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Identification and Estimation of ARMA processes - Q2 - ACF - omzet ip

*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: Sat, 06 Dec 2008 11:25:21 -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/06/t1228587959pd6l92dvruem7ja.htm/, Retrieved Sat, 06 Dec 2008 18:26:01 +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/06/t1228587959pd6l92dvruem7ja.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

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

104.2 103.2 112.7 106.4 102.6 110.6 95.2 89.0 112.5 116.8 107.2 113.6 101.8 102.6 122.7 110.3 110.5 121.6 100.3 100.7 123.4 127.1 124.1 131.2 111.6 114.2 130.1 125.9 119.0 133.8 107.5 113.5 134.4 126.8 135.6 139.9 129.8 131.0 153.1 134.1 144.1 155.9 123.3 128.1 144.3 153.0 149.9 150.9 141.0 138.9 157.4 142.9 151.7 161.0 138.5 135.9 151.5 164.0 159.1 157.0 142.1 144.8 152.1 154.6 148.7 157.7 146.7

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.359016	2.6625	0.005075
2	0.410017	3.0408	0.001805
3	0.353978	2.6252	0.005596
4	0.260116	1.9291	0.029444
5	0.225066	1.6691	0.050387
6	0.114459	0.8489	0.199822
7	0.027255	0.2021	0.420282
8	-0.043525	-0.3228	0.37404
9	0.138701	1.0286	0.154077
10	-0.15232	-1.1296	0.131766
11	-0.032302	-0.2396	0.405781
12	-0.072539	-0.538	0.296386
13	0.023953	0.1776	0.429828
14	0.037289	0.2765	0.391583
15	-0.020476	-0.1519	0.439928
16	-0.010663	-0.0791	0.468628
17	-0.047568	-0.3528	0.362804
18	0.072708	0.5392	0.295956
19	-0.19244	-1.4272	0.079592
20	-0.099577	-0.7385	0.231681
21	-0.089061	-0.6605	0.255848
22	-0.188343	-1.3968	0.084044
23	-0.123179	-0.9135	0.182479
24	-0.333885	-2.4762	0.008193
25	-0.260053	-1.9286	0.029474
26	-0.176321	-1.3076	0.098219
27	-0.166502	-1.2348	0.111075
28	-0.273305	-2.0269	0.023767
29	-0.108346	-0.8035	0.212568
30	-0.154225	-1.1438	0.128837
31	-0.028283	-0.2098	0.417318
32	-0.004987	-0.037	0.485315
33	-0.177941	-1.3196	0.09621
34	-0.040737	-0.3021	0.381851
35	-0.038642	-0.2866	0.387758
36	-0.027502	-0.204	0.419569
37	-0.046984	-0.3484	0.364419
38	-0.021009	-0.1558	0.438378
39	-0.074212	-0.5504	0.292146
40	-0.028205	-0.2092	0.417544
41	-0.050175	-0.3721	0.35562
42	-0.108558	-0.8051	0.212118
43	-0.044273	-0.3283	0.371953
44	0.035096	0.2603	0.397809
45	-0.012673	-0.094	0.46273
46	0.042386	0.3143	0.377225
47	0.103782	0.7697	0.222395
48	0.059764	0.4432	0.329671

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.359016	2.6625	0.005075
2	0.322721	2.3934	0.010067
3	0.177373	1.3154	0.096911
4	0.021155	0.1569	0.437952
5	0.002779	0.0206	0.491817
6	-0.090242	-0.6693	0.253066
7	-0.128125	-0.9502	0.173084
8	-0.118768	-0.8808	0.191128
9	0.242754	1.8003	0.038648
10	-0.191277	-1.4186	0.080836
11	0.007995	0.0593	0.476467
12	-0.009131	-0.0677	0.473128
13	0.163858	1.2152	0.11474
14	0.042996	0.3189	0.375516
15	-0.050004	-0.3708	0.35609
16	-0.05623	-0.417	0.339147
17	-0.074685	-0.5539	0.290953
18	0.021604	0.1602	0.436647
19	-0.208159	-1.5437	0.064192
20	-0.063238	-0.469	0.320467
21	0.110263	0.8177	0.20852
22	-0.145824	-1.0815	0.142106
23	0.018242	0.1353	0.446439
24	-0.254006	-1.8838	0.032444
25	-0.016186	-0.12	0.452446
26	0.111327	0.8256	0.206293
27	-0.043452	-0.3222	0.374243
28	-0.050356	-0.3734	0.355126
29	0.04346	0.3223	0.374221
30	-0.072668	-0.5389	0.296058
31	0.125393	0.9299	0.178233
32	-0.056936	-0.4222	0.337246
33	-0.101691	-0.7542	0.226985
34	-0.103185	-0.7652	0.223699
35	-0.013835	-0.1026	0.459325
36	-0.014077	-0.1044	0.458618
37	0.141791	1.0515	0.148802
38	-0.001216	-0.009	0.496418
39	-0.088183	-0.654	0.257925
40	-0.067516	-0.5007	0.309286
41	-0.069738	-0.5172	0.303548
42	0.010396	0.0771	0.469412
43	-0.041009	-0.3041	0.381087
44	0.023922	0.1774	0.429918
45	0.027943	0.2072	0.418298
46	0.038024	0.282	0.389503
47	0.057318	0.4251	0.336217
48	-0.034581	-0.2565	0.399276

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587959pd6l92dvruem7ja/17pr31228587919.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587959pd6l92dvruem7ja/17pr31228587919.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587959pd6l92dvruem7ja/28qct1228587919.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t1228587959pd6l92dvruem7ja/28qct1228587919.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 0.5 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 0.5 ; 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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