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ARIMA ACF prof bach d=0 D=0

*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 15:41:53 -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/t1229380973t0ijyvj57m42v3j.htm/, Retrieved Mon, 15 Dec 2008 23:42:53 +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/t1229380973t0ijyvj57m42v3j.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:

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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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.829925	9.0534	0
2	0.531516	5.7982	0
3	0.291278	3.1775	0.000947
4	0.157463	1.7177	0.044224
5	0.099689	1.0875	0.139513
6	0.068702	0.7495	0.227531
7	0.091055	0.9933	0.161291
8	0.145469	1.5869	0.057597
9	0.265222	2.8932	0.002268
10	0.470428	5.1318	1e-06
11	0.715599	7.8063	0
12	0.833783	9.0955	0
13	0.656807	7.1649	0
14	0.373016	4.0691	4.3e-05
15	0.14534	1.5855	0.057757
16	0.012233	0.1334	0.447032
17	-0.045134	-0.4924	0.311689
18	-0.077698	-0.8476	0.199185
19	-0.062706	-0.684	0.24764
20	-0.017954	-0.1959	0.42253
21	0.084865	0.9258	0.178221
22	0.264129	2.8813	0.00235
23	0.46993	5.1263	1e-06
24	0.554662	6.0506	0
25	0.385113	4.2011	2.6e-05
26	0.12917	1.4091	0.08071
27	-0.071641	-0.7815	0.218028
28	-0.190315	-2.0761	0.02002
29	-0.242361	-2.6438	0.004651
30	-0.271388	-2.9605	0.001854
31	-0.25416	-2.7726	0.003229
32	-0.210704	-2.2985	0.011639
33	-0.115305	-1.2578	0.105458
34	0.046884	0.5114	0.304994
35	0.225012	2.4546	0.007776
36	0.290028	3.1638	0.000988
37	0.133339	1.4546	0.074213
38	-0.090858	-0.9911	0.161814
39	-0.25618	-2.7946	0.00303
40	-0.346616	-3.7811	0.000123
41	-0.37747	-4.1177	3.5e-05
42	-0.390987	-4.2652	2e-05
43	-0.367018	-4.0037	5.4e-05
44	-0.32499	-3.5452	0.000281
45	-0.234603	-2.5592	0.005872
46	-0.087855	-0.9584	0.169905
47	0.069496	0.7581	0.224942
48	0.124315	1.3561	0.088814
49	-0.006286	-0.0686	0.472722
50	-0.190372	-2.0767	0.01999
51	-0.318922	-3.479	0.000352
52	-0.384403	-4.1933	2.7e-05
53	-0.399682	-4.36	1.4e-05
54	-0.398516	-4.3473	1.5e-05
55	-0.367807	-4.0123	5.3e-05
56	-0.324963	-3.5449	0.000281
57	-0.244353	-2.6656	0.004377
58	-0.115374	-1.2586	0.105323
59	0.023081	0.2518	0.400819
60	0.073462	0.8014	0.212255

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.829925	9.0534	0
2	-0.50529	-5.5121	0
3	0.201153	2.1943	0.015077
4	-0.003751	-0.0409	0.483716
5	0.007	0.0764	0.46963
6	-0.029862	-0.3258	0.372591
7	0.22431	2.4469	0.007935
8	-0.033265	-0.3629	0.358668
9	0.397836	4.3399	1.5e-05
10	0.362634	3.9559	6.5e-05
11	0.499866	5.4529	0
12	-0.072783	-0.794	0.214398
13	-0.632386	-6.8985	0
14	0.245192	2.6747	0.004266
15	-0.208736	-2.277	0.012285
16	-0.207533	-2.2639	0.012695
17	0.053629	0.585	0.27982
18	-0.123286	-1.3449	0.090609
19	-0.178772	-1.9502	0.026754
20	-0.081787	-0.8922	0.187046
21	-0.025928	-0.2828	0.388895
22	-0.078925	-0.861	0.195492
23	-0.086497	-0.9436	0.17365
24	0.03368	0.3674	0.356984
25	-0.025039	-0.2731	0.392609
26	-0.022506	-0.2455	0.40324
27	0.059357	0.6475	0.259275
28	-0.023378	-0.255	0.399572
29	-0.073283	-0.7994	0.212818
30	0.066361	0.7239	0.23527
31	0.024139	0.2633	0.396379
32	-0.10894	-1.1884	0.118522
33	0.076497	0.8345	0.202842
34	-0.029009	-0.3164	0.376109
35	-0.056819	-0.6198	0.268279
36	-0.001786	-0.0195	0.492246
37	-0.0368	-0.4014	0.344408
38	0.00168	0.0183	0.492706
39	0.038966	0.4251	0.335778
40	0.027179	0.2965	0.383688
41	0.059402	0.648	0.259116
42	-0.024236	-0.2644	0.395972
43	0.008589	0.0937	0.462753
44	-0.039301	-0.4287	0.334448
45	0.046111	0.503	0.307944
46	-0.096816	-1.0561	0.146521
47	0.073827	0.8054	0.211111
48	-0.037173	-0.4055	0.342915
49	0.11582	1.2634	0.10445
50	-0.116304	-1.2687	0.103507
51	0.057764	0.6301	0.264908
52	-0.038545	-0.4205	0.337446
53	-0.043574	-0.4753	0.317708
54	0.036007	0.3928	0.34759
55	0.022317	0.2435	0.404037
56	-0.067185	-0.7329	0.23253
57	-0.056324	-0.6144	0.270053
58	0.025252	0.2755	0.391717
59	-0.025378	-0.2768	0.391192
60	-0.044302	-0.4833	0.314892

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229380973t0ijyvj57m42v3j/1p9201229380908.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229380973t0ijyvj57m42v3j/1p9201229380908.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229380973t0ijyvj57m42v3j/2dqy71229380908.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229380973t0ijyvj57m42v3j/2dqy71229380908.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.3 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.3 ; par3 = 0 ; 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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