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Autocorrelation Function: Amount

The document contains analysis of the autocorrelation function, partial autocorrelation function, and ARIMA model fitting for the time series data "amount". It shows the autocorrelation and partial autocorrelation values out to lag 37. The ARIMA model estimates a AR(1) model with a coefficient of 0.757 and mean of 244.763 to fit the data, with no significant lack of fit. 10-step forecasts are provided from the fitted model.

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Muh Akil
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40 views

Autocorrelation Function: Amount

The document contains analysis of the autocorrelation function, partial autocorrelation function, and ARIMA model fitting for the time series data "amount". It shows the autocorrelation and partial autocorrelation values out to lag 37. The ARIMA model estimates a AR(1) model with a coefficient of 0.757 and mean of 244.763 to fit the data, with no significant lack of fit. 10-step forecasts are provided from the fitted model.

Uploaded by

Muh Akil
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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Autocorrelation Function: amount

Lag ACF T LBQ


1 0.749362 9.15 85.37
2 0.578408 4.85 136.57
3 0.463004 3.38 169.61
4 0.309507 2.11 184.47
5 0.158394 1.05 188.39
6 0.058423 0.38 188.93
7 -0.035987 -0.24 189.13
8 -0.115257 -0.76 191.25
9 -0.166203 -1.08 195.69
10 -0.197296 -1.28 201.99
11 -0.195506 -1.25 208.22
12 -0.188311 -1.19 214.05
13 -0.162570 -1.02 218.42
14 -0.131351 -0.82 221.30
15 -0.115802 -0.72 223.55
16 -0.111725 -0.69 225.66
17 -0.152427 -0.94 229.62
18 -0.192628 -1.18 235.99
19 -0.227810 -1.38 244.97
20 -0.237894 -1.43 254.84
21 -0.219175 -1.30 263.29
22 -0.149903 -0.88 267.27
23 -0.138230 -0.80 270.68
24 -0.124910 -0.72 273.49
25 -0.043002 -0.25 273.82
26 -0.011410 -0.07 273.85
27 0.062810 0.36 274.58
28 0.138047 0.80 278.12
29 0.208663 1.20 286.28
30 0.226523 1.29 295.98
31 0.242781 1.37 307.22
32 0.240028 1.33 318.30
33 0.206568 1.13 326.58
34 0.159576 0.87 331.56
35 0.122530 0.66 334.52
36 0.151292 0.82 339.08
37 0.134213 0.72 342.70

Partial Autocorrelation Function: amount

Lag PACF T
1 0.749362 9.15
2 0.038463 0.47
3 0.039780 0.49
4 -0.134691 -1.64
5 -0.114273 -1.39
6 -0.024396 -0.30
7 -0.063522 -0.78
8 -0.047151 -0.58
9 -0.035484 -0.43
10 -0.027952 -0.34
11 0.021179 0.26
12 -0.018732 -0.23
13 0.012476 0.15
14 -0.006114 -0.07
15 -0.043239 -0.53
16 -0.052465 -0.64
17 -0.149586 -1.83
18 -0.090128 -1.10
19 -0.078284 -0.96
20 -0.005625 -0.07
21 0.034831 0.43
22 0.110789 1.35
23 -0.087534 -1.07
24 -0.052057 -0.64
25 0.086865 1.06
26 -0.058566 -0.71
27 0.113361 1.38
28 0.026814 0.33
29 0.073093 0.89
30 -0.037225 -0.45
31 0.014504 0.18
32 0.013875 0.17
33 -0.019628 -0.24
34 -0.012506 -0.15
35 0.007040 0.09
36 0.156833 1.91
37 -0.012376 -0.15

ARIMA Model: amount

Estimates at each iteration

Iteration SSE Parameters


0 31301.3 0.100 906.305
1 25010.4 0.250 755.268
2 20340.8 0.400 604.231
3 17292.6 0.550 453.192
4 15865.7 0.700 302.153
5 15748.8 0.754 247.627
6 15748.5 0.757 244.900
7 15748.5 0.757 244.763

Relative change in each estimate less than 0.0010

Final Estimates of Parameters

Type Coef SE Coef T P


AR 1 0.7570 0.0545 13.88 0.000
Constant 244.763 0.848 288.49 0.000
Mean 1007.31 3.49

Number of observations: 149


Residuals: SS = 15748.4 (backforecasts excluded)
MS = 107.1 DF = 147

Modified Box-Pierce (Ljung-Box) Chi-Square statistic

Lag 12 24 36 48
Chi-Square 6.5 17.2 30.5 37.3
DF 10 22 34 46
P-Value 0.771 0.753 0.641 0.815
Forecasts from period 149

95% Limits
Period Forecast Lower Upper Actual
150 1021.46 1001.17 1041.75
151 1018.02 992.57 1043.47
152 1015.42 987.44 1043.40
153 1013.45 984.12 1042.78
154 1011.96 981.88 1042.04
155 1010.83 980.33 1041.33
156 1009.97 979.24 1040.71
157 1009.33 978.45 1040.20
158 1008.84 977.89 1039.79
159 1008.47 977.47 1039.46

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