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Identification and Estimation of ARMA processes Step 2 (3)*

*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 07:54:30 -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/t1228661735pd7lq1pdltt9064.htm/, Retrieved Sun, 07 Dec 2008 14:55:37 +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/t1228661735pd7lq1pdltt9064.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 «

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	-0.480432	-4.7073	4e-06
2	0.09525	0.9333	0.176515
3	-0.064342	-0.6304	0.264959
4	-0.108131	-1.0595	0.146024
5	0.110945	1.087	0.139872
6	-0.060375	-0.5916	0.277769
7	0.132847	1.3016	0.098079
8	-0.024831	-0.2433	0.404148
9	-0.070209	-0.6879	0.246586
10	-0.096243	-0.943	0.174028
11	-0.05142	-0.5038	0.307773
12	0.337718	3.3089	0.00066
13	-0.25745	-2.5225	0.006649
14	0.172589	1.691	0.047039
15	-0.170566	-1.6712	0.04897
16	0.015682	0.1537	0.439102
17	0.003846	0.0377	0.485011
18	0.050973	0.4994	0.30931
19	-0.013047	-0.1278	0.449273
20	0.077374	0.7581	0.225123
21	-0.090395	-0.8857	0.188999
22	-0.047244	-0.4629	0.322244
23	0.011872	0.1163	0.45382
24	0.166183	1.6283	0.053374
25	-0.145506	-1.4257	0.078605
26	0.161525	1.5826	0.058399
27	-0.232319	-2.2763	0.012526
28	0.062224	0.6097	0.27176
29	0.100866	0.9883	0.16275
30	-0.136318	-1.3356	0.092413
31	0.0902	0.8838	0.189512
32	0.065908	0.6458	0.259986
33	-0.11751	-1.1514	0.126222
34	-0.005191	-0.0509	0.47977
35	-0.061434	-0.6019	0.274321
36	0.205282	2.0113	0.023546
37	-0.116382	-1.1403	0.128497
38	0.051522	0.5048	0.307424
39	-0.131549	-1.2889	0.100262
40	0.067924	0.6655	0.253659
41	0.020297	0.1989	0.421394
42	-0.072852	-0.7138	0.238543
43	0.150568	1.4753	0.071707
44	-0.008981	-0.088	0.465032
45	-0.156044	-1.5289	0.064788
46	0.118305	1.1591	0.124636
47	-0.153253	-1.5016	0.068246
48	0.140365	1.3753	0.086122
49	-0.017994	-0.1763	0.430212
50	-0.032985	-0.3232	0.373629
51	-0.023304	-0.2283	0.409938
52	4.4e-05	4e-04	0.49983
53	0.0251	0.2459	0.403131
54	-0.006158	-0.0603	0.476007
55	0.066104	0.6477	0.259366
56	-0.050114	-0.491	0.312268
57	-0.020104	-0.197	0.422131
58	0.013697	0.1342	0.446762
59	-0.111695	-1.0944	0.138262
60	0.232149	2.2746	0.012578

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.480432	-4.7073	4e-06
2	-0.176245	-1.7268	0.043706
3	-0.127721	-1.2514	0.106914
4	-0.250484	-2.4542	0.00796
5	-0.102159	-1.0009	0.159685
6	-0.094628	-0.9272	0.178083
7	0.067847	0.6648	0.253898
8	0.101265	0.9922	0.161801
9	-0.002967	-0.0291	0.488435
10	-0.18218	-1.785	0.038711
11	-0.266546	-2.6116	0.005229
12	0.238651	2.3383	0.010724
13	0.003048	0.0299	0.488119
14	0.018733	0.1835	0.427377
15	-0.11306	-1.1078	0.135368
16	-0.044501	-0.436	0.331902
17	-0.039386	-0.3859	0.35021
18	0.100023	0.98	0.164771
19	-0.11953	-1.1712	0.122218
20	-0.010826	-0.1061	0.457874
21	0.004717	0.0462	0.481616
22	0.036209	0.3548	0.361768
23	-0.036695	-0.3595	0.359992
24	0.11902	1.1662	0.12322
25	-0.018289	-0.1792	0.429081
26	0.091408	0.8956	0.186349
27	-0.083964	-0.8227	0.206367
28	-0.101741	-0.9969	0.16067
29	0.132306	1.2963	0.098984
30	-0.054183	-0.5309	0.298364
31	-0.100289	-0.9826	0.164132
32	0.029235	0.2864	0.387577
33	0.053269	0.5219	0.301462
34	-0.035232	-0.3452	0.365349
35	-0.1077	-1.0552	0.146982
36	0.052901	0.5183	0.302712
37	0.04989	0.4888	0.313043
38	-0.051972	-0.5092	0.305882
39	-0.044865	-0.4396	0.330611
40	-0.0939	-0.92	0.179931
41	0.003239	0.0317	0.487374
42	0.020931	0.2051	0.418971
43	0.04958	0.4858	0.314113
44	0.013133	0.1287	0.448942
45	-0.112608	-1.1033	0.136321
46	0.092744	0.9087	0.182892
47	-0.047903	-0.4693	0.319942
48	-0.142043	-1.3917	0.083611
49	-0.053907	-0.5282	0.299298
50	-0.077891	-0.7632	0.223617
51	-0.020784	-0.2036	0.419534
52	-0.074259	-0.7276	0.234318
53	0.020735	0.2032	0.419719
54	0.042717	0.4185	0.338244
55	-0.014412	-0.1412	0.443999
56	-0.043517	-0.4264	0.335393
57	-0.02237	-0.2192	0.413486
58	-0.0622	-0.6094	0.271838
59	-0.030808	-0.3019	0.381708
60	0.081325	0.7968	0.213762

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661735pd7lq1pdltt9064/17u0u1228661668.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661735pd7lq1pdltt9064/17u0u1228661668.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661735pd7lq1pdltt9064/27f1q1228661668.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228661735pd7lq1pdltt9064/27f1q1228661668.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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

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