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Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Tue, 11 Dec 2007 09:58:36 -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/11/t1197391467lgnnetmzbapdpaw.htm/, Retrieved Mon, 29 Apr 2024 00:42:24 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=3132, Retrieved Mon, 29 Apr 2024 00:42:24 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

197

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

-       [(Partial) Autocorrelation Function] [Autocorrelatie me...] [2007-12-11 16:58:36] [ca5e0f9f346e091f4d0fe7e17f7dba21] [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=3132&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=3132&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=3132&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	6.9282	0
1	0.005795	0.0402	0.48407
2	-0.119795	-0.83	0.794667
3	0.202047	1.3998	0.083998
4	0.106968	0.7411	0.231123
5	0.038945	0.2698	0.394229
6	0.151448	1.0493	0.149656
7	-0.029756	-0.2062	0.581229
8	0.032416	0.2246	0.411628
9	0.098071	0.6795	0.250056
10	0.022407	0.1552	0.438641
11	0.007036	0.0487	0.480661
12	-0.262112	-1.816	0.962188
13	-0.080472	-0.5575	0.710119
14	0.016763	0.1161	0.454014
15	-0.017979	-0.1246	0.549306
16	-0.058715	-0.4068	0.657015

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 6.9282 & 0 \tabularnewline
1 & 0.005795 & 0.0402 & 0.48407 \tabularnewline
2 & -0.119795 & -0.83 & 0.794667 \tabularnewline
3 & 0.202047 & 1.3998 & 0.083998 \tabularnewline
4 & 0.106968 & 0.7411 & 0.231123 \tabularnewline
5 & 0.038945 & 0.2698 & 0.394229 \tabularnewline
6 & 0.151448 & 1.0493 & 0.149656 \tabularnewline
7 & -0.029756 & -0.2062 & 0.581229 \tabularnewline
8 & 0.032416 & 0.2246 & 0.411628 \tabularnewline
9 & 0.098071 & 0.6795 & 0.250056 \tabularnewline
10 & 0.022407 & 0.1552 & 0.438641 \tabularnewline
11 & 0.007036 & 0.0487 & 0.480661 \tabularnewline
12 & -0.262112 & -1.816 & 0.962188 \tabularnewline
13 & -0.080472 & -0.5575 & 0.710119 \tabularnewline
14 & 0.016763 & 0.1161 & 0.454014 \tabularnewline
15 & -0.017979 & -0.1246 & 0.549306 \tabularnewline
16 & -0.058715 & -0.4068 & 0.657015 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=3132&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]6.9282[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.005795[/C][C]0.0402[/C][C]0.48407[/C][/ROW]
[ROW][C]2[/C][C]-0.119795[/C][C]-0.83[/C][C]0.794667[/C][/ROW]
[ROW][C]3[/C][C]0.202047[/C][C]1.3998[/C][C]0.083998[/C][/ROW]
[ROW][C]4[/C][C]0.106968[/C][C]0.7411[/C][C]0.231123[/C][/ROW]
[ROW][C]5[/C][C]0.038945[/C][C]0.2698[/C][C]0.394229[/C][/ROW]
[ROW][C]6[/C][C]0.151448[/C][C]1.0493[/C][C]0.149656[/C][/ROW]
[ROW][C]7[/C][C]-0.029756[/C][C]-0.2062[/C][C]0.581229[/C][/ROW]
[ROW][C]8[/C][C]0.032416[/C][C]0.2246[/C][C]0.411628[/C][/ROW]
[ROW][C]9[/C][C]0.098071[/C][C]0.6795[/C][C]0.250056[/C][/ROW]
[ROW][C]10[/C][C]0.022407[/C][C]0.1552[/C][C]0.438641[/C][/ROW]
[ROW][C]11[/C][C]0.007036[/C][C]0.0487[/C][C]0.480661[/C][/ROW]
[ROW][C]12[/C][C]-0.262112[/C][C]-1.816[/C][C]0.962188[/C][/ROW]
[ROW][C]13[/C][C]-0.080472[/C][C]-0.5575[/C][C]0.710119[/C][/ROW]
[ROW][C]14[/C][C]0.016763[/C][C]0.1161[/C][C]0.454014[/C][/ROW]
[ROW][C]15[/C][C]-0.017979[/C][C]-0.1246[/C][C]0.549306[/C][/ROW]
[ROW][C]16[/C][C]-0.058715[/C][C]-0.4068[/C][C]0.657015[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=3132&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=3132&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	6.9282	0
1	0.005795	0.0402	0.48407
2	-0.119795	-0.83	0.794667
3	0.202047	1.3998	0.083998
4	0.106968	0.7411	0.231123
5	0.038945	0.2698	0.394229
6	0.151448	1.0493	0.149656
7	-0.029756	-0.2062	0.581229
8	0.032416	0.2246	0.411628
9	0.098071	0.6795	0.250056
10	0.022407	0.1552	0.438641
11	0.007036	0.0487	0.480661
12	-0.262112	-1.816	0.962188
13	-0.080472	-0.5575	0.710119
14	0.016763	0.1161	0.454014
15	-0.017979	-0.1246	0.549306
16	-0.058715	-0.4068	0.657015

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.005795	0.0402	0.48407
1	-0.119833	-0.8302	0.79474
2	0.206491	1.4306	0.079509
3	0.090023	0.6237	0.267888
4	0.089482	0.6199	0.269112
5	0.142171	0.985	0.164784
6	-0.059864	-0.4148	0.659915
7	0.037571	0.2603	0.397873
8	0.017916	0.1241	0.450866
9	0.014446	0.1001	0.460347
10	0.002668	0.0185	0.492664
11	-0.335867	-2.327	0.987883
12	-0.109932	-0.7616	0.774998
13	-0.113381	-0.7855	0.781997
14	0.052697	0.3651	0.358323
15	0.047439	0.3287	0.371919
16	0.139346	0.9654	0.169588

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.005795 & 0.0402 & 0.48407 \tabularnewline
1 & -0.119833 & -0.8302 & 0.79474 \tabularnewline
2 & 0.206491 & 1.4306 & 0.079509 \tabularnewline
3 & 0.090023 & 0.6237 & 0.267888 \tabularnewline
4 & 0.089482 & 0.6199 & 0.269112 \tabularnewline
5 & 0.142171 & 0.985 & 0.164784 \tabularnewline
6 & -0.059864 & -0.4148 & 0.659915 \tabularnewline
7 & 0.037571 & 0.2603 & 0.397873 \tabularnewline
8 & 0.017916 & 0.1241 & 0.450866 \tabularnewline
9 & 0.014446 & 0.1001 & 0.460347 \tabularnewline
10 & 0.002668 & 0.0185 & 0.492664 \tabularnewline
11 & -0.335867 & -2.327 & 0.987883 \tabularnewline
12 & -0.109932 & -0.7616 & 0.774998 \tabularnewline
13 & -0.113381 & -0.7855 & 0.781997 \tabularnewline
14 & 0.052697 & 0.3651 & 0.358323 \tabularnewline
15 & 0.047439 & 0.3287 & 0.371919 \tabularnewline
16 & 0.139346 & 0.9654 & 0.169588 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=3132&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]0.005795[/C][C]0.0402[/C][C]0.48407[/C][/ROW]
[ROW][C]1[/C][C]-0.119833[/C][C]-0.8302[/C][C]0.79474[/C][/ROW]
[ROW][C]2[/C][C]0.206491[/C][C]1.4306[/C][C]0.079509[/C][/ROW]
[ROW][C]3[/C][C]0.090023[/C][C]0.6237[/C][C]0.267888[/C][/ROW]
[ROW][C]4[/C][C]0.089482[/C][C]0.6199[/C][C]0.269112[/C][/ROW]
[ROW][C]5[/C][C]0.142171[/C][C]0.985[/C][C]0.164784[/C][/ROW]
[ROW][C]6[/C][C]-0.059864[/C][C]-0.4148[/C][C]0.659915[/C][/ROW]
[ROW][C]7[/C][C]0.037571[/C][C]0.2603[/C][C]0.397873[/C][/ROW]
[ROW][C]8[/C][C]0.017916[/C][C]0.1241[/C][C]0.450866[/C][/ROW]
[ROW][C]9[/C][C]0.014446[/C][C]0.1001[/C][C]0.460347[/C][/ROW]
[ROW][C]10[/C][C]0.002668[/C][C]0.0185[/C][C]0.492664[/C][/ROW]
[ROW][C]11[/C][C]-0.335867[/C][C]-2.327[/C][C]0.987883[/C][/ROW]
[ROW][C]12[/C][C]-0.109932[/C][C]-0.7616[/C][C]0.774998[/C][/ROW]
[ROW][C]13[/C][C]-0.113381[/C][C]-0.7855[/C][C]0.781997[/C][/ROW]
[ROW][C]14[/C][C]0.052697[/C][C]0.3651[/C][C]0.358323[/C][/ROW]
[ROW][C]15[/C][C]0.047439[/C][C]0.3287[/C][C]0.371919[/C][/ROW]
[ROW][C]16[/C][C]0.139346[/C][C]0.9654[/C][C]0.169588[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=3132&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=3132&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	0.005795	0.0402	0.48407
1	-0.119833	-0.8302	0.79474
2	0.206491	1.4306	0.079509
3	0.090023	0.6237	0.267888
4	0.089482	0.6199	0.269112
5	0.142171	0.985	0.164784
6	-0.059864	-0.4148	0.659915
7	0.037571	0.2603	0.397873
8	0.017916	0.1241	0.450866
9	0.014446	0.1001	0.460347
10	0.002668	0.0185	0.492664
11	-0.335867	-2.327	0.987883
12	-0.109932	-0.7616	0.774998
13	-0.113381	-0.7855	0.781997
14	0.052697	0.3651	0.358323
15	0.047439	0.3287	0.371919
16	0.139346	0.9654	0.169588

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 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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Input Parameters & R Code