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Non stat time series Q8 ACF 2

*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 13:17:14 -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/t1228249187mqdzbcaoalg5nck.htm/, Retrieved Tue, 02 Dec 2008 20:19:47 +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/t1228249187mqdzbcaoalg5nck.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

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

105.4 107.1 110.7 117.1 118.7 126.5 127.5 134.6 131.8 135.9 142.7 141.7 153.4 145 137.7 148.3 152.2 169.4 168.6 161.1 174.1 179 190.6 190 181.6 174.8 180.5 196.8 193.8 197 216.3 221.4 217.9 229.7 227.4 204.2 196.6 198.8 207.5 190.7 201.6 210.5 223.5 223.8 231.2 244 234.7 250.2 265.7 287.6 283.3 295.4 312.3 333.8 347.7 383.2 407.1 413.6 362.7 321.9 239.4

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	-0.279565	-2.1474	0.017941
2	0.092635	0.7115	0.239775
3	-0.035036	-0.2691	0.39439
4	0.188161	1.4453	0.076834
5	-0.126329	-0.9704	0.167916
6	-0.133521	-1.0256	0.154634
7	0.128346	0.9858	0.164118
8	0.062379	0.4791	0.316804
9	-0.247538	-1.9014	0.03107
10	0.097337	0.7477	0.228818
11	0.100574	0.7725	0.221444
12	-0.005624	-0.0432	0.482843
13	-0.159012	-1.2214	0.113398
14	-6.6e-05	-5e-04	0.499798
15	0.207505	1.5939	0.058154
16	-0.141417	-1.0862	0.140894
17	-0.031621	-0.2429	0.404467
18	0.010952	0.0841	0.466622
19	0.044757	0.3438	0.366114
20	-0.183504	-1.4095	0.081966
21	0.055995	0.4301	0.334342
22	0.014945	0.1148	0.454499
23	0.036546	0.2807	0.389956
24	-0.10764	-0.8268	0.205842
25	0.085403	0.656	0.25719
26	0.084982	0.6528	0.258223
27	-0.026389	-0.2027	0.420034
28	-0.022418	-0.1722	0.431937
29	0.004455	0.0342	0.48641
30	0.00969	0.0744	0.470459
31	-0.08971	-0.6891	0.246739
32	0.019413	0.1491	0.440986
33	0.016756	0.1287	0.449015
34	-0.077653	-0.5965	0.276574
35	0.094985	0.7296	0.234263
36	-0.054288	-0.417	0.339098

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.279565	-2.1474	0.017941
2	0.015706	0.1206	0.452193
3	-0.005592	-0.043	0.482941
4	0.190592	1.464	0.074256
5	-0.028627	-0.2199	0.41336
6	-0.217649	-1.6718	0.04993
7	0.04875	0.3745	0.354703
8	0.12452	0.9565	0.171373
9	-0.211056	-1.6212	0.055159
10	0.019258	0.1479	0.441453
11	0.130712	1.004	0.159735
12	0.000459	0.0035	0.498599
13	-0.082525	-0.6339	0.264301
14	-0.126021	-0.968	0.168501
15	0.127252	0.9774	0.166171
16	0.052669	0.4046	0.343632
17	-0.035546	-0.273	0.392891
18	-0.106398	-0.8173	0.208534
19	-0.037364	-0.287	0.387558
20	-0.090591	-0.6958	0.24463
21	0.060808	0.4671	0.321083
22	-0.047007	-0.3611	0.359671
23	-0.012157	-0.0934	0.462959
24	0.069404	0.5331	0.297982
25	0.011974	0.092	0.463515
26	0.025789	0.1981	0.42183
27	0.013514	0.1038	0.458839
28	0.026535	0.2038	0.419597
29	-0.045481	-0.3493	0.364036
30	-0.042957	-0.33	0.371301
31	-0.080076	-0.6151	0.270435
32	0.025351	0.1947	0.423137
33	0.011545	0.0887	0.464819
34	-0.112069	-0.8608	0.196411
35	0.16659	1.2796	0.102847
36	-0.03186	-0.2447	0.403762

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249187mqdzbcaoalg5nck/1j8rt1228249029.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249187mqdzbcaoalg5nck/1j8rt1228249029.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249187mqdzbcaoalg5nck/22wij1228249029.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228249187mqdzbcaoalg5nck/22wij1228249029.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; 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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