Home » date » 2008 » Dec » 09 »

Identification and Estimation of ARMA processes B Step 2 ACF D=1

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 09 Dec 2008 15:08:19 -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/09/t1228860538bs4e8grlxmg1sw3.htm/, Retrieved Tue, 09 Dec 2008 22:09:00 +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/09/t1228860538bs4e8grlxmg1sw3.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 «

93.7 105.7 109.5 105.3 102.8 100.6 97.6 110.3 107.2 107.2 108.1 97.1 92.2 112.2 111.6 115.7 111.3 104.2 103.2 112.7 106.4 102.6 110.6 95.2 89 112.5 116.8 107.2 113.6 101.8 102.6 122.7 110.3 110.5 121.6 100.3 100.7 123.4 127.1 124.1 131.2 111.6 114.2 130.1 125.9 119 133.8 107.5 113.5 134.4 126.8 135.6 139.9 129.8 131 153.1 134.1 144.1 155.9 123.3 128.1 144.3 153 149.9 150.9 141 138.9 157.4 142.9 151.7 161 138.5 135.9 151.5 164 159.1 157 142.1 144.8 152.1 154.6 148.7 157.7 146.4 136.5

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	0.479203	4.0943	5.4e-05
2	0.582162	4.974	2e-06
3	0.528618	4.5165	1.2e-05
4	0.411173	3.5131	0.000382
5	0.42255	3.6103	0.000279
6	0.31863	2.7224	0.004051
7	0.269736	2.3046	0.012017
8	0.190791	1.6301	0.053692
9	0.276779	2.3648	0.01035
10	0.052203	0.446	0.328451
11	0.105053	0.8976	0.186181
12	0.011587	0.099	0.460704
13	0.052621	0.4496	0.327167
14	0.061156	0.5225	0.301445
15	0.03548	0.3031	0.381322
16	0.017592	0.1503	0.44047
17	-0.035278	-0.3014	0.381978
18	0.071281	0.609	0.272198
19	-0.165435	-1.4135	0.080883
20	-0.084434	-0.7214	0.236483
21	-0.1009	-0.8621	0.19573
22	-0.157836	-1.3486	0.090825
23	-0.054656	-0.467	0.320953
24	-0.246051	-2.1023	0.01949
25	-0.200041	-1.7092	0.045836
26	-0.204963	-1.7512	0.042055
27	-0.241701	-2.0651	0.021233
28	-0.295188	-2.5221	0.006923
29	-0.169675	-1.4497	0.075712
30	-0.312024	-2.6659	0.004724
31	-0.212905	-1.8191	0.036502
32	-0.221993	-1.8967	0.030911
33	-0.3173	-2.711	0.004179
34	-0.26674	-2.279	0.012795
35	-0.30235	-2.5833	0.005894
36	-0.249356	-2.1305	0.01825
37	-0.255034	-2.179	0.016279
38	-0.21749	-1.8582	0.033584
39	-0.231101	-1.9745	0.026052
40	-0.167559	-1.4316	0.078259
41	-0.223761	-1.9118	0.029912
42	-0.190987	-1.6318	0.053514
43	-0.161987	-1.384	0.085286
44	-0.114422	-0.9776	0.165744
45	-0.147436	-1.2597	0.105896
46	-0.064476	-0.5509	0.291699
47	-0.017441	-0.149	0.440978
48	-0.068237	-0.583	0.280838
49	0.045969	0.3928	0.34782
50	-0.016812	-0.1436	0.44309
51	-0.006385	-0.0546	0.478323
52	0.107466	0.9182	0.180772
53	0.04713	0.4027	0.344182
54	0.108575	0.9277	0.17832
55	0.127996	1.0936	0.138863
56	0.095333	0.8145	0.208996
57	0.10453	0.8931	0.187369
58	0.122283	1.0448	0.149784
59	0.069662	0.5952	0.276777
60	0.087834	0.7505	0.227697

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.479203	4.0943	5.4e-05
2	0.45761	3.9098	0.000102
3	0.259451	2.2168	0.014878
4	-0.026293	-0.2246	0.411441
5	0.016581	0.1417	0.443866
6	-0.059493	-0.5083	0.306386
7	-0.070399	-0.6015	0.274689
8	-0.10823	-0.9247	0.17908
9	0.185622	1.586	0.058536
10	-0.180452	-1.5418	0.063725
11	-0.067149	-0.5737	0.283959
12	-0.092846	-0.7933	0.215094
13	0.152596	1.3038	0.098203
14	0.099995	0.8544	0.197851
15	0.081332	0.6949	0.244662
16	-0.073572	-0.6286	0.265787
17	-0.122094	-1.0432	0.150156
18	0.05047	0.4312	0.333791
19	-0.245938	-2.1013	0.019534
20	-0.123147	-1.0522	0.148096
21	0.095198	0.8134	0.209324
22	-0.002078	-0.0178	0.492941
23	0.115143	0.9838	0.164236
24	-0.232281	-1.9846	0.025473
25	-0.061642	-0.5267	0.300008
26	0.045297	0.387	0.349933
27	-0.056737	-0.4848	0.314648
28	-0.062296	-0.5323	0.298084
29	0.180735	1.5442	0.063432
30	-0.158176	-1.3515	0.090361
31	-0.075446	-0.6446	0.260599
32	-0.131699	-1.1252	0.132087
33	0.022697	0.1939	0.423388
34	-0.069843	-0.5967	0.276263
35	-0.00344	-0.0294	0.488315
36	-0.03336	-0.285	0.388216
37	0.160364	1.3702	0.08742
38	-0.098328	-0.8401	0.201795
39	-0.019451	-0.1662	0.434234
40	0.024977	0.2134	0.415803
41	-0.103382	-0.8833	0.189989
42	0.043565	0.3722	0.355403
43	-0.002657	-0.0227	0.490974
44	-0.017782	-0.1519	0.439832
45	-0.074246	-0.6344	0.263915
46	0.001135	0.0097	0.496146
47	0.119964	1.025	0.15438
48	0.071599	0.6117	0.271305
49	0.042896	0.3665	0.357525
50	-0.038463	-0.3286	0.37169
51	-0.117759	-1.0061	0.158838
52	0.015296	0.1307	0.448191
53	0.021212	0.1812	0.428342
54	0.020811	0.1778	0.429683
55	-0.000791	-0.0068	0.497314
56	0.031358	0.2679	0.394756
57	-0.0826	-0.7057	0.241299
58	-0.139913	-1.1954	0.117896
59	0.058755	0.502	0.308587
60	-0.062238	-0.5318	0.298253

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228860538bs4e8grlxmg1sw3/1c4m81228860498.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228860538bs4e8grlxmg1sw3/1c4m81228860498.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228860538bs4e8grlxmg1sw3/232ge1228860498.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228860538bs4e8grlxmg1sw3/232ge1228860498.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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

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