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Non stationary time series Q8 (2)

*Unverified author*

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 09:05:49 -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/t1228234010f25wack3b04bbu7.htm/, Retrieved Tue, 02 Dec 2008 16:06:50 +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/t1228234010f25wack3b04bbu7.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 «

97.3 101 113.2 101 105.7 113.9 86.4 96.5 103.3 114.9 105.8 94.2 98.4 99.4 108.8 112.6 104.4 112.2 81.1 97.1 112.6 113.8 107.8 103.2 103.3 101.2 107.7 110.4 101.9 115.9 89.9 88.6 117.2 123.9 100 103.6 94.1 98.7 119.5 112.7 104.4 124.7 89.1 97 121.6 118.8 114 111.5 97.2 102.5 113.4 109.8 104.9 126.1 80 96.8 117.2 112.3 117.3 111.1 102.2 104.3 122.9 107.6 121.3 131.5 89 104.4 128.9 135.9 133.3 121.3 120.5 120.4 137.9 126.1 133.2 151.1 105 119 140.4 156.6 137.1 122.7

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.512922	-4.322	2.5e-05
2	-0.042591	-0.3589	0.360375
3	0.205459	1.7312	0.043877
4	-0.216599	-1.8251	0.036096
5	0.153501	1.2934	0.100028
6	0.077614	0.654	0.257615
7	-0.262755	-2.214	0.01502
8	0.135327	1.1403	0.129
9	0.147514	1.243	0.108984
10	-0.185052	-1.5593	0.061689
11	0.114449	0.9644	0.169067
12	-0.130208	-1.0972	0.13814
13	0.021175	0.1784	0.429448
14	0.049154	0.4142	0.339994
15	0.020777	0.1751	0.430761
16	-0.174952	-1.4742	0.072428
17	0.130685	1.1012	0.13727
18	0.058952	0.4967	0.310454
19	-0.14428	-1.2157	0.114059
20	0.084518	0.7122	0.23935
21	-0.025493	-0.2148	0.415268
22	-0.153008	-1.2893	0.100745
23	0.3096	2.6087	0.005537
24	-0.174569	-1.4709	0.072862
25	-0.134996	-1.1375	0.129577
26	0.267841	2.2569	0.013548
27	-0.181887	-1.5326	0.064908
28	0.010634	0.0896	0.464428
29	0.162294	1.3675	0.087889
30	-0.247228	-2.0832	0.020419
31	0.149155	1.2568	0.106473
32	0.093762	0.7901	0.216063
33	-0.178049	-1.5003	0.06899
34	0.102333	0.8623	0.195721
35	-0.015742	-0.1326	0.447424
36	-0.03844	-0.3239	0.373482

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.512922	-4.322	2.5e-05
2	-0.414813	-3.4953	0.00041
3	-0.062637	-0.5278	0.299646
4	-0.18741	-1.5791	0.059374
5	-0.007432	-0.0626	0.47512
6	0.18235	1.5365	0.064429
7	-0.076297	-0.6429	0.261184
8	-0.126645	-1.0671	0.144764
9	0.151568	1.2771	0.102857
10	0.097831	0.8243	0.206254
11	0.079459	0.6695	0.252663
12	-0.116719	-0.9835	0.164352
13	-0.079509	-0.67	0.252531
14	-0.17992	-1.516	0.066976
15	-0.00776	-0.0654	0.474025
16	-0.174605	-1.4712	0.072822
17	-0.103978	-0.8761	0.191957
18	0.057553	0.4849	0.314602
19	-0.0369	-0.3109	0.378385
20	-0.063669	-0.5365	0.296649
21	0.048025	0.4047	0.343469
22	-0.187621	-1.5809	0.05917
23	0.092345	0.7781	0.219543
24	0.055945	0.4714	0.3194
25	-0.090457	-0.7622	0.224232
26	-0.039689	-0.3344	0.369522
27	-0.03031	-0.2554	0.399579
28	-0.15539	-1.3093	0.09732
29	0.00741	0.0624	0.475193
30	-0.025218	-0.2125	0.416167
31	0.012946	0.1091	0.456722
32	0.000637	0.0054	0.497865
33	0.079296	0.6682	0.2531
34	-0.008258	-0.0696	0.472362
35	-0.003232	-0.0272	0.489175
36	0.021049	0.1774	0.429863

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228234010f25wack3b04bbu7/13np11228233943.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228234010f25wack3b04bbu7/13np11228233943.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228234010f25wack3b04bbu7/25n7u1228233943.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228234010f25wack3b04bbu7/25n7u1228233943.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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