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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 05:52:38 -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/t11970311883m9upweg59kdz14.htm/, Retrieved Mon, 29 Apr 2024 04:06:12 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=2791, Retrieved Mon, 29 Apr 2024 04:06:12 +0000

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No (this computation is public)

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Estimated Impact

185

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

-       [(Partial) Autocorrelation Function] [wisselkoers autoc...] [2007-12-07 12:52:38] [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=2791&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=2791&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2791&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	7.6811	0
1	0.227315	1.746	0.043005
2	-0.193427	-1.4857	0.928664
3	-0.118167	-0.9077	0.816124
4	0.135253	1.0389	0.151546
5	0.070945	0.5449	0.293924
6	-0.253376	-1.9462	0.971802
7	-0.049308	-0.3787	0.646882
8	0.029088	0.2234	0.411987
9	0.082241	0.6317	0.26501
10	0.033195	0.255	0.399815
11	0.015498	0.119	0.452824
12	-0.014481	-0.1112	0.544094
13	0.01184	0.0909	0.463923
14	0.111243	0.8545	0.198149
15	-0.078359	-0.6019	0.725223
16	-0.143999	-1.1061	0.863409

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 7.6811 & 0 \tabularnewline
1 & 0.227315 & 1.746 & 0.043005 \tabularnewline
2 & -0.193427 & -1.4857 & 0.928664 \tabularnewline
3 & -0.118167 & -0.9077 & 0.816124 \tabularnewline
4 & 0.135253 & 1.0389 & 0.151546 \tabularnewline
5 & 0.070945 & 0.5449 & 0.293924 \tabularnewline
6 & -0.253376 & -1.9462 & 0.971802 \tabularnewline
7 & -0.049308 & -0.3787 & 0.646882 \tabularnewline
8 & 0.029088 & 0.2234 & 0.411987 \tabularnewline
9 & 0.082241 & 0.6317 & 0.26501 \tabularnewline
10 & 0.033195 & 0.255 & 0.399815 \tabularnewline
11 & 0.015498 & 0.119 & 0.452824 \tabularnewline
12 & -0.014481 & -0.1112 & 0.544094 \tabularnewline
13 & 0.01184 & 0.0909 & 0.463923 \tabularnewline
14 & 0.111243 & 0.8545 & 0.198149 \tabularnewline
15 & -0.078359 & -0.6019 & 0.725223 \tabularnewline
16 & -0.143999 & -1.1061 & 0.863409 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2791&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]7.6811[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.227315[/C][C]1.746[/C][C]0.043005[/C][/ROW]
[ROW][C]2[/C][C]-0.193427[/C][C]-1.4857[/C][C]0.928664[/C][/ROW]
[ROW][C]3[/C][C]-0.118167[/C][C]-0.9077[/C][C]0.816124[/C][/ROW]
[ROW][C]4[/C][C]0.135253[/C][C]1.0389[/C][C]0.151546[/C][/ROW]
[ROW][C]5[/C][C]0.070945[/C][C]0.5449[/C][C]0.293924[/C][/ROW]
[ROW][C]6[/C][C]-0.253376[/C][C]-1.9462[/C][C]0.971802[/C][/ROW]
[ROW][C]7[/C][C]-0.049308[/C][C]-0.3787[/C][C]0.646882[/C][/ROW]
[ROW][C]8[/C][C]0.029088[/C][C]0.2234[/C][C]0.411987[/C][/ROW]
[ROW][C]9[/C][C]0.082241[/C][C]0.6317[/C][C]0.26501[/C][/ROW]
[ROW][C]10[/C][C]0.033195[/C][C]0.255[/C][C]0.399815[/C][/ROW]
[ROW][C]11[/C][C]0.015498[/C][C]0.119[/C][C]0.452824[/C][/ROW]
[ROW][C]12[/C][C]-0.014481[/C][C]-0.1112[/C][C]0.544094[/C][/ROW]
[ROW][C]13[/C][C]0.01184[/C][C]0.0909[/C][C]0.463923[/C][/ROW]
[ROW][C]14[/C][C]0.111243[/C][C]0.8545[/C][C]0.198149[/C][/ROW]
[ROW][C]15[/C][C]-0.078359[/C][C]-0.6019[/C][C]0.725223[/C][/ROW]
[ROW][C]16[/C][C]-0.143999[/C][C]-1.1061[/C][C]0.863409[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2791&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2791&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	7.6811	0
1	0.227315	1.746	0.043005
2	-0.193427	-1.4857	0.928664
3	-0.118167	-0.9077	0.816124
4	0.135253	1.0389	0.151546
5	0.070945	0.5449	0.293924
6	-0.253376	-1.9462	0.971802
7	-0.049308	-0.3787	0.646882
8	0.029088	0.2234	0.411987
9	0.082241	0.6317	0.26501
10	0.033195	0.255	0.399815
11	0.015498	0.119	0.452824
12	-0.014481	-0.1112	0.544094
13	0.01184	0.0909	0.463923
14	0.111243	0.8545	0.198149
15	-0.078359	-0.6019	0.725223
16	-0.143999	-1.1061	0.863409

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.227315	1.746	0.043005
1	-0.258454	-1.9852	0.974113
2	-0.004615	-0.0354	0.514078
3	0.135856	1.0435	0.15048
4	-0.038206	-0.2935	0.614901
5	-0.245308	-1.8842	0.967769
6	0.143581	1.1029	0.137282
7	-0.116577	-0.8954	0.812905
8	0.068037	0.5226	0.301603
9	0.071482	0.5491	0.292517
10	0.018559	0.1426	0.443565
11	-0.091108	-0.6998	0.756604
12	0.106475	0.8179	0.208366
13	0.050419	0.3873	0.349972
14	-0.151657	-1.1649	0.875626
15	-0.01584	-0.1217	0.548213
16	0.085012	0.653	0.25815

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.227315 & 1.746 & 0.043005 \tabularnewline
1 & -0.258454 & -1.9852 & 0.974113 \tabularnewline
2 & -0.004615 & -0.0354 & 0.514078 \tabularnewline
3 & 0.135856 & 1.0435 & 0.15048 \tabularnewline
4 & -0.038206 & -0.2935 & 0.614901 \tabularnewline
5 & -0.245308 & -1.8842 & 0.967769 \tabularnewline
6 & 0.143581 & 1.1029 & 0.137282 \tabularnewline
7 & -0.116577 & -0.8954 & 0.812905 \tabularnewline
8 & 0.068037 & 0.5226 & 0.301603 \tabularnewline
9 & 0.071482 & 0.5491 & 0.292517 \tabularnewline
10 & 0.018559 & 0.1426 & 0.443565 \tabularnewline
11 & -0.091108 & -0.6998 & 0.756604 \tabularnewline
12 & 0.106475 & 0.8179 & 0.208366 \tabularnewline
13 & 0.050419 & 0.3873 & 0.349972 \tabularnewline
14 & -0.151657 & -1.1649 & 0.875626 \tabularnewline
15 & -0.01584 & -0.1217 & 0.548213 \tabularnewline
16 & 0.085012 & 0.653 & 0.25815 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=2791&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]0.227315[/C][C]1.746[/C][C]0.043005[/C][/ROW]
[ROW][C]1[/C][C]-0.258454[/C][C]-1.9852[/C][C]0.974113[/C][/ROW]
[ROW][C]2[/C][C]-0.004615[/C][C]-0.0354[/C][C]0.514078[/C][/ROW]
[ROW][C]3[/C][C]0.135856[/C][C]1.0435[/C][C]0.15048[/C][/ROW]
[ROW][C]4[/C][C]-0.038206[/C][C]-0.2935[/C][C]0.614901[/C][/ROW]
[ROW][C]5[/C][C]-0.245308[/C][C]-1.8842[/C][C]0.967769[/C][/ROW]
[ROW][C]6[/C][C]0.143581[/C][C]1.1029[/C][C]0.137282[/C][/ROW]
[ROW][C]7[/C][C]-0.116577[/C][C]-0.8954[/C][C]0.812905[/C][/ROW]
[ROW][C]8[/C][C]0.068037[/C][C]0.5226[/C][C]0.301603[/C][/ROW]
[ROW][C]9[/C][C]0.071482[/C][C]0.5491[/C][C]0.292517[/C][/ROW]
[ROW][C]10[/C][C]0.018559[/C][C]0.1426[/C][C]0.443565[/C][/ROW]
[ROW][C]11[/C][C]-0.091108[/C][C]-0.6998[/C][C]0.756604[/C][/ROW]
[ROW][C]12[/C][C]0.106475[/C][C]0.8179[/C][C]0.208366[/C][/ROW]
[ROW][C]13[/C][C]0.050419[/C][C]0.3873[/C][C]0.349972[/C][/ROW]
[ROW][C]14[/C][C]-0.151657[/C][C]-1.1649[/C][C]0.875626[/C][/ROW]
[ROW][C]15[/C][C]-0.01584[/C][C]-0.1217[/C][C]0.548213[/C][/ROW]
[ROW][C]16[/C][C]0.085012[/C][C]0.653[/C][C]0.25815[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=2791&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=2791&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	0.227315	1.746	0.043005
1	-0.258454	-1.9852	0.974113
2	-0.004615	-0.0354	0.514078
3	0.135856	1.0435	0.15048
4	-0.038206	-0.2935	0.614901
5	-0.245308	-1.8842	0.967769
6	0.143581	1.1029	0.137282
7	-0.116577	-0.8954	0.812905
8	0.068037	0.5226	0.301603
9	0.071482	0.5491	0.292517
10	0.018559	0.1426	0.443565
11	-0.091108	-0.6998	0.756604
12	0.106475	0.8179	0.208366
13	0.050419	0.3873	0.349972
14	-0.151657	-1.1649	0.875626
15	-0.01584	-0.1217	0.548213
16	0.085012	0.653	0.25815

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 = 1 ; 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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