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inducing stationarity

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Sun, 25 Nov 2007 12:05:48 -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/Nov/25/t1196017019xke10cch9d4iwy7.htm/, Retrieved Sun, 25 Nov 2007 19:57:01 +0100
 
User-defined keywords:
 
Dataseries X:
» Textbox « » Textfile « » CSV «
90,8 96,4 90 92,1 97,2 95,1 88,5 91 90,5 75 66,3 66 68,4 70,6 83,9 90,1 90,6 87,1 90,8 94,1 99,8 96,8 87 96,3 107,1 115,2 106,1 89,5 91,3 97,6 100,7 104,6 94,7 101,8 102,5 105,3 110,3 109,8 117,3 118,8 131,3 125,9 133,1 147 145,8 164,4 149,8 137,7 151,7 156,8 180 180,4 170,4 191,6 199,5 218,2 217,5 205 194 199,3 219,3 211,1 215,2 240,2 242,2 240,7 255,4 253 218,2 203,7 205,6 215,6 188,5 202,9 214 230,3 230 241 259,6 247,8 270,3
 
Text written by user:
Q1
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
0190
10.9516638.5650
20.9123998.21160
30.8705747.83520
40.8352957.51770
50.8033237.22990
60.7676066.90850
70.7426966.68430
80.7202046.48180
90.7092476.38320
100.6889546.20060
110.6629595.96660
120.6300595.67050
130.591525.32370
140.5413864.87253e-06
150.4918394.42661.5e-05
160.444464.00017e-05
170.3982953.58470.000288
180.3506943.15620.001122


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.9516638.5650
10.0714040.64260.261136
2-0.039155-0.35240.637273
30.0434170.39080.348502
40.0283740.25540.399544
5-0.053335-0.480.683745
60.0918740.82690.205372
70.0377140.33940.367583
80.1099580.98960.162653
9-0.076541-0.68890.753562
10-0.078463-0.70620.758945
11-0.088342-0.79510.785554
12-0.086054-0.77450.77955
13-0.177593-1.59830.943069
14-0.035581-0.32020.625191
15-0.025101-0.22590.589081
16-0.042346-0.38110.647943
17-0.100584-0.90530.815994
180.0666040.59940.275278
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196017019xke10cch9d4iwy7/1pdho1196017546.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196017019xke10cch9d4iwy7/1pdho1196017546.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196017019xke10cch9d4iwy7/23m5q1196017546.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/25/t1196017019xke10cch9d4iwy7/23m5q1196017546.ps (open in new window)


 
Parameters:
par1 = Default ; par2 = 1 ; par3 = 0 ; 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 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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