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Identification and Estimation of ARMA processes Step 3 (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 08:05:29 -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/t12286624676y0au5alf1dcw3x.htm/, Retrieved Sun, 07 Dec 2008 15:07:47 +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/t12286624676y0au5alf1dcw3x.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.471632-4.6216e-06
20.0325690.31910.375168
30.0152910.14980.440611
4-0.140658-1.37820.085679
50.1437131.40810.081167
6-0.088034-0.86260.195266
70.1088231.06620.144494
8-0.019755-0.19360.423466
9-0.060017-0.5880.278941
10-0.088337-0.86550.194456
11-0.047954-0.46990.319762
120.3579513.50720.000345
13-0.291681-2.85790.002615
140.1646921.61360.054944
15-0.127985-1.2540.106445
16-0.048681-0.4770.317232
170.0606520.59430.276865
180.0523120.51260.304721
19-0.045051-0.44140.329956
200.0871540.85390.197634
21-0.073472-0.71990.236674
22-0.081163-0.79520.21422
230.0330270.32360.373473
240.1968191.92840.028379
25-0.166016-1.62660.053549
260.1782971.74690.041922
27-0.257107-2.51910.006708
280.0398010.390.348711
290.1633831.60080.056351
30-0.17881-1.7520.041486
310.0761250.74590.228783
320.0961850.94240.174172
33-0.137261-1.34490.090917
34-0.008234-0.08070.467933
35-0.057312-0.56150.28787
360.229272.24640.013486
37-0.128659-1.26060.105255
380.0340870.3340.369559
39-0.109911-1.07690.142111
400.031820.31180.377944
410.0619860.60730.272531
42-0.094359-0.92450.178765
430.1525441.49460.069146
44-0.003613-0.03540.485918
45-0.174351-1.70830.045407
460.1369991.34230.09133
47-0.161489-1.58230.058439
480.1472531.44280.076169
49-0.017861-0.1750.430723
50-0.031502-0.30870.379125
51-0.016668-0.16330.435308
52-0.014619-0.14320.443202
530.0384920.37710.353449
54-0.024183-0.23690.406604
550.0847960.83080.204066
56-0.053976-0.52890.299064
57-0.021156-0.20730.418114
580.0147820.14480.442571
59-0.111695-1.09440.138263
600.2210142.16550.016414


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.471632-4.6216e-06
2-0.244183-2.39250.009341
3-0.110451-1.08220.140938
4-0.239936-2.35090.010387
5-0.066484-0.65140.258171
6-0.100123-0.9810.16453
70.0450920.44180.329811
80.0586260.57440.283514
90.0012520.01230.49512
10-0.188177-1.84380.034152
11-0.279029-2.73390.003726
120.2432212.38310.009569
13-0.008031-0.07870.468724
140.0642710.62970.265185
15-0.079618-0.78010.218627
16-0.080806-0.79170.215234
17-0.119558-1.17140.122163
180.1247281.22210.112335
19-0.111748-1.09490.13815
200.0230890.22620.410752
210.0301840.29570.384034
220.0083980.08230.467297
23-0.084128-0.82430.205912
240.1775621.73970.042554
250.025370.24860.402111
260.1463061.43350.077482
27-0.093915-0.92020.179894
28-0.083715-0.82020.207058
290.1377041.34920.09022
30-0.049706-0.4870.31368
31-0.111982-1.09720.13765
320.0021670.02120.491553
330.0471010.46150.322745
34-0.028137-0.27570.391689
35-0.110218-1.07990.141443
360.0578890.56720.285953
370.0444410.43540.332114
38-0.096736-0.94780.172801
390.0068950.06760.473138
40-0.097279-0.95310.171457
41-0.042995-0.42130.337253
420.0016880.01650.493418
430.0770490.75490.226073
44-0.036838-0.36090.359468
45-0.07213-0.70670.240724
460.0765410.74990.227562
47-0.12635-1.2380.109372
48-0.149056-1.46040.073717
49-0.051123-0.50090.308795
50-0.099341-0.97330.166415
510.0138790.1360.44606
52-0.022904-0.22440.411456
53-0.001902-0.01860.492583
54-0.005573-0.05460.478285
550.0271050.26560.395567
56-0.025244-0.24730.402587
57-0.026749-0.26210.396907
58-0.078568-0.76980.221653
590.0177890.17430.431001
600.0829140.81240.209291
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286624676y0au5alf1dcw3x/1tar41228662323.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286624676y0au5alf1dcw3x/1tar41228662323.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286624676y0au5alf1dcw3x/2ylge1228662323.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286624676y0au5alf1dcw3x/2ylge1228662323.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = -0.9 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = -0.9 ; 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')
 




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