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ARIMA-model 4

*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: Fri, 04 Dec 2009 00:04:34 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/04/t1259910321bbauv97c7ossim8.htm/, Retrieved Fri, 04 Dec 2009 08:05:23 +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/2009/Dec/04/t1259910321bbauv97c7ossim8.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.249874	1.9193	0.029892
2	-0.20337	-1.5621	0.061804
3	-0.300744	-2.3101	0.012201
4	-0.244161	-1.8754	0.032842
5	0.064256	0.4936	0.311725
6	0.139925	1.0748	0.143424
7	0.023383	0.1796	0.429038
8	-0.231724	-1.7799	0.040121
9	-0.250188	-1.9217	0.029737
10	-0.147511	-1.1331	0.130887
11	0.26771	2.0563	0.022092
12	0.734598	5.6426	0
13	0.12628	0.97	0.168008
14	-0.193263	-1.4845	0.071502
15	-0.290457	-2.231	0.014746
16	-0.180791	-1.3887	0.085075
17	0.070795	0.5438	0.294319
18	0.084566	0.6496	0.259247
19	0.006922	0.0532	0.478887
20	-0.221906	-1.7045	0.046775
21	-0.194425	-1.4934	0.07033
22	-0.064644	-0.4965	0.31068
23	0.191358	1.4698	0.073458
24	0.486645	3.738	0.000211
25	0.091903	0.7059	0.241507
26	-0.185971	-1.4285	0.079215
27	-0.241018	-1.8513	0.034567
28	-0.131779	-1.0122	0.157784
29	0.051654	0.3968	0.346488
30	0.061491	0.4723	0.319219
31	-0.002828	-0.0217	0.491371
32	-0.167917	-1.2898	0.101078
33	-0.103832	-0.7975	0.214165
34	-0.047758	-0.3668	0.357527
35	0.111049	0.853	0.19856
36	0.334161	2.5667	0.006412

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.249874	1.9193	0.029892
2	-0.283509	-2.1777	0.01672
3	-0.190997	-1.4671	0.073833
4	-0.194363	-1.4929	0.070392
5	0.07594	0.5833	0.280955
6	-0.045098	-0.3464	0.365135
7	-0.079236	-0.6086	0.272555
8	-0.272432	-2.0926	0.020348
9	-0.154377	-1.1858	0.120229
10	-0.242532	-1.8629	0.033727
11	0.180347	1.3853	0.085592
12	0.60031	4.6111	1.1e-05
13	-0.189865	-1.4584	0.07502
14	0.09901	0.7605	0.224989
15	-0.02521	-0.1936	0.42356
16	0.069241	0.5318	0.298415
17	-0.108379	-0.8325	0.204249
18	-0.071548	-0.5496	0.292345
19	0.029475	0.2264	0.410835
20	-0.090906	-0.6983	0.243878
21	0.009748	0.0749	0.470285
22	0.015092	0.1159	0.454054
23	-0.208705	-1.6031	0.057127
24	-0.058502	-0.4494	0.327409
25	0.07049	0.5414	0.295121
26	-0.136516	-1.0486	0.149319
27	-3.5e-05	-3e-04	0.499893
28	-0.089138	-0.6847	0.248113
29	0.004146	0.0318	0.487353
30	-0.066294	-0.5092	0.306252
31	-0.047645	-0.366	0.357848
32	0.058268	0.4476	0.328054
33	-0.028547	-0.2193	0.413597
34	-0.109948	-0.8445	0.200892
35	0.007957	0.0611	0.475736
36	-0.053311	-0.4095	0.341833

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259910321bbauv97c7ossim8/106wz1259910273.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259910321bbauv97c7ossim8/106wz1259910273.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259910321bbauv97c7ossim8/2jk7g1259910273.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259910321bbauv97c7ossim8/2jk7g1259910273.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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