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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 05:22:21 -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/t1228220567nt2ki31su8hux2i.htm/, Retrieved Tue, 02 Dec 2008 12:22:48 +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/t1228220567nt2ki31su8hux2i.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 «
110.40 96.40 101.90 106.20 81.00 94.70 101.00 109.40 102.30 90.70 96.20 96.10 106.00 103.10 102.00 104.70 86.00 92.10 106.90 112.60 101.70 92.00 97.40 97.00 105.40 102.70 98.10 104.50 87.40 89.90 109.80 111.70 98.60 96.90 95.10 97.00 112.70 102.90 97.40 111.40 87.40 96.80 114.10 110.30 103.90 101.60 94.60 95.90 104.70 102.80 98.10 113.90 80.90 95.70 113.20 105.90 108.80 102.30 99.00 100.70 115.50
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.036298-0.25410.400245
20.0977530.68430.248513
30.2662371.86370.034184
4-0.172635-1.20840.116338
50.1095490.76680.223427
60.044690.31280.377868
7-0.29752-2.08260.021263
8-0.152662-1.06860.145236
90.0232440.16270.435708
10-0.282113-1.97480.02697
11-0.140453-0.98320.165176
12-0.154458-1.08120.142449
13-0.313797-2.19660.016406
140.0883190.61820.269642
150.0571180.39980.345511
16-0.15635-1.09450.139554
170.178621.25030.108556
180.0404820.28340.389042
19-0.04687-0.32810.37212
200.2082491.45770.075646
210.0879110.61540.270577
22-0.00789-0.05520.478089
230.3012532.10880.02005
24-0.023656-0.16560.434579
25-0.029675-0.20770.418152
260.1572231.10060.138232
27-0.05572-0.390.349099
280.0572760.40090.345105
29-0.033047-0.23130.409012
30-0.127668-0.89370.187932
310.0312920.2190.413762
32-0.05263-0.36840.357077
33-0.07032-0.49220.312374
34-0.137685-0.96380.16994
35-0.04232-0.29620.384149
36-0.037384-0.26170.39733


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.036298-0.25410.400245
20.0965630.67590.251128
30.275881.93120.029629
4-0.171892-1.20320.117332
50.0477040.33390.36993
60.0153740.10760.457369
7-0.252777-1.76940.041522
8-0.279311-1.95520.028139
90.1055570.73890.231747
10-0.123598-0.86520.195576
11-0.218733-1.53110.066084
12-0.201145-1.4080.08272
13-0.177118-1.23980.110472
140.0086640.06060.475943
150.0694680.48630.314469
16-0.130399-0.91280.182911
170.0116150.08130.467767
18-0.039604-0.27720.391385
19-0.201566-1.4110.082287
20-0.162243-1.13570.130803
210.0950590.66540.254452
22-0.009701-0.06790.473067
230.0582660.40790.342577
24-0.14462-1.01230.158175
25-0.09605-0.67240.252259
26-0.045749-0.32020.375072
270.100540.70380.242451
280.1374430.96210.170362
29-0.110789-0.77550.220879
30-0.093478-0.65430.257974
310.0768430.53790.29654
32-0.112776-0.78940.216831
330.0539040.37730.35378
34-0.017867-0.12510.45049
350.0711740.49820.310281
360.0039090.02740.489139
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228220567nt2ki31su8hux2i/1kjyy1228220540.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228220567nt2ki31su8hux2i/1kjyy1228220540.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228220567nt2ki31su8hux2i/231iq1228220540.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228220567nt2ki31su8hux2i/231iq1228220540.ps (open in new window)


 
Parameters (Session):
par1 = 36 ; par2 = -0.3 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 36 ; par2 = 1 ; par3 = 0 ; 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')
 





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