Home » date » 2008 » Dec » 15 »

ARIMA Prof bach ACF d=1 D=1

*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: Mon, 15 Dec 2008 15:38:57 -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/15/t122938079272bxnglp8gktui9.htm/, Retrieved Mon, 15 Dec 2008 23:39:54 +0100

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/15/t122938079272bxnglp8gktui9.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

13363 12530 11420 10948 10173 10602 16094 19631 17140 14345 12632 12894 11808 10673 9939 9890 9283 10131 15864 19283 16203 13919 11937 11795 11268 10522 9929 9725 9372 10068 16230 19115 18351 16265 14103 14115 13327 12618 12129 11775 11493 12470 20792 22337 21325 18581 16475 16581 15745 14453 13712 13766 13336 15346 24446 26178 24628 21282 18850 18822 18060 17536 16417 15842 15188 16905 25430 27962 26607 23364 20827 20506 19181 18016 17354 16256 15770 17538 26899 28915 25247 22856 19980 19856 16994 16839 15618 15883 15513 17106 25272 26731 22891 19583 16939 16757 15435 14786 13680 13208 12707 14277 22436 23229 18241 16145 13994 14780 13100 12329 12463 11532 10784 13106 19491 20418 16094 14491 13067

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	2 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.206168	-2.1226	0.018057
2	0.038073	0.392	0.347928
3	-0.133888	-1.3785	0.085481
4	0.012581	0.1295	0.448592
5	-0.028219	-0.2905	0.385989
6	5.9e-05	6e-04	0.49976
7	0.074485	0.7669	0.222433
8	0.017784	0.1831	0.427535
9	0.158958	1.6366	0.052343
10	-0.027235	-0.2804	0.389857
11	0.126881	1.3063	0.097135
12	-0.218704	-2.2517	0.013202
13	0.020609	0.2122	0.416188
14	0.092764	0.9551	0.17086
15	0.055405	0.5704	0.284798
16	-0.044886	-0.4621	0.322467
17	0.008651	0.0891	0.464599
18	0.041286	0.4251	0.335824
19	-0.046708	-0.4809	0.315795
20	0.124073	1.2774	0.102124
21	0.043869	0.4517	0.326218
22	-0.042892	-0.4416	0.329838
23	-0.004207	-0.0433	0.482768
24	-0.005213	-0.0537	0.478649
25	-0.024803	-0.2554	0.399469
26	-0.019316	-0.1989	0.421371
27	-0.038659	-0.398	0.34571
28	0.103219	1.0627	0.145165
29	-0.003982	-0.041	0.48369
30	-0.031572	-0.3251	0.37289
31	-0.095278	-0.9809	0.164427
32	0.067504	0.695	0.244288
33	-0.163213	-1.6804	0.047914
34	0.026826	0.2762	0.39147
35	0.075281	0.7751	0.220013
36	0.066909	0.6889	0.246206
37	0.051052	0.5256	0.300129
38	-0.162552	-1.6736	0.048581
39	0.014238	0.1466	0.441866
40	-0.090379	-0.9305	0.177112
41	0.06155	0.6337	0.263821
42	-0.102272	-1.053	0.147378
43	0.067453	0.6945	0.244453
44	-0.0628	-0.6466	0.259656
45	0.019854	0.2044	0.419213
46	0.055143	0.5677	0.285708
47	-0.119374	-1.229	0.110892
48	-0.097966	-1.0086	0.157727
49	0.086431	0.8899	0.187778
50	0.010827	0.1115	0.455727
51	-0.088502	-0.9112	0.182133
52	-0.057736	-0.5944	0.276744
53	-0.008269	-0.0851	0.466159
54	0.012525	0.129	0.44882
55	0.062004	0.6384	0.262304
56	-0.053556	-0.5514	0.291264
57	0.047847	0.4926	0.311652
58	-0.122808	-1.2644	0.104432
59	-0.015932	-0.164	0.435008
60	0.039148	0.4031	0.343859

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.206168	-2.1226	0.018057
2	-0.004629	-0.0477	0.481038
3	-0.132596	-1.3652	0.087547
4	-0.043957	-0.4526	0.325894
5	-0.035879	-0.3694	0.356284
6	-0.032098	-0.3305	0.370849
7	0.067423	0.6942	0.244549
8	0.042274	0.4352	0.332138
9	0.181032	1.8638	0.032556
10	0.071343	0.7345	0.232125
11	0.170138	1.7517	0.04136
12	-0.116429	-1.1987	0.116657
13	-0.039425	-0.4059	0.342817
14	0.129849	1.3369	0.092062
15	0.061392	0.6321	0.264351
16	-0.054883	-0.5651	0.286617
17	-0.016913	-0.1741	0.431046
18	0.007995	0.0823	0.467276
19	-0.045538	-0.4688	0.320074
20	0.099695	1.0264	0.153516
21	0.15085	1.5531	0.06169
22	-0.036205	-0.3728	0.355038
23	0.016851	0.1735	0.431299
24	-0.025457	-0.2621	0.396877
25	-0.073589	-0.7576	0.225173
26	-0.007535	-0.0776	0.469153
27	-0.051735	-0.5326	0.297698
28	0.022858	0.2353	0.407201
29	-0.053638	-0.5522	0.290974
30	-0.070583	-0.7267	0.234507
31	-0.155313	-1.599	0.056393
32	0.038474	0.3961	0.34641
33	-0.106155	-1.0929	0.13845
34	-0.098367	-1.0127	0.156743
35	0.053718	0.5531	0.290694
36	0.09969	1.0264	0.153526
37	0.087388	0.8997	0.185155
38	-0.12763	-1.314	0.095836
39	-0.016967	-0.1747	0.430829
40	-0.005256	-0.0541	0.478475
41	0.016758	0.1725	0.431673
42	-0.076925	-0.792	0.215067
43	-0.055411	-0.5705	0.284777
44	-0.035606	-0.3666	0.357329
45	-0.056847	-0.5853	0.279804
46	0.028588	0.2943	0.384541
47	-0.025442	-0.2619	0.396938
48	-0.105357	-1.0847	0.140254
49	0.135752	1.3977	0.082568
50	-0.014093	-0.1451	0.442456
51	-0.070804	-0.729	0.233814
52	-0.088699	-0.9132	0.1816
53	0.043052	0.4432	0.329245
54	0.01701	0.1751	0.430655
55	0.047065	0.4846	0.314492
56	-0.061452	-0.6327	0.264151
57	0.002669	0.0275	0.489063
58	-0.043716	-0.4501	0.326785
59	-0.018606	-0.1916	0.424227
60	-0.015148	-0.156	0.438183

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122938079272bxnglp8gktui9/1adtu1229380731.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122938079272bxnglp8gktui9/1adtu1229380731.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122938079272bxnglp8gktui9/2uz1e1229380731.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t122938079272bxnglp8gktui9/2uz1e1229380731.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.3 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.3 ; 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')

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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