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Non Stationary Time Series - Q8(4)

*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 05:30:27 -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/t1228221125822puwz81s0n8ke.htm/, Retrieved Tue, 02 Dec 2008 12:32:05 +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/t1228221125822puwz81s0n8ke.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 «

109.20 88.60 94.30 98.30 86.40 80.60 104.10 108.20 93.40 71.90 94.10 94.90 96.40 91.10 84.40 86.40 88.00 75.10 109.70 103.00 82.10 68.00 96.40 94.30 90.00 88.00 76.10 82.50 81.40 66.50 97.20 94.10 80.70 70.50 87.80 89.50 99.60 84.20 75.10 92.00 80.80 73.10 99.80 90.00 83.10 72.40 78.80 87.30 91.00 80.10 73.60 86.40 74.50 71.20 92.40 81.50 85.30 69.90 84.20 90.70 100.30

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	0.134712	0.943	0.175158
2	0.11146	0.7802	0.219507
3	0.284906	1.9943	0.025847
4	-0.012685	-0.0888	0.464804
5	0.092047	0.6443	0.261184
6	0.018021	0.1262	0.450065
7	-0.219743	-1.5382	0.065217
8	-0.100175	-0.7012	0.24324
9	-0.026451	-0.1852	0.426936
10	-0.271424	-1.9	0.031665
11	-0.099686	-0.6978	0.2443
12	-0.211864	-1.483	0.072233
13	-0.219528	-1.5367	0.065401
14	0.061583	0.4311	0.33415
15	0.009892	0.0692	0.472539
16	-0.027625	-0.1934	0.423732
17	0.183702	1.2859	0.102258
18	0.140209	0.9815	0.165593
19	0.080277	0.5619	0.288359
20	0.224398	1.5708	0.061334
21	0.007848	0.0549	0.478207
22	0.046262	0.3238	0.37372
23	0.195377	1.3676	0.088833
24	-0.058986	-0.4129	0.340741
25	-0.042652	-0.2986	0.383266
26	0.008746	0.0612	0.475716
27	-0.10245	-0.7172	0.238342
28	-0.039916	-0.2794	0.390553
29	-0.129613	-0.9073	0.184346
30	-0.258144	-1.807	0.038451
31	0.003703	0.0259	0.489714
32	-0.068881	-0.4822	0.315917
33	-0.075516	-0.5286	0.29973
34	0.044874	0.3141	0.377382
35	0.008141	0.057	0.477392
36	-0.003418	-0.0239	0.490504
37	0.044794	0.3136	0.377595
38	0.006294	0.0441	0.48252
39	-0.04571	-0.32	0.375177
40	0.058007	0.406	0.343238
41	-0.02202	-0.1541	0.439065
42	0.058595	0.4102	0.341737
43	0.000552	0.0039	0.498465
44	-0.066359	-0.4645	0.322168
45	-0.068294	-0.4781	0.317367
46	-0.081455	-0.5702	0.28558
47	0.000732	0.0051	0.497965
48	-0.072538	-0.5078	0.306947
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.134712	0.943	0.175158
2	0.095037	0.6653	0.254501
3	0.265693	1.8599	0.034457
4	-0.091782	-0.6425	0.261781
5	0.062293	0.4361	0.332358
6	-0.075379	-0.5277	0.300061
7	-0.217441	-1.5221	0.067208
8	-0.106238	-0.7437	0.230315
9	0.051527	0.3607	0.359941
10	-0.17524	-1.2267	0.112902
11	-0.013174	-0.0922	0.463449
12	-0.176916	-1.2384	0.110731
13	-0.0642	-0.4494	0.327562
14	0.091728	0.6421	0.261902
15	0.13187	0.9231	0.180241
16	0.019517	0.1366	0.445946
17	0.125897	0.8813	0.191234
18	0.068011	0.4761	0.318068
19	-0.030836	-0.2159	0.414998
20	0.023794	0.1666	0.434201
21	-0.078117	-0.5468	0.293493
22	-0.040795	-0.2856	0.388206
23	0.075442	0.5281	0.299908
24	-0.057961	-0.4057	0.343355
25	-0.057885	-0.4052	0.343549
26	-0.001442	-0.0101	0.495995
27	0.061111	0.4278	0.335343
28	0.033094	0.2317	0.408883
29	-0.082614	-0.5783	0.282857
30	-0.102974	-0.7208	0.237222
31	0.073546	0.5148	0.304496
32	-0.037107	-0.2597	0.398073
33	0.047885	0.3352	0.369453
34	-0.013154	-0.0921	0.463505
35	0.059567	0.417	0.339262
36	-0.071588	-0.5011	0.309267
37	-0.117301	-0.8211	0.207781
38	-0.054126	-0.3789	0.353206
39	-0.04544	-0.3181	0.375887
40	-0.025917	-0.1814	0.428393
41	-0.035478	-0.2483	0.402453
42	0.050013	0.3501	0.363887
43	-0.044891	-0.3142	0.377337
44	0.006989	0.0489	0.480591
45	-0.095803	-0.6706	0.252805
46	-0.069049	-0.4833	0.315502
47	0.129579	0.9071	0.184409
48	-0.016222	-0.1136	0.455027
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228221125822puwz81s0n8ke/1zzhb1228221021.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228221125822puwz81s0n8ke/1zzhb1228221021.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228221125822puwz81s0n8ke/2pxoo1228221021.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228221125822puwz81s0n8ke/2pxoo1228221021.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = -0.3 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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')

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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