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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: Wed, 03 Dec 2008 05:35:52 -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/03/t1228307810px1i0jienl0p76n.htm/, Retrieved Wed, 03 Dec 2008 12:36:51 +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/03/t1228307810px1i0jienl0p76n.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:

totale werklsh d=1, D=1

Dataseries X:

» Textbox « » Textfile « » CSV «

8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9 6.8

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	0.467361	3.238	0.001093
2	-0.022637	-0.1568	0.438016
3	-0.364251	-2.5236	0.00749
4	-0.539759	-3.7396	0.000246
5	-0.246962	-1.711	0.046768
6	0.031488	0.2182	0.414118
7	0.159037	1.1018	0.138013
8	0.227484	1.5761	0.060791
9	0.043287	0.2999	0.382773
10	-0.033279	-0.2306	0.409318
11	0.037683	0.2611	0.397575
12	-0.005502	-0.0381	0.484877
13	0.046484	0.322	0.374408
14	-0.002189	-0.0152	0.493982
15	-0.110592	-0.7662	0.223653
16	-0.10885	-0.7541	0.227226
17	-0.113224	-0.7844	0.218318
18	0.006723	0.0466	0.48152
19	0.067797	0.4697	0.320345
20	0.131385	0.9103	0.183616
21	0.102319	0.7089	0.240913
22	-0.003799	-0.0263	0.489556
23	-0.041725	-0.2891	0.386883
24	-0.085767	-0.5942	0.27758
25	-0.014577	-0.101	0.459989
26	0.073704	0.5106	0.305972
27	-0.040644	-0.2816	0.389735
28	-0.102634	-0.7111	0.240241
29	-0.132329	-0.9168	0.181914
30	-0.095949	-0.6648	0.254695
31	0.169411	1.1737	0.12315
32	0.230885	1.5996	0.058123
33	0.164036	1.1365	0.1307
34	0.083069	0.5755	0.283814
35	-0.14394	-0.9972	0.161823
36	-0.256573	-1.7776	0.040903

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.467361	3.238	0.001093
2	-0.308434	-2.1369	0.018865
3	-0.291645	-2.0206	0.024461
4	-0.334467	-2.3173	0.012401
5	0.125864	0.872	0.193771
6	-0.073335	-0.5081	0.306863
7	-0.11562	-0.801	0.213529
8	0.007002	0.0485	0.480755
9	-0.125058	-0.8664	0.195283
10	0.065911	0.4566	0.324994
11	0.137067	0.9496	0.17353
12	-0.053138	-0.3682	0.35719
13	0.044174	0.306	0.380447
14	-0.023859	-0.1653	0.4347
15	-0.011276	-0.0781	0.469027
16	-0.0515	-0.3568	0.361401
17	-0.055977	-0.3878	0.349932
18	0.045718	0.3167	0.376405
19	-0.132208	-0.916	0.182132
20	0.137594	0.9533	0.172613
21	-0.076034	-0.5268	0.300387
22	-0.025721	-0.1782	0.429658
23	0.053796	0.3727	0.355502
24	-0.051448	-0.3564	0.361537
25	0.137658	0.9537	0.172501
26	0.01657	0.1148	0.454542
27	-0.172592	-1.1957	0.118834
28	-0.059754	-0.414	0.340362
29	-0.067886	-0.4703	0.320127
30	0.048217	0.3341	0.369895
31	0.117708	0.8155	0.209406
32	-0.044937	-0.3113	0.378447
33	-0.011488	-0.0796	0.468445
34	0.058687	0.4066	0.343057
35	0.079069	0.5478	0.293181
36	-0.170367	-1.1803	0.121841

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228307810px1i0jienl0p76n/1b9tk1228307751.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228307810px1i0jienl0p76n/1b9tk1228307751.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228307810px1i0jienl0p76n/2nxzv1228307751.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/03/t1228307810px1i0jienl0p76n/2nxzv1228307751.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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 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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