Non Stationary Time Series Q8 (7)

*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 00:15:23 -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/t1228202160ai4ssfp7x78rwbu.htm/, Retrieved Tue, 02 Dec 2008 07:16:01 +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/t1228202160ai4ssfp7x78rwbu.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 «

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 1 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.969857 9.552 0 2 0.928562 9.1453 0 3 0.883569 8.7021 0 4 0.844279 8.3152 0 5 0.80516 7.9299 0 6 0.763921 7.5238 0 7 0.725272 7.1431 0 8 0.689501 6.7908 0 9 0.649805 6.3998 0 10 0.60806 5.9887 0 11 0.566057 5.575 0 12 0.528665 5.2067 1e-06 13 0.493742 4.8628 2e-06 14 0.461143 4.5417 8e-06 15 0.426805 4.2035 2.9e-05 16 0.394352 3.8839 9.4e-05 17 0.360982 3.5553 0.000293 18 0.325438 3.2052 0.000914 19 0.289594 2.8522 0.002653 20 0.253166 2.4934 0.007173 21 0.220175 2.1685 0.016284 22 0.190409 1.8753 0.031879 23 0.164944 1.6245 0.053756 24 0.140086 1.3797 0.085427 25 0.115435 1.1369 0.12919 26 0.092263 0.9087 0.182885 27 0.07082 0.6975 0.243582 28 0.050653 0.4989 0.309498 29 0.033011 0.3251 0.372895 30 0.019779 0.1948 0.422979 31 0.009092 0.0895 0.464415 32 0.000101 0.001 0.499604 33 -0.001985 -0.0195 0.492223 34 0.000373 0.0037 0.498537 35 4.6e-05 5e-04 0.499821 36 -0.005832 -0.0574 0.477156 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.969857 9.552 0 2 -0.203105 -2.0004 0.024129 3 -0.051494 -0.5072 0.306598 4 0.09302 0.9161 0.180932 5 -0.055033 -0.542 0.294528 6 -0.066141 -0.6514 0.25816 7 0.051762 0.5098 0.305677 8 0.009671 0.0952 0.462157 9 -0.125072 -1.2318 0.110498 10 -0.020752 -0.2044 0.419241 11 0.000663 0.0065 0.4974 12 0.028145 0.2772 0.391111 13 -0.012641 -0.1245 0.450588 14 0.015825 0.1559 0.438233 15 -0.061014 -0.6009 0.274648 16 0.010061 0.0991 0.460635 17 -0.041358 -0.4073 0.34233 18 -0.06332 -0.6236 0.267168 19 -0.002527 -0.0249 0.490097 20 -0.040439 -0.3983 0.345651 21 0.016956 0.167 0.43386 22 0.011853 0.1167 0.453653 23 0.040097 0.3949 0.34689 24 -0.042068 -0.4143 0.339777 25 -0.014403 -0.1418 0.443747 26 0.015178 0.1495 0.440742 27 -0.003804 -0.0375 0.485095 28 -0.013349 -0.1315 0.447836 29 0.025264 0.2488 0.402012 30 0.040252 0.3964 0.346328 31 -0.019777 -0.1948 0.422984 32 0.011586 0.1141 0.454692 33 0.120747 1.1892 0.118627 34 0.033419 0.3291 0.371382 35 -0.105817 -1.0422 0.149959 36 -0.057122 -0.5626 0.287508

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228202160ai4ssfp7x78rwbu/1woix1228202122.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228202160ai4ssfp7x78rwbu/1woix1228202122.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228202160ai4ssfp7x78rwbu/2b4ce1228202122.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228202160ai4ssfp7x78rwbu/2b4ce1228202122.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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 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')

Copyright

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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