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ARIMA ACF prof bach d=1 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 15:44:07 -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/t1229381101iq25fdux2xl23xe.htm/, Retrieved Mon, 15 Dec 2008 23:45:01 +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/t1229381101iq25fdux2xl23xe.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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.388352	4.2186	2.4e-05
2	-0.172981	-1.879	0.031352
3	-0.306243	-3.3267	0.000586
4	-0.235136	-2.5542	0.005958
5	-0.103389	-1.1231	0.131839
6	-0.14946	-1.6235	0.05357
7	-0.081076	-0.8807	0.190132
8	-0.199735	-2.1697	0.016018
9	-0.267245	-2.903	0.002206
10	-0.123256	-1.3389	0.091588
11	0.389823	4.2346	2.3e-05
12	0.878778	9.546	0
13	0.324628	3.5264	3e-04
14	-0.164192	-1.7836	0.038531
15	-0.267881	-2.9099	0.002161
16	-0.232941	-2.5304	0.006355
17	-0.099689	-1.0829	0.140531
18	-0.126393	-1.373	0.086181
19	-0.075911	-0.8246	0.205631
20	-0.182387	-1.9812	0.024946
21	-0.233268	-2.5339	0.006295
22	-0.085111	-0.9245	0.178546
23	0.368272	4.0005	5.5e-05
24	0.762245	8.2801	0
25	0.265626	2.8854	0.002324
26	-0.157734	-1.7134	0.04463
27	-0.236569	-2.5698	0.00571
28	-0.205948	-2.2372	0.013577
29	-0.092221	-1.0018	0.159251
30	-0.120116	-1.3048	0.097251
31	-0.067897	-0.7375	0.231127
32	-0.159492	-1.7325	0.042896
33	-0.202796	-2.2029	0.014771
34	-0.05514	-0.599	0.275169
35	0.35005	3.8025	0.000114
36	0.66337	7.206	0
37	0.209172	2.2722	0.012443
38	-0.171796	-1.8662	0.032249
39	-0.216438	-2.3511	0.010188
40	-0.185535	-2.0154	0.023066
41	-0.077369	-0.8404	0.20118
42	-0.090669	-0.9849	0.163339
43	-0.047975	-0.5211	0.301622
44	-0.143962	-1.5638	0.060268
45	-0.175117	-1.9023	0.029788
46	-0.034643	-0.3763	0.353677
47	0.312856	3.3985	0.000462
48	0.555165	6.0306	0
49	0.163942	1.7809	0.038754
50	-0.160288	-1.7412	0.04213
51	-0.185538	-2.0155	0.023064
52	-0.159414	-1.7317	0.042972
53	-0.069559	-0.7556	0.225696
54	-0.067879	-0.7374	0.231184
55	-0.02946	-0.32	0.37476
56	-0.115154	-1.2509	0.106725
57	-0.1502	-1.6316	0.052715
58	-0.033825	-0.3674	0.356976
59	0.267197	2.9025	0.002209
60	0.463804	5.0382	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.388352	4.2186	2.4e-05
2	-0.381306	-4.142	3.2e-05
3	-0.090076	-0.9785	0.164921
4	-0.144471	-1.5694	0.059622
5	-0.073816	-0.8018	0.212126
6	-0.276727	-3.006	0.001617
7	-0.02621	-0.2847	0.388181
8	-0.468295	-5.087	1e-06
9	-0.364252	-3.9568	6.5e-05
10	-0.557935	-6.0607	0
11	0.078723	0.8551	0.197101
12	0.608783	6.6131	0
13	-0.258729	-2.8105	0.002896
14	0.198107	2.152	0.016717
15	0.139577	1.5162	0.066073
16	0.00664	0.0721	0.471313
17	0.19785	2.1492	0.01683
18	0.120147	1.3051	0.097194
19	0.010641	0.1156	0.454087
20	0.118511	1.2874	0.100243
21	0.105988	1.1513	0.125963
22	-0.002409	-0.0262	0.489586
23	0.02404	0.2611	0.397219
24	0.010193	0.1107	0.45601
25	-0.054391	-0.5908	0.277878
26	-0.053737	-0.5837	0.280259
27	-0.037524	-0.4076	0.342146
28	0.016205	0.176	0.430287
29	-0.123251	-1.3389	0.091596
30	-0.08342	-0.9062	0.183345
31	0.023425	0.2545	0.399793
32	-0.100468	-1.0914	0.138669
33	-0.035411	-0.3847	0.350589
34	0.005943	0.0646	0.474316
35	-0.02592	-0.2816	0.389387
36	-0.010074	-0.1094	0.456522
37	0.014585	0.1584	0.437192
38	-0.127345	-1.3833	0.084588
39	-0.00469	-0.0509	0.479727
40	-0.093565	-1.0164	0.155765
41	-0.024518	-0.2663	0.395224
42	0.009517	0.1034	0.458916
43	-0.03876	-0.421	0.337243
44	-0.05541	-0.6019	0.274194
45	0.072801	0.7908	0.215317
46	-0.098727	-1.0724	0.142854
47	-0.036891	-0.4007	0.344667
48	-0.092727	-1.0073	0.157933
49	-0.013064	-0.1419	0.443695
50	-0.029232	-0.3175	0.375695
51	0.004129	0.0449	0.48215
52	-0.025958	-0.282	0.389227
53	-0.030164	-0.3277	0.371873
54	-0.034353	-0.3732	0.354846
55	0.064348	0.699	0.242964
56	0.053072	0.5765	0.282686
57	-0.009974	-0.1083	0.456952
58	0.016401	0.1782	0.429452
59	0.04392	0.4771	0.317089
60	-0.027314	-0.2967	0.383608

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381101iq25fdux2xl23xe/1kegu1229381042.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381101iq25fdux2xl23xe/1kegu1229381042.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381101iq25fdux2xl23xe/2g3y21229381043.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381101iq25fdux2xl23xe/2g3y21229381043.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.3 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.3 ; 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')

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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