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Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Fri, 07 Dec 2007 04:33:27 -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/07/t1197026437icf39jpwmkkitj5.htm/, Retrieved Mon, 29 Apr 2024 06:42:50 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=2756, Retrieved Mon, 29 Apr 2024 06:42:50 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

224

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

-       [(Partial) Autocorrelation Function] [paper olieprijzen...] [2007-12-07 11:33:27] [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=2756&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=2756&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2756&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	7.746	0
1	0.920842	7.1328	0
2	0.853924	6.6145	0
3	0.810497	6.2781	0
4	0.758939	5.8787	0
5	0.710942	5.5069	0
6	0.65769	5.0944	2e-06
7	0.611007	4.7328	7e-06
8	0.57089	4.4221	2.1e-05
9	0.544455	4.2173	4.2e-05
10	0.53826	4.1693	5e-05
11	0.49958	3.8697	0.000136
12	0.45893	3.5549	0.000372
13	0.420011	3.2534	0.000937
14	0.379949	2.9431	0.002308
15	0.318245	2.4651	0.008288
16	0.245284	1.9	0.031124

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 7.746 & 0 \tabularnewline
1 & 0.920842 & 7.1328 & 0 \tabularnewline
2 & 0.853924 & 6.6145 & 0 \tabularnewline
3 & 0.810497 & 6.2781 & 0 \tabularnewline
4 & 0.758939 & 5.8787 & 0 \tabularnewline
5 & 0.710942 & 5.5069 & 0 \tabularnewline
6 & 0.65769 & 5.0944 & 2e-06 \tabularnewline
7 & 0.611007 & 4.7328 & 7e-06 \tabularnewline
8 & 0.57089 & 4.4221 & 2.1e-05 \tabularnewline
9 & 0.544455 & 4.2173 & 4.2e-05 \tabularnewline
10 & 0.53826 & 4.1693 & 5e-05 \tabularnewline
11 & 0.49958 & 3.8697 & 0.000136 \tabularnewline
12 & 0.45893 & 3.5549 & 0.000372 \tabularnewline
13 & 0.420011 & 3.2534 & 0.000937 \tabularnewline
14 & 0.379949 & 2.9431 & 0.002308 \tabularnewline
15 & 0.318245 & 2.4651 & 0.008288 \tabularnewline
16 & 0.245284 & 1.9 & 0.031124 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2756&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]7.746[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.920842[/C][C]7.1328[/C][C]0[/C][/ROW]
[ROW][C]2[/C][C]0.853924[/C][C]6.6145[/C][C]0[/C][/ROW]
[ROW][C]3[/C][C]0.810497[/C][C]6.2781[/C][C]0[/C][/ROW]
[ROW][C]4[/C][C]0.758939[/C][C]5.8787[/C][C]0[/C][/ROW]
[ROW][C]5[/C][C]0.710942[/C][C]5.5069[/C][C]0[/C][/ROW]
[ROW][C]6[/C][C]0.65769[/C][C]5.0944[/C][C]2e-06[/C][/ROW]
[ROW][C]7[/C][C]0.611007[/C][C]4.7328[/C][C]7e-06[/C][/ROW]
[ROW][C]8[/C][C]0.57089[/C][C]4.4221[/C][C]2.1e-05[/C][/ROW]
[ROW][C]9[/C][C]0.544455[/C][C]4.2173[/C][C]4.2e-05[/C][/ROW]
[ROW][C]10[/C][C]0.53826[/C][C]4.1693[/C][C]5e-05[/C][/ROW]
[ROW][C]11[/C][C]0.49958[/C][C]3.8697[/C][C]0.000136[/C][/ROW]
[ROW][C]12[/C][C]0.45893[/C][C]3.5549[/C][C]0.000372[/C][/ROW]
[ROW][C]13[/C][C]0.420011[/C][C]3.2534[/C][C]0.000937[/C][/ROW]
[ROW][C]14[/C][C]0.379949[/C][C]2.9431[/C][C]0.002308[/C][/ROW]
[ROW][C]15[/C][C]0.318245[/C][C]2.4651[/C][C]0.008288[/C][/ROW]
[ROW][C]16[/C][C]0.245284[/C][C]1.9[/C][C]0.031124[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2756&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2756&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	7.746	0
1	0.920842	7.1328	0
2	0.853924	6.6145	0
3	0.810497	6.2781	0
4	0.758939	5.8787	0
5	0.710942	5.5069	0
6	0.65769	5.0944	2e-06
7	0.611007	4.7328	7e-06
8	0.57089	4.4221	2.1e-05
9	0.544455	4.2173	4.2e-05
10	0.53826	4.1693	5e-05
11	0.49958	3.8697	0.000136
12	0.45893	3.5549	0.000372
13	0.420011	3.2534	0.000937
14	0.379949	2.9431	0.002308
15	0.318245	2.4651	0.008288
16	0.245284	1.9	0.031124

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.920842	7.1328	0
1	0.039297	0.3044	0.380939
2	0.124376	0.9634	0.169604
3	-0.05513	-0.427	0.664559
4	0.011267	0.0873	0.465373
5	-0.070721	-0.5478	0.707069
6	0.017484	0.1354	0.446362
7	0.007264	0.0563	0.477658
8	0.08942	0.6926	0.245601
9	0.138913	1.076	0.143114
10	-0.177517	-1.375	0.912884
11	-0.033405	-0.2588	0.601644
12	-0.085487	-0.6622	0.744805
13	-0.019168	-0.1485	0.558768
14	-0.198329	-1.5363	0.935133
15	-0.110476	-0.8557	0.802229
16	0.003141	0.0243	0.490336

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.920842 & 7.1328 & 0 \tabularnewline
1 & 0.039297 & 0.3044 & 0.380939 \tabularnewline
2 & 0.124376 & 0.9634 & 0.169604 \tabularnewline
3 & -0.05513 & -0.427 & 0.664559 \tabularnewline
4 & 0.011267 & 0.0873 & 0.465373 \tabularnewline
5 & -0.070721 & -0.5478 & 0.707069 \tabularnewline
6 & 0.017484 & 0.1354 & 0.446362 \tabularnewline
7 & 0.007264 & 0.0563 & 0.477658 \tabularnewline
8 & 0.08942 & 0.6926 & 0.245601 \tabularnewline
9 & 0.138913 & 1.076 & 0.143114 \tabularnewline
10 & -0.177517 & -1.375 & 0.912884 \tabularnewline
11 & -0.033405 & -0.2588 & 0.601644 \tabularnewline
12 & -0.085487 & -0.6622 & 0.744805 \tabularnewline
13 & -0.019168 & -0.1485 & 0.558768 \tabularnewline
14 & -0.198329 & -1.5363 & 0.935133 \tabularnewline
15 & -0.110476 & -0.8557 & 0.802229 \tabularnewline
16 & 0.003141 & 0.0243 & 0.490336 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2756&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]0.920842[/C][C]7.1328[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.039297[/C][C]0.3044[/C][C]0.380939[/C][/ROW]
[ROW][C]2[/C][C]0.124376[/C][C]0.9634[/C][C]0.169604[/C][/ROW]
[ROW][C]3[/C][C]-0.05513[/C][C]-0.427[/C][C]0.664559[/C][/ROW]
[ROW][C]4[/C][C]0.011267[/C][C]0.0873[/C][C]0.465373[/C][/ROW]
[ROW][C]5[/C][C]-0.070721[/C][C]-0.5478[/C][C]0.707069[/C][/ROW]
[ROW][C]6[/C][C]0.017484[/C][C]0.1354[/C][C]0.446362[/C][/ROW]
[ROW][C]7[/C][C]0.007264[/C][C]0.0563[/C][C]0.477658[/C][/ROW]
[ROW][C]8[/C][C]0.08942[/C][C]0.6926[/C][C]0.245601[/C][/ROW]
[ROW][C]9[/C][C]0.138913[/C][C]1.076[/C][C]0.143114[/C][/ROW]
[ROW][C]10[/C][C]-0.177517[/C][C]-1.375[/C][C]0.912884[/C][/ROW]
[ROW][C]11[/C][C]-0.033405[/C][C]-0.2588[/C][C]0.601644[/C][/ROW]
[ROW][C]12[/C][C]-0.085487[/C][C]-0.6622[/C][C]0.744805[/C][/ROW]
[ROW][C]13[/C][C]-0.019168[/C][C]-0.1485[/C][C]0.558768[/C][/ROW]
[ROW][C]14[/C][C]-0.198329[/C][C]-1.5363[/C][C]0.935133[/C][/ROW]
[ROW][C]15[/C][C]-0.110476[/C][C]-0.8557[/C][C]0.802229[/C][/ROW]
[ROW][C]16[/C][C]0.003141[/C][C]0.0243[/C][C]0.490336[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2756&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2756&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	0.920842	7.1328	0
1	0.039297	0.3044	0.380939
2	0.124376	0.9634	0.169604
3	-0.05513	-0.427	0.664559
4	0.011267	0.0873	0.465373
5	-0.070721	-0.5478	0.707069
6	0.017484	0.1354	0.446362
7	0.007264	0.0563	0.477658
8	0.08942	0.6926	0.245601
9	0.138913	1.076	0.143114
10	-0.177517	-1.375	0.912884
11	-0.033405	-0.2588	0.601644
12	-0.085487	-0.6622	0.744805
13	-0.019168	-0.1485	0.558768
14	-0.198329	-1.5363	0.935133
15	-0.110476	-0.8557	0.802229
16	0.003141	0.0243	0.490336

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; 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('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