inducing stationarity
| Summary of compuational 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 |
| 0 | 1 | 9 | 0 |
| 1 | 0.951663 | 8.565 | 0 |
| 2 | 0.912399 | 8.2116 | 0 |
| 3 | 0.870574 | 7.8352 | 0 |
| 4 | 0.835295 | 7.5177 | 0 |
| 5 | 0.803323 | 7.2299 | 0 |
| 6 | 0.767606 | 6.9085 | 0 |
| 7 | 0.742696 | 6.6843 | 0 |
| 8 | 0.720204 | 6.4818 | 0 |
| 9 | 0.709247 | 6.3832 | 0 |
| 10 | 0.688954 | 6.2006 | 0 |
| 11 | 0.662959 | 5.9666 | 0 |
| 12 | 0.630059 | 5.6705 | 0 |
| 13 | 0.59152 | 5.3237 | 0 |
| 14 | 0.541386 | 4.8725 | 3e-06 |
| 15 | 0.491839 | 4.4266 | 1.5e-05 |
| 16 | 0.44446 | 4.0001 | 7e-05 |
| 17 | 0.398295 | 3.5847 | 0.000288 |
| 18 | 0.350694 | 3.1562 | 0.001122 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.951663 | 8.565 | 0 |
| 1 | 0.071404 | 0.6426 | 0.261136 |
| 2 | -0.039155 | -0.3524 | 0.637273 |
| 3 | 0.043417 | 0.3908 | 0.348502 |
| 4 | 0.028374 | 0.2554 | 0.399544 |
| 5 | -0.053335 | -0.48 | 0.683745 |
| 6 | 0.091874 | 0.8269 | 0.205372 |
| 7 | 0.037714 | 0.3394 | 0.367583 |
| 8 | 0.109958 | 0.9896 | 0.162653 |
| 9 | -0.076541 | -0.6889 | 0.753562 |
| 10 | -0.078463 | -0.7062 | 0.758945 |
| 11 | -0.088342 | -0.7951 | 0.785554 |
| 12 | -0.086054 | -0.7745 | 0.77955 |
| 13 | -0.177593 | -1.5983 | 0.943069 |
| 14 | -0.035581 | -0.3202 | 0.625191 |
| 15 | -0.025101 | -0.2259 | 0.589081 |
| 16 | -0.042346 | -0.3811 | 0.647943 |
| 17 | -0.100584 | -0.9053 | 0.815994 |
| 18 | 0.066604 | 0.5994 | 0.275278 |
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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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
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