152 |
| 16 | 0.156415 | 1.2116 | 0.115211 |
| 17 | -0.005796 | -0.0449 | 0.517829 |
| 18 | 0.033571 | 0.26 | 0.397862 |
| 19 | -0.034571 | -0.2678 | 0.605109 |
| 20 | -0.165531 | -1.2822 | 0.897648 |
| 21 | 0.017661 | 0.1368 | 0.445824 |
| 22 | -0.012649 | -0.098 | 0.538863 |
| 23 | -0.038406 | -0.2975 | 0.61644 |
| 24 | 0.000996 | 0.0077 | 0.496935 |
| 25 | 0.026461 | 0.205 | 0.419147 |
| 26 | -0.14002 | -1.0846 | 0.858779 |
| 27 | -0.071844 | -0.5565 | 0.710032 |
| 28 | -0.009508 | -0.0737 | 0.529234 |
| 29 | -0.042222 | -0.327 | 0.627615 |
| 30 | -0.000563 | -0.0044 | 0.501731 |
| 31 | 0.062683 | 0.4855 | 0.314532 |
| 32 | -0.035307 | -0.2735 | 0.60729 |
| 33 | 0.013979 | 0.1083 | 0.457067 |
| 34 | -0.008719 | -0.0675 | 0.526811 |
| 35 | 0.038641 | 0.2993 | 0.382869 |
| 36 | -0.058053 | -0.4497 | 0.672718 |
| 37 | -0.05057 | -0.3917 | 0.65167 |
| 38 | -0.008551 | -0.0662 | 0.526295 |
| 39 | -0.016217 | -0.1256 | 0.549774 |
| 40 | -0.06337 | -0.4909 | 0.687343 |
| 41 | -0.040716 | -0.3154 | 0.623219 |
| 42 | 0.025852 | 0.2003 | 0.420981 |
| 43 | -0.063906 | -0.495 | 0.6888 |
| 44 | -0.036129 | -0.2799 | 0.609724 |
| 45 | 0.040348 | 0.3125 | 0.37786 |
| 46 | 0.002417 | 0.0187 | 0.492561 |
| 47 | -0.065412 | -0.5067 | 0.692881 |
| 48 | 0.005009 | 0.0388 | 0.48459 |
| 49 | -0.130084 | -1.0076 | 0.841161 |
| 50 | 0.015901 | 0.1232 | 0.451194 |
| 51 | -0.038634 | -0.2993 | 0.61711 |
| 52 | -0.019123 | -0.1481 | 0.558631 |
| 53 | 0.042742 | 0.3311 | 0.370869 |
| 54 | 0.106158 | 0.8223 | 0.207083 |
| 55 | -0.043167 | -0.3344 | 0.630368 |
| 56 | 0.049512 | 0.3835 | 0.351345 |
| 57 | 0.079628 | 0.6168 | 0.269851 |
| 58 | 0.039846 | 0.3086 | 0.379329 |
| 59 | NA | NA | NA |
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| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/14/t11976266542bxgad5g794ylio/2n92n1197627596.png (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/14/t11976266542bxgad5g794ylio/2n92n1197627596.ps (open in new window) |
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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