Home » date » 2008 » Dec » 07 »

Identification and Estimation of ARMA processes Step 2(2)*

*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: Sun, 07 Dec 2008 07:51:36 -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/07/t1228661544akvheia0taw8037.htm/, Retrieved Sun, 07 Dec 2008 14:52:26 +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/07/t1228661544akvheia0taw8037.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 «

1593 1477.9 1733.7 1569.7 1843.7 1950.3 1657.5 1772.1 1568.3 1809.8 1646.7 1808.5 1763.9 1625.5 1538.8 1342.4 1645.1 1619.9 1338.1 1505.5 1529.1 1511.9 1656.7 1694.4 1662.3 1588.7 1483.3 1585.6 1658.9 1584.4 1470.6 1618.7 1407.6 1473.9 1515.3 1485.4 1496.1 1493.5 1298.4 1375.3 1507.9 1455.3 1363.3 1392.8 1348.8 1880.3 1669.2 1543.6 1701.2 1516.5 1466.8 1484.1 1577.2 1684.5 1414.7 1674.5 1598.7 1739.1 1674.6 1671.8 1802 1526.8 1580.9 1634.8 1610.3 1712 1678.8 1708.1 1680.6 2056 1624 2021.4 1861.1 1750.8 1767.5 1710.3 2151.5 2047.9 1915.4 1984.7 1896.5 2170.8 2139.9 2330.5 2121.8 2226.8 1857.9 2155.9 2341.7 2290.2 2006.5 2111.9 1731.3 1762.2 1863.2 1943.5 1975.2

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	0.715819	7.05	0
2	0.696097	6.8558	0
3	0.632678	6.2312	0
4	0.606218	5.9706	0
5	0.646656	6.3688	0
6	0.609468	6.0026	0
7	0.604523	5.9539	0
8	0.514411	5.0664	1e-06
9	0.430835	4.2432	2.5e-05
10	0.399651	3.9361	7.8e-05
11	0.432533	4.26	2.4e-05
12	0.479035	4.7179	4e-06
13	0.342693	3.3751	0.000531
14	0.335282	3.3021	0.000672
15	0.239405	2.3579	0.010194
16	0.231717	2.2821	0.012333
17	0.234487	2.3094	0.01152
18	0.230064	2.2659	0.012841
19	0.194614	1.9167	0.029108
20	0.162955	1.6049	0.055881
21	0.083511	0.8225	0.206408
22	0.074735	0.7361	0.231736
23	0.092122	0.9073	0.183249
24	0.104409	1.0283	0.153181
25	0.018651	0.1837	0.427321
26	0.003741	0.0368	0.48534
27	-0.083644	-0.8238	0.206038
28	-0.06173	-0.608	0.272314
29	-0.054747	-0.5392	0.295493
30	-0.106534	-1.0492	0.148337
31	-0.084093	-0.8282	0.20479
32	-0.110264	-1.086	0.140091
33	-0.172496	-1.6989	0.046273
34	-0.169805	-1.6724	0.048835
35	-0.160952	-1.5852	0.058088
36	-0.116267	-1.1451	0.127493
37	-0.198425	-1.9543	0.026775
38	-0.210257	-2.0708	0.020517
39	-0.255045	-2.5119	0.00683
40	-0.229021	-2.2556	0.013171
41	-0.231275	-2.2778	0.012467
42	-0.249739	-2.4596	0.007839
43	-0.217442	-2.1416	0.017367
44	-0.281108	-2.7686	0.003373
45	-0.335824	-3.3075	0.000661
46	-0.288844	-2.8448	0.002711
47	-0.310706	-3.0601	0.001431
48	-0.252901	-2.4908	0.007222
49	-0.278527	-2.7432	0.003624
50	-0.290523	-2.8613	0.002584
51	-0.291627	-2.8722	0.002503
52	-0.290089	-2.857	0.002616
53	-0.261077	-2.5713	0.005825
54	-0.245824	-2.4211	0.008667
55	-0.23134	-2.2784	0.012447
56	-0.252557	-2.4874	0.007287
57	-0.250235	-2.4645	0.007739
58	-0.227465	-2.2403	0.013678
59	-0.209771	-2.066	0.020747
60	-0.139819	-1.3771	0.085832

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.715819	7.05	0
2	0.37674	3.7105	0.000173
3	0.125341	1.2345	0.110005
4	0.099038	0.9754	0.165892
5	0.242369	2.3871	0.009461
6	0.065741	0.6475	0.259428
7	0.051584	0.508	0.306287
8	-0.134465	-1.3243	0.094253
9	-0.198047	-1.9505	0.026999
10	-0.087149	-0.8583	0.196415
11	0.140482	1.3836	0.084831
12	0.208884	2.0573	0.021172
13	-0.268742	-2.6468	0.004741
14	-0.047696	-0.4698	0.319792
15	-0.064444	-0.6347	0.263559
16	0.036268	0.3572	0.360858
17	0.009258	0.0912	0.463767
18	0.016625	0.1637	0.43514
19	-0.136219	-1.3416	0.091429
20	0.094676	0.9325	0.176709
21	-0.00605	-0.0596	0.476304
22	-0.005078	-0.05	0.480109
23	-0.032093	-0.3161	0.376309
24	0.041984	0.4135	0.340079
25	-0.168408	-1.6586	0.050211
26	-0.023445	-0.2309	0.408935
27	-0.082532	-0.8128	0.209148
28	0.044663	0.4399	0.330503
29	0.047854	0.4713	0.319238
30	-0.145686	-1.4348	0.077274
31	0.027465	0.2705	0.393676
32	0.120108	1.1829	0.119865
33	0.005406	0.0532	0.478825
34	-0.094282	-0.9286	0.177708
35	-0.010407	-0.1025	0.459286
36	0.092298	0.909	0.182795
37	-0.098797	-0.973	0.166477
38	-0.089197	-0.8785	0.190924
39	-0.02958	-0.2913	0.385709
40	-0.017386	-0.1712	0.432197
41	0.053406	0.526	0.300049
42	-0.027752	-0.2733	0.392593
43	-0.047396	-0.4668	0.320846
44	-0.094285	-0.9286	0.1777
45	-0.053976	-0.5316	0.298108
46	0.110287	1.0862	0.140041
47	-0.091135	-0.8976	0.185816
48	0.023216	0.2287	0.40981
49	0.102367	1.0082	0.157933
50	0.027213	0.268	0.394628
51	0.035594	0.3506	0.363338
52	-0.047881	-0.4716	0.319144
53	0.031134	0.3066	0.379888
54	-0.03079	-0.3032	0.381176
55	-0.078107	-0.7693	0.221803
56	-0.023817	-0.2346	0.407519
57	0.059193	0.583	0.28063
58	0.022226	0.2189	0.413592
59	0.057769	0.569	0.285348
60	0.007273	0.0716	0.471522

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661544akvheia0taw8037/1zy4w1228661494.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661544akvheia0taw8037/1zy4w1228661494.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661544akvheia0taw8037/2xrlw1228661494.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661544akvheia0taw8037/2xrlw1228661494.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by