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Non Stationary Time Series Q8 (9)

*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: Tue, 02 Dec 2008 00:19:06 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/02/t12282023952r10nme1u24s1m4.htm/, Retrieved Tue, 02 Dec 2008 07:19:55 +0000

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/2008/Dec/02/t12282023952r10nme1u24s1m4.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

0.8721 0.8552 0.8564 0.8973 0.9383 0.9217 0.9095 0.892 0.8742 0.8532 0.8607 0.9005 0.9111 0.9059 0.8883 0.8924 0.8833 0.87 0.8758 0.8858 0.917 0.9554 0.9922 0.9778 0.9808 0.9811 1.0014 1.0183 1.0622 1.0773 1.0807 1.0848 1.1582 1.1663 1.1372 1.1139 1.1222 1.1692 1.1702 1.2286 1.2613 1.2646 1.2262 1.1985 1.2007 1.2138 1.2266 1.2176 1.2218 1.249 1.2991 1.3408 1.3119 1.3014 1.3201 1.2938 1.2694 1.2165 1.2037 1.2292 1.2256 1.2015 1.1786 1.1856 1.2103 1.1938 1.202 1.2271 1.277 1.265 1.2684 1.2811 1.2727 1.2611 1.2881 1.3213 1.2999 1.3074 1.3242 1.3516 1.3511 1.3419 1.3716 1.3622 1.3896 1.4227 1.4684 1.457 1.4718 1.4748 1.5527 1.575 1.5557 1.5553 1.577 1.4975 1.4369

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.269832	2.4731	0.007706
2	-0.122111	-1.1192	0.13313
3	-0.140009	-1.2832	0.101474
4	0.120131	1.101	0.137017
5	-0.044639	-0.4091	0.341746
6	-0.185269	-1.698	0.046603
7	-0.073756	-0.676	0.250454
8	0.057535	0.5273	0.299682
9	0.179066	1.6412	0.052251
10	0.039732	0.3641	0.358331
11	-0.029047	-0.2662	0.395361
12	-0.335678	-3.0765	0.001413
13	-0.065454	-0.5999	0.275094
14	0.016852	0.1544	0.438814
15	0.010347	0.0948	0.462338
16	-0.126832	-1.1624	0.124175
17	0.016558	0.1518	0.43987
18	0.21409	1.9622	0.026527
19	0.158408	1.4518	0.075136
20	0.025859	0.237	0.406617
21	-0.047335	-0.4338	0.332763
22	-0.060777	-0.557	0.289494
23	-0.127175	-1.1656	0.123541
24	-0.08551	-0.7837	0.217707
25	-0.112868	-1.0344	0.151948
26	-0.094468	-0.8658	0.194529
27	-0.045033	-0.4127	0.340426
28	-0.00075	-0.0069	0.497265
29	0.002408	0.0221	0.491222
30	-0.092254	-0.8455	0.20011
31	-0.088943	-0.8152	0.208638
32	-0.039766	-0.3645	0.358215
33	-0.07756	-0.7108	0.239574
34	0.000512	0.0047	0.498132
35	0.016879	0.1547	0.438714
36	0.007287	0.0668	0.473454

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.269832	2.4731	0.007706
2	-0.210227	-1.9268	0.028695
3	-0.048981	-0.4489	0.327325
4	0.174088	1.5955	0.057173
5	-0.193393	-1.7725	0.039971
6	-0.10346	-0.9482	0.172868
7	0.048101	0.4409	0.330225
8	-0.033495	-0.307	0.379806
9	0.178537	1.6363	0.052757
10	-0.026515	-0.243	0.404292
11	-0.027209	-0.2494	0.401841
12	-0.373071	-3.4192	0.000486
13	0.145453	1.3331	0.093052
14	-0.067799	-0.6214	0.268015
15	-0.026444	-0.2424	0.404546
16	0.010129	0.0928	0.463129
17	-0.023555	-0.2159	0.4148
18	0.090809	0.8323	0.203806
19	0.069536	0.6373	0.26283
20	0.045216	0.4144	0.339816
21	0.075694	0.6937	0.244878
22	-0.186856	-1.7126	0.045241
23	-0.034519	-0.3164	0.376251
24	-0.176576	-1.6183	0.054668
25	-0.025113	-0.2302	0.409263
26	-0.105629	-0.9681	0.167885
27	-0.057312	-0.5253	0.300388
28	-0.131334	-1.2037	0.116044
29	-0.0378	-0.3464	0.364938
30	-0.050439	-0.4623	0.322536
31	-0.004454	-0.0408	0.483767
32	-0.02218	-0.2033	0.419704
33	-0.099241	-0.9096	0.182828
34	0.019192	0.1759	0.430398
35	-0.088151	-0.8079	0.210709
36	-0.131906	-1.2089	0.11504

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282023952r10nme1u24s1m4/1voe31228202341.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282023952r10nme1u24s1m4/1voe31228202341.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282023952r10nme1u24s1m4/2zj701228202341.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282023952r10nme1u24s1m4/2zj701228202341.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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 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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