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Identification and Estimation of ARMA processes B Step 4 (real)

*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 15:34:16 -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/t12288620903mwho4ha1amrdve.htm/, Retrieved Tue, 09 Dec 2008 22:34:52 +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/t12288620903mwho4ha1amrdve.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'George Udny Yule' @ 72.249.76.132


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.582602-4.94352e-06
20.1206591.02380.154673
30.1035090.87830.191351
4-0.126198-1.07080.143911
50.075290.63890.262471
6-0.007818-0.06630.473645
7-0.030466-0.25850.398374
8-0.118909-1.0090.158183
90.2718142.30640.011984
10-0.245912-2.08660.020232
110.1328271.12710.131726
12-0.150738-1.27910.102492
130.0641270.54410.294014
140.0155340.13180.44775
15-0.017545-0.14890.441033
160.0369860.31380.377275
17-0.161503-1.37040.08741
180.3516412.98380.001943
19-0.292849-2.48490.007642
200.0893090.75780.225517
210.0683190.57970.28196
22-0.14614-1.240.109493
230.2591092.19860.01556
24-0.18297-1.55260.062457
25-0.007548-0.0640.474557
260.088110.74760.228556
270.034660.29410.384766
28-0.22534-1.91210.029923
290.2962692.51390.007088
30-0.265986-2.2570.013523
310.1065420.9040.184495
320.0807820.68550.247628
33-0.142397-1.20830.115446
340.0421310.35750.360883
35-0.050415-0.42780.335042
360.0588470.49930.309533
37-0.060401-0.51250.304929
380.0396130.33610.368875
39-0.05358-0.45460.325368
400.1244621.05610.147228
41-0.078648-0.66740.25334
420.0139860.11870.452932
43-0.025366-0.21520.415097
440.0816560.69290.245309
45-0.084691-0.71860.237349
460.0145830.12370.450933
470.0924560.78450.217655
48-0.175006-1.4850.070958


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.582602-4.94352e-06
2-0.331175-2.81010.003187
30.0070430.05980.476254
4-0.004694-0.03980.484169
50.0143550.12180.451697
60.0269350.22850.409934
7-0.001686-0.01430.494313
8-0.257628-2.1860.016032
90.0976510.82860.205036
100.0161580.13710.445665
110.0566830.4810.315998
12-0.237346-2.01390.023876
13-0.164694-1.39750.083282
14-0.089214-0.7570.225758
150.0395140.33530.369191
160.0960770.81520.208811
17-0.141767-1.20290.116471
180.1960321.66340.050291
190.0595360.50520.307489
20-0.099527-0.84450.200589
210.0511070.43370.332918
22-0.047399-0.40220.344365
230.272972.31620.011698
240.0439110.37260.355272
25-0.121779-1.03330.152453
260.0455570.38660.35011
270.1057630.89740.186241
28-0.142469-1.20890.11533
290.1084040.91980.180365
300.0377070.320.374966
310.059080.50130.30884
32-0.108533-0.92090.180081
330.0240130.20380.419559
34-0.027994-0.23750.406459
35-0.049641-0.42120.337426
36-0.221961-1.88340.031843
37-0.002951-0.0250.490047
380.0055180.04680.481392
39-0.076323-0.64760.259645
400.0920110.78070.218758
41-0.035463-0.30090.382174
42-0.019455-0.16510.434672
43-0.042925-0.36420.358377
440.0049110.04170.483438
45-0.042614-0.36160.359358
46-0.04764-0.40420.343619
47-0.03858-0.32740.372171
48-0.077783-0.660.255675
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288620903mwho4ha1amrdve/1pbel1228862054.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288620903mwho4ha1amrdve/1pbel1228862054.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288620903mwho4ha1amrdve/2atu21228862054.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t12288620903mwho4ha1amrdve/2atu21228862054.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 12 ;
 
Parameters (R input):
par1 = 48 ; par2 = 0.2 ; par3 = 1 ; 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')
 




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