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Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 06 Dec 2007 14:34:05 -0700

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2007/Dec/06/t1196976073c1z88espz6t3caz.htm/, Retrieved Fri, 03 May 2024 06:29:04 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=2717, Retrieved Fri, 03 May 2024 06:29:04 +0000

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No (this computation is public)

User-defined keywords

correlatie goudprijs

Estimated Impact

192

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

-       [(Partial) Autocorrelation Function] [] [2007-12-06 21:34:05] [e24e91da8d334fb8882bf413603fde71] [Current]

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Summary of compuational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

\begin{tabular}{lllllllll}
\hline
Summary of compuational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 2 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2717&T=0

[TABLE]
[ROW][C]Summary of compuational transaction[/C][/ROW]
[ROW][C]Raw Input[/C][C]view raw input (R code) [/C][/ROW]
[ROW][C]Raw Output[/C][C]view raw output of R engine [/C][/ROW]
[ROW][C]Computing time[/C][C]2 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2717&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2717&T=0

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Summary of compuational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6	0
1	0.899759	5.3986	2e-06
2	0.808429	4.8506	1.2e-05
3	0.731588	4.3895	4.8e-05
4	0.583509	3.5011	0.000628
5	0.387521	2.3251	0.012909
6	0.228035	1.3682	0.089863
7	0.087903	0.5274	0.300569
8	-0.087676	-0.5261	0.698962
9	-0.235966	-1.4158	0.917285
10	-0.320164	-1.921	0.96866
11	-0.396957	-2.3817	0.988681
12	-0.486855	-2.9211	0.997006
13	-0.488095	-2.9286	0.997063
14	-0.463575	-2.7815	0.995721
15	-0.454706	-2.7282	0.995108
16	-0.417483	-2.5049	0.991543

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 6 & 0 \tabularnewline
1 & 0.899759 & 5.3986 & 2e-06 \tabularnewline
2 & 0.808429 & 4.8506 & 1.2e-05 \tabularnewline
3 & 0.731588 & 4.3895 & 4.8e-05 \tabularnewline
4 & 0.583509 & 3.5011 & 0.000628 \tabularnewline
5 & 0.387521 & 2.3251 & 0.012909 \tabularnewline
6 & 0.228035 & 1.3682 & 0.089863 \tabularnewline
7 & 0.087903 & 0.5274 & 0.300569 \tabularnewline
8 & -0.087676 & -0.5261 & 0.698962 \tabularnewline
9 & -0.235966 & -1.4158 & 0.917285 \tabularnewline
10 & -0.320164 & -1.921 & 0.96866 \tabularnewline
11 & -0.396957 & -2.3817 & 0.988681 \tabularnewline
12 & -0.486855 & -2.9211 & 0.997006 \tabularnewline
13 & -0.488095 & -2.9286 & 0.997063 \tabularnewline
14 & -0.463575 & -2.7815 & 0.995721 \tabularnewline
15 & -0.454706 & -2.7282 & 0.995108 \tabularnewline
16 & -0.417483 & -2.5049 & 0.991543 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2717&T=1

[TABLE]
[ROW][C]Autocorrelation Function[/C][/ROW]
[ROW][C]Time lag k[/C][C]ACF(k)[/C][C]T-STAT[/C][C]P-value[/C][/ROW]
[ROW][C]0[/C][C]1[/C][C]6[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.899759[/C][C]5.3986[/C][C]2e-06[/C][/ROW]
[ROW][C]2[/C][C]0.808429[/C][C]4.8506[/C][C]1.2e-05[/C][/ROW]
[ROW][C]3[/C][C]0.731588[/C][C]4.3895[/C][C]4.8e-05[/C][/ROW]
[ROW][C]4[/C][C]0.583509[/C][C]3.5011[/C][C]0.000628[/C][/ROW]
[ROW][C]5[/C][C]0.387521[/C][C]2.3251[/C][C]0.012909[/C][/ROW]
[ROW][C]6[/C][C]0.228035[/C][C]1.3682[/C][C]0.089863[/C][/ROW]
[ROW][C]7[/C][C]0.087903[/C][C]0.5274[/C][C]0.300569[/C][/ROW]
[ROW][C]8[/C][C]-0.087676[/C][C]-0.5261[/C][C]0.698962[/C][/ROW]
[ROW][C]9[/C][C]-0.235966[/C][C]-1.4158[/C][C]0.917285[/C][/ROW]
[ROW][C]10[/C][C]-0.320164[/C][C]-1.921[/C][C]0.96866[/C][/ROW]
[ROW][C]11[/C][C]-0.396957[/C][C]-2.3817[/C][C]0.988681[/C][/ROW]
[ROW][C]12[/C][C]-0.486855[/C][C]-2.9211[/C][C]0.997006[/C][/ROW]
[ROW][C]13[/C][C]-0.488095[/C][C]-2.9286[/C][C]0.997063[/C][/ROW]
[ROW][C]14[/C][C]-0.463575[/C][C]-2.7815[/C][C]0.995721[/C][/ROW]
[ROW][C]15[/C][C]-0.454706[/C][C]-2.7282[/C][C]0.995108[/C][/ROW]
[ROW][C]16[/C][C]-0.417483[/C][C]-2.5049[/C][C]0.991543[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2717&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2717&T=1

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6	0
1	0.899759	5.3986	2e-06
2	0.808429	4.8506	1.2e-05
3	0.731588	4.3895	4.8e-05
4	0.583509	3.5011	0.000628
5	0.387521	2.3251	0.012909
6	0.228035	1.3682	0.089863
7	0.087903	0.5274	0.300569
8	-0.087676	-0.5261	0.698962
9	-0.235966	-1.4158	0.917285
10	-0.320164	-1.921	0.96866
11	-0.396957	-2.3817	0.988681
12	-0.486855	-2.9211	0.997006
13	-0.488095	-2.9286	0.997063
14	-0.463575	-2.7815	0.995721
15	-0.454706	-2.7282	0.995108
16	-0.417483	-2.5049	0.991543

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.899759	5.3986	2e-06
1	-0.005973	-0.0358	0.514195
2	0.027448	0.1647	0.435055
3	-0.412956	-2.4777	0.990975
4	-0.433014	-2.5981	0.993251
5	-0.086432	-0.5186	0.696391
6	0.122508	0.735	0.233536
7	-0.063182	-0.3791	0.646576
8	-0.039294	-0.2358	0.592524
9	0.064217	0.3853	0.351141
10	0.013206	0.0792	0.468642
11	-0.190085	-1.1405	0.869198
12	0.167496	1.005	0.160809
13	-0.002149	-0.0129	0.505108
14	-0.028399	-0.1704	0.567172
15	-0.07917	-0.475	0.681179
16	-0.0738	-0.4428	0.66972

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.899759 & 5.3986 & 2e-06 \tabularnewline
1 & -0.005973 & -0.0358 & 0.514195 \tabularnewline
2 & 0.027448 & 0.1647 & 0.435055 \tabularnewline
3 & -0.412956 & -2.4777 & 0.990975 \tabularnewline
4 & -0.433014 & -2.5981 & 0.993251 \tabularnewline
5 & -0.086432 & -0.5186 & 0.696391 \tabularnewline
6 & 0.122508 & 0.735 & 0.233536 \tabularnewline
7 & -0.063182 & -0.3791 & 0.646576 \tabularnewline
8 & -0.039294 & -0.2358 & 0.592524 \tabularnewline
9 & 0.064217 & 0.3853 & 0.351141 \tabularnewline
10 & 0.013206 & 0.0792 & 0.468642 \tabularnewline
11 & -0.190085 & -1.1405 & 0.869198 \tabularnewline
12 & 0.167496 & 1.005 & 0.160809 \tabularnewline
13 & -0.002149 & -0.0129 & 0.505108 \tabularnewline
14 & -0.028399 & -0.1704 & 0.567172 \tabularnewline
15 & -0.07917 & -0.475 & 0.681179 \tabularnewline
16 & -0.0738 & -0.4428 & 0.66972 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2717&T=2

[TABLE]
[ROW][C]Partial Autocorrelation Function[/C][/ROW]
[ROW][C]Time lag k[/C][C]PACF(k)[/C][C]T-STAT[/C][C]P-value[/C][/ROW]
[ROW][C]0[/C][C]0.899759[/C][C]5.3986[/C][C]2e-06[/C][/ROW]
[ROW][C]1[/C][C]-0.005973[/C][C]-0.0358[/C][C]0.514195[/C][/ROW]
[ROW][C]2[/C][C]0.027448[/C][C]0.1647[/C][C]0.435055[/C][/ROW]
[ROW][C]3[/C][C]-0.412956[/C][C]-2.4777[/C][C]0.990975[/C][/ROW]
[ROW][C]4[/C][C]-0.433014[/C][C]-2.5981[/C][C]0.993251[/C][/ROW]
[ROW][C]5[/C][C]-0.086432[/C][C]-0.5186[/C][C]0.696391[/C][/ROW]
[ROW][C]6[/C][C]0.122508[/C][C]0.735[/C][C]0.233536[/C][/ROW]
[ROW][C]7[/C][C]-0.063182[/C][C]-0.3791[/C][C]0.646576[/C][/ROW]
[ROW][C]8[/C][C]-0.039294[/C][C]-0.2358[/C][C]0.592524[/C][/ROW]
[ROW][C]9[/C][C]0.064217[/C][C]0.3853[/C][C]0.351141[/C][/ROW]
[ROW][C]10[/C][C]0.013206[/C][C]0.0792[/C][C]0.468642[/C][/ROW]
[ROW][C]11[/C][C]-0.190085[/C][C]-1.1405[/C][C]0.869198[/C][/ROW]
[ROW][C]12[/C][C]0.167496[/C][C]1.005[/C][C]0.160809[/C][/ROW]
[ROW][C]13[/C][C]-0.002149[/C][C]-0.0129[/C][C]0.505108[/C][/ROW]
[ROW][C]14[/C][C]-0.028399[/C][C]-0.1704[/C][C]0.567172[/C][/ROW]
[ROW][C]15[/C][C]-0.07917[/C][C]-0.475[/C][C]0.681179[/C][/ROW]
[ROW][C]16[/C][C]-0.0738[/C][C]-0.4428[/C][C]0.66972[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2717&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2717&T=2

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.899759	5.3986	2e-06
1	-0.005973	-0.0358	0.514195
2	0.027448	0.1647	0.435055
3	-0.412956	-2.4777	0.990975
4	-0.433014	-2.5981	0.993251
5	-0.086432	-0.5186	0.696391
6	0.122508	0.735	0.233536
7	-0.063182	-0.3791	0.646576
8	-0.039294	-0.2358	0.592524
9	0.064217	0.3853	0.351141
10	0.013206	0.0792	0.468642
11	-0.190085	-1.1405	0.869198
12	0.167496	1.005	0.160809
13	-0.002149	-0.0129	0.505108
14	-0.028399	-0.1704	0.567172
15	-0.07917	-0.475	0.681179
16	-0.0738	-0.4428	0.66972

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 2 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 2 ; 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('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 1:par1) {
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(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('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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')

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Dataset

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Input Parameters & R Code