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ARIMA ACF prof bach d=0 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 15:46:08 -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/t1229381216m8d1hebuof33hct.htm/, Retrieved Mon, 15 Dec 2008 23:46:56 +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/t1229381216m8d1hebuof33hct.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 Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9478189.80430
20.9107839.42120
30.8709479.00910
40.8453598.74450
50.8189148.47090
60.8008768.28430
70.7818368.08740
80.7566067.82640
90.7286167.53690
100.6843477.07890
110.6415716.63650
120.5863066.06480
130.5515025.70480
140.5165365.34310
150.4719794.88222e-06
160.4248984.39521.3e-05
170.3847453.97986.3e-05
180.3409483.52680.00031
190.2948883.05030.001441
200.2514432.60090.005306
210.2084792.15650.016641
220.163341.68960.047008
230.1238951.28160.101381
240.0823980.85230.197967
250.0406920.42090.337327
260.0022420.02320.490769
27-0.030905-0.31970.374914
28-0.060303-0.62380.267051
29-0.097639-1.010.15739
30-0.131638-1.36170.088081
31-0.157524-1.62940.05308
32-0.181282-1.87520.031746
33-0.215314-2.22720.014013
34-0.234305-2.42370.008521
35-0.256883-2.65720.004543
36-0.282134-2.91840.002145
37-0.313746-3.24540.000783
38-0.351549-3.63650.000213
39-0.376785-3.89758.5e-05
40-0.396857-4.10514e-05
41-0.408062-4.2212.6e-05
42-0.42172-4.36231.5e-05
43-0.427264-4.41971.2e-05
44-0.43949-4.54617e-06
45-0.445961-4.61316e-06
46-0.456563-4.72274e-06
47-0.47122-4.87432e-06
48-0.474204-4.90522e-06
49-0.466841-4.8292e-06
50-0.46375-4.79713e-06
51-0.46342-4.79373e-06
52-0.458213-4.73983e-06
53-0.449829-4.65315e-06
54-0.440545-4.5577e-06
55-0.434961-4.49939e-06
56-0.432353-4.47231e-05
57-0.422302-4.36831.5e-05
58-0.415008-4.29291.9e-05
59-0.398393-4.1213.7e-05
60-0.381781-3.94927e-05


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9478189.80430
20.1222451.26450.104396
3-0.026432-0.27340.392532
40.1163881.20390.115638
50.0159610.16510.434588
60.0712950.73750.231221
70.0214570.2220.412387
8-0.066855-0.69150.245359
9-0.036365-0.37620.353771
10-0.184699-1.91050.02937
11-0.070351-0.72770.234188
12-0.176337-1.8240.035468
130.0798830.82630.205231
140.0029150.03020.488001
15-0.179524-1.8570.03303
16-0.056916-0.58870.278636
170.0368920.38160.351752
18-0.040389-0.41780.338469
19-0.027992-0.28960.38636
20-0.012542-0.12970.448508
210.0012910.01340.494683
22-0.081509-0.84310.200516
230.0334260.34580.365102
24-0.042561-0.44030.33032
25-0.021235-0.21970.413277
260.0400580.41440.33972
27-0.00504-0.05210.479258
280.0091760.09490.46228
29-0.057008-0.58970.278318
30-0.006538-0.06760.473103
310.0653450.67590.250271
320.0003930.00410.498384
33-0.10584-1.09480.138027
340.0747490.77320.220553
35-0.020266-0.20960.417177
36-0.09103-0.94160.174255
37-0.129529-1.33990.091565
38-0.153634-1.58920.057482
390.0666810.68970.245923
400.0086090.0890.464605
41-0.016859-0.17440.430945
42-0.029729-0.30750.379523
430.0825970.85440.197398
440.0116870.12090.452004
45-0.022441-0.23210.408441
460.0371640.38440.350711
47-0.017556-0.18160.428119
480.0547630.56650.286129
490.0843350.87240.192481
50-0.107123-1.10810.135154
51-0.024696-0.25550.39943
520.0584370.60450.273404
530.0477690.49410.311114
54-0.045521-0.47090.319344
55-0.073276-0.7580.225067
56-0.048898-0.50580.307017
570.0357350.36960.356189
58-0.069128-0.71510.238063
590.0084380.08730.465305
600.0007660.00790.496844
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381216m8d1hebuof33hct/1uuqg1229381163.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381216m8d1hebuof33hct/1uuqg1229381163.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381216m8d1hebuof33hct/2w0rc1229381163.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229381216m8d1hebuof33hct/2w0rc1229381163.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 0.3 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 0.3 ; 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')
 





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