Non stat time series Q8 ACF

*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 13:08:10 -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/t1228248585lzyq2jei5axe2v8.htm/, Retrieved Tue, 02 Dec 2008 20:09:47 +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/t1228248585lzyq2jei5axe2v8.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 «

105,4 107,1 110,7 117,1 118,7 126,5 127,5 134,6 131,8 135,9 142,7 141,7 153,4 145 137,7 148,3 152,2 169,4 168,6 161,1 174,1 179 190,6 190 181,6 174,8 180,5 196,8 193,8 197 216,3 221,4 217,9 229,7 227,4 204,2 196,6 198,8 207,5 190,7 201,6 210,5 223,5 223,8 231,2 244 234,7 250,2 265,7 287,6 283,3 295,4 312,3 333,8 347,7 383,2 407,1 413,6 362,7 321,9 239,4

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 0.954934 7.4583 0 2 0.879489 6.869 0 3 0.787816 6.153 0 4 0.696545 5.4402 0 5 0.610445 4.7677 6e-06 6 0.538113 4.2028 4.4e-05 7 0.475181 3.7113 0.000224 8 0.41775 3.2627 0.000905 9 0.363247 2.837 0.003086 10 0.317036 2.4761 0.008036 11 0.273577 2.1367 0.018321 12 0.231357 1.807 0.037851 13 0.19701 1.5387 0.064524 14 0.165447 1.2922 0.100584 15 0.131667 1.0284 0.153922 16 0.099896 0.7802 0.219142 17 0.074683 0.5833 0.280923 18 0.059614 0.4656 0.321581 19 0.048895 0.3819 0.351939 20 0.03932 0.3071 0.379907 21 0.037708 0.2945 0.384685 22 0.03422 0.2673 0.395084 23 0.030371 0.2372 0.406646 24 0.021079 0.1646 0.434888 25 0.003017 0.0236 0.490638 26 -0.026726 -0.2087 0.417675 27 -0.06039 -0.4717 0.319425 28 -0.088656 -0.6924 0.24565 29 -0.116516 -0.91 0.183198 30 -0.140793 -1.0996 0.137907 31 -0.154756 -1.2087 0.115725 32 -0.16342 -1.2763 0.103335 33 -0.172653 -1.3485 0.091248 34 -0.177459 -1.386 0.085397 35 -0.183491 -1.4331 0.078466 36 -0.201959 -1.5773 0.059944 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.954934 7.4583 0 2 -0.367882 -2.8732 0.002792 3 -0.127367 -0.9948 0.16189 4 0.043206 0.3375 0.368467 5 -0.00128 -0.01 0.496028 6 0.074844 0.5846 0.280503 7 -0.028798 -0.2249 0.411397 8 -0.049686 -0.3881 0.349662 9 -0.02556 -0.1996 0.421218 10 0.062844 0.4908 0.312655 11 -0.046223 -0.361 0.35967 12 -0.04405 -0.344 0.365998 13 0.075325 0.5883 0.27925 14 -0.053046 -0.4143 0.340053 15 -0.075646 -0.5908 0.278413 16 0.031741 0.2479 0.402519 17 0.046511 0.3633 0.358834 18 0.06435 0.5026 0.308532 19 -0.038745 -0.3026 0.38161 20 -0.055877 -0.4364 0.33204 21 0.101528 0.793 0.215437 22 -0.057781 -0.4513 0.326693 23 0.000417 0.0033 0.498707 24 -0.076733 -0.5993 0.275594 25 -0.090207 -0.7045 0.241889 26 -0.072401 -0.5655 0.286914 27 0.009084 0.0709 0.471837 28 0.072759 0.5683 0.285971 29 -0.102714 -0.8022 0.212769 30 0.015575 0.1216 0.451791 31 0.066007 0.5155 0.304024 32 -0.06059 -0.4732 0.318872 33 -0.032455 -0.2535 0.400376 34 0.054051 0.4222 0.337198 35 -0.077558 -0.6057 0.273465 36 -0.188338 -1.471 0.07322

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228248585lzyq2jei5axe2v8/16ygw1228248488.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228248585lzyq2jei5axe2v8/16ygw1228248488.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228248585lzyq2jei5axe2v8/27mf01228248488.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t1228248585lzyq2jei5axe2v8/27mf01228248488.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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