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Stationarity in Time Series-Q2aa

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Tue, 27 Nov 2007 03:39:17 -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/27/t1196159422ark8crfhgplyrg4.htm/, Retrieved Tue, 27 Nov 2007 11:30:25 +0100
 
User-defined keywords:
s0650062 s0650550
 
Dataseries X:
» Textbox « » Textfile « » CSV «
8.0 8.1 8.3 8.2 8.1 7.7 7.6 7.7 8.2 8.4 8.4 8.6 8.4 8.5 8.7 8.7 8.6 7.4 7.3 7.4 9.0 9.2 9.2 8.5 8.3 8.3 8.6 8.6 8.5 8.1 8.1 8.0 8.6 8.7 8.7 8.6 8.4 8.4 8.7 8.7 8.5 8.3 8.3 8.3 8.1 8.2 8.1 8.1 7.9 7.7 8.1 8.0 7.7 7.8 7.6 7.4 7.7 7.8 7.5 7.2
 
Text written by user:
 
Output produced by software:


Summary of compuational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
016.85570
10.0167780.1150.454458
2-0.081542-0.5590.7106
3-0.564447-3.86970.999833
4-0.041589-0.28510.611598
50.0107550.07370.470768
60.1007390.69060.246597
7-0.004821-0.0330.513112
80.05160.35380.362553
90.152691.04680.150275
100.0315260.21610.41491
11-0.042861-0.29380.614912
12-0.274237-1.88010.966848
13-0.00347-0.02380.50944
140.0525640.36040.360096
150.1911881.31070.098161
16-0.018364-0.12590.549825
17-0.001129-0.00770.503072
18-0.102471-0.70250.757087
190.0047680.03270.48703
20-0.054752-0.37540.64546
210.1768291.21230.115732
220.0098720.06770.473165
230.0433440.29710.383831
24-0.254105-1.74210.95598
25-0.053802-0.36890.643052
260.0154460.10590.458058
270.2321611.59160.059088
280.0140690.09650.461786
29-0.053781-0.36870.642997
30-0.06923-0.47460.681371
31-0.004093-0.02810.511134
320.0341230.23390.408026
33-0.03703-0.25390.599647
34-0.023942-0.16410.564838
350.0056630.03880.484596
360.091430.62680.266907
370.0269540.18480.427095
38-0.003361-0.0230.509143
39-0.121959-0.83610.796339
40-0.006074-0.04160.516519
410.030420.20850.41785
420.0361630.24790.402638
43-0.002341-0.01610.506369
44-0.006404-0.04390.517416
45-0.002032-0.01390.505527
46-0.001244-0.00850.503385
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
00.0167780.1150.454458
1-0.081846-0.56110.711306
2-0.565541-3.87720.999836
3-0.079682-0.54630.70627
4-0.120504-0.82610.793549
5-0.355868-2.43970.990737
6-0.187452-1.28510.897474
7-0.113178-0.77590.779155
8-0.007916-0.05430.521524
9-0.067093-0.460.67617
10-0.011676-0.080.53173
11-0.197369-1.35310.90875
12-0.029973-0.20550.58096
130.0002670.00180.499273
14-0.073117-0.50130.690739
15-0.04596-0.31510.622955
160.0323410.22170.412746
17-0.095013-0.65140.741012
18-0.074122-0.50820.693139
19-0.079614-0.54580.706109
200.2287011.56790.061807
210.0572910.39280.348133
220.0787510.53990.295911
23-0.114397-0.78430.78159
24-0.052985-0.36320.640975
250.0311040.21320.416032
260.0790470.54190.295218
27-0.080127-0.54930.707308
28-0.053341-0.36570.641882
290.0257540.17660.430307
30-0.097301-0.66710.746002
31-0.095969-0.65790.743103
320.1002090.6870.247731
33-0.044001-0.30170.617877
34-0.02526-0.17320.568372
35-0.073652-0.50490.692018
36-0.052583-0.36050.639952
370.0240860.16510.434778
38-0.002986-0.02050.508122
39-0.031175-0.21370.584157
400.0374790.25690.399171
41-0.094945-0.65090.740864
42-0.021413-0.14680.558042
43-0.03261-0.22360.587968
440.0318680.21850.414001
450.0081730.0560.477778
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/27/t1196159422ark8crfhgplyrg4/13m781196159955.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/27/t1196159422ark8crfhgplyrg4/13m781196159955.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/27/t1196159422ark8crfhgplyrg4/2s8s61196159955.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/27/t1196159422ark8crfhgplyrg4/2s8s61196159955.ps (open in new window)


 
Parameters:
par1 = 60 ; 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 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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