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*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Mon, 17 Dec 2007 12:30:51 -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/17/t1197918922t906m75xiy6aykq.htm/, Retrieved Fri, 03 May 2024 16:25:47 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=4414, Retrieved Fri, 03 May 2024 16:25:47 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

tijdreeks zonder outliers en met parameters lambda-0,2 ; D=1 en d=1

Estimated Impact

180

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

-       [(Partial) Autocorrelation Function] [Partial Autocorre...] [2007-12-17 19:30:51] [bebbf4ab6ac77d61a56e6916ab0650f9] [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	1 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 & 1 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=4414&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]1 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=4414&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=4414&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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	7.3485	0
1	0.003736	0.0275	0.489099
2	-0.355604	-2.6131	0.994201
3	-0.111441	-0.8189	0.791785
4	0.076183	0.5598	0.288955
5	0.365027	2.6824	0.00484
6	0.018552	0.1363	0.446034
7	-0.207604	-1.5256	0.933524
8	-0.23242	-1.7079	0.953304
9	-0.095405	-0.7011	0.756869
10	0.382935	2.814	0.003406
11	0.149648	1.0997	0.138174
12	-0.381032	-2.8	0.996463
13	-0.237593	-1.7459	0.956746
14	0.038699	0.2844	0.388604
15	0.23282	1.7109	0.046422
16	0.034062	0.2503	0.40165
17	-0.130409	-0.9583	0.828909

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 7.3485 & 0 \tabularnewline
1 & 0.003736 & 0.0275 & 0.489099 \tabularnewline
2 & -0.355604 & -2.6131 & 0.994201 \tabularnewline
3 & -0.111441 & -0.8189 & 0.791785 \tabularnewline
4 & 0.076183 & 0.5598 & 0.288955 \tabularnewline
5 & 0.365027 & 2.6824 & 0.00484 \tabularnewline
6 & 0.018552 & 0.1363 & 0.446034 \tabularnewline
7 & -0.207604 & -1.5256 & 0.933524 \tabularnewline
8 & -0.23242 & -1.7079 & 0.953304 \tabularnewline
9 & -0.095405 & -0.7011 & 0.756869 \tabularnewline
10 & 0.382935 & 2.814 & 0.003406 \tabularnewline
11 & 0.149648 & 1.0997 & 0.138174 \tabularnewline
12 & -0.381032 & -2.8 & 0.996463 \tabularnewline
13 & -0.237593 & -1.7459 & 0.956746 \tabularnewline
14 & 0.038699 & 0.2844 & 0.388604 \tabularnewline
15 & 0.23282 & 1.7109 & 0.046422 \tabularnewline
16 & 0.034062 & 0.2503 & 0.40165 \tabularnewline
17 & -0.130409 & -0.9583 & 0.828909 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=4414&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]7.3485[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.003736[/C][C]0.0275[/C][C]0.489099[/C][/ROW]
[ROW][C]2[/C][C]-0.355604[/C][C]-2.6131[/C][C]0.994201[/C][/ROW]
[ROW][C]3[/C][C]-0.111441[/C][C]-0.8189[/C][C]0.791785[/C][/ROW]
[ROW][C]4[/C][C]0.076183[/C][C]0.5598[/C][C]0.288955[/C][/ROW]
[ROW][C]5[/C][C]0.365027[/C][C]2.6824[/C][C]0.00484[/C][/ROW]
[ROW][C]6[/C][C]0.018552[/C][C]0.1363[/C][C]0.446034[/C][/ROW]
[ROW][C]7[/C][C]-0.207604[/C][C]-1.5256[/C][C]0.933524[/C][/ROW]
[ROW][C]8[/C][C]-0.23242[/C][C]-1.7079[/C][C]0.953304[/C][/ROW]
[ROW][C]9[/C][C]-0.095405[/C][C]-0.7011[/C][C]0.756869[/C][/ROW]
[ROW][C]10[/C][C]0.382935[/C][C]2.814[/C][C]0.003406[/C][/ROW]
[ROW][C]11[/C][C]0.149648[/C][C]1.0997[/C][C]0.138174[/C][/ROW]
[ROW][C]12[/C][C]-0.381032[/C][C]-2.8[/C][C]0.996463[/C][/ROW]
[ROW][C]13[/C][C]-0.237593[/C][C]-1.7459[/C][C]0.956746[/C][/ROW]
[ROW][C]14[/C][C]0.038699[/C][C]0.2844[/C][C]0.388604[/C][/ROW]
[ROW][C]15[/C][C]0.23282[/C][C]1.7109[/C][C]0.046422[/C][/ROW]
[ROW][C]16[/C][C]0.034062[/C][C]0.2503[/C][C]0.40165[/C][/ROW]
[ROW][C]17[/C][C]-0.130409[/C][C]-0.9583[/C][C]0.828909[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=4414&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=4414&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	7.3485	0
1	0.003736	0.0275	0.489099
2	-0.355604	-2.6131	0.994201
3	-0.111441	-0.8189	0.791785
4	0.076183	0.5598	0.288955
5	0.365027	2.6824	0.00484
6	0.018552	0.1363	0.446034
7	-0.207604	-1.5256	0.933524
8	-0.23242	-1.7079	0.953304
9	-0.095405	-0.7011	0.756869
10	0.382935	2.814	0.003406
11	0.149648	1.0997	0.138174
12	-0.381032	-2.8	0.996463
13	-0.237593	-1.7459	0.956746
14	0.038699	0.2844	0.388604
15	0.23282	1.7109	0.046422
16	0.034062	0.2503	0.40165
17	-0.130409	-0.9583	0.828909

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.003736	0.0275	0.489099
1	-0.355623	-2.6133	0.994203
2	-0.123994	-0.9112	0.816872
3	-0.062715	-0.4609	0.676625
4	0.328959	2.4173	0.00952
5	0.046287	0.3401	0.367537
6	0.03772	0.2772	0.39135
7	-0.232632	-1.7095	0.953449
8	-0.248743	-1.8279	0.963453
9	0.148336	1.09	0.140268
10	0.110051	0.8087	0.211117
11	-0.172267	-1.2659	0.894508
12	-0.097347	-0.7154	0.761264
13	-0.106532	-0.7828	0.781431
14	-0.062683	-0.4606	0.676542
15	-0.10039	-0.7377	0.768058
16	0.110469	0.8118	0.210241
17	-0.090452	-0.6647	0.74546

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.003736 & 0.0275 & 0.489099 \tabularnewline
1 & -0.355623 & -2.6133 & 0.994203 \tabularnewline
2 & -0.123994 & -0.9112 & 0.816872 \tabularnewline
3 & -0.062715 & -0.4609 & 0.676625 \tabularnewline
4 & 0.328959 & 2.4173 & 0.00952 \tabularnewline
5 & 0.046287 & 0.3401 & 0.367537 \tabularnewline
6 & 0.03772 & 0.2772 & 0.39135 \tabularnewline
7 & -0.232632 & -1.7095 & 0.953449 \tabularnewline
8 & -0.248743 & -1.8279 & 0.963453 \tabularnewline
9 & 0.148336 & 1.09 & 0.140268 \tabularnewline
10 & 0.110051 & 0.8087 & 0.211117 \tabularnewline
11 & -0.172267 & -1.2659 & 0.894508 \tabularnewline
12 & -0.097347 & -0.7154 & 0.761264 \tabularnewline
13 & -0.106532 & -0.7828 & 0.781431 \tabularnewline
14 & -0.062683 & -0.4606 & 0.676542 \tabularnewline
15 & -0.10039 & -0.7377 & 0.768058 \tabularnewline
16 & 0.110469 & 0.8118 & 0.210241 \tabularnewline
17 & -0.090452 & -0.6647 & 0.74546 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=4414&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]0.003736[/C][C]0.0275[/C][C]0.489099[/C][/ROW]
[ROW][C]1[/C][C]-0.355623[/C][C]-2.6133[/C][C]0.994203[/C][/ROW]
[ROW][C]2[/C][C]-0.123994[/C][C]-0.9112[/C][C]0.816872[/C][/ROW]
[ROW][C]3[/C][C]-0.062715[/C][C]-0.4609[/C][C]0.676625[/C][/ROW]
[ROW][C]4[/C][C]0.328959[/C][C]2.4173[/C][C]0.00952[/C][/ROW]
[ROW][C]5[/C][C]0.046287[/C][C]0.3401[/C][C]0.367537[/C][/ROW]
[ROW][C]6[/C][C]0.03772[/C][C]0.2772[/C][C]0.39135[/C][/ROW]
[ROW][C]7[/C][C]-0.232632[/C][C]-1.7095[/C][C]0.953449[/C][/ROW]
[ROW][C]8[/C][C]-0.248743[/C][C]-1.8279[/C][C]0.963453[/C][/ROW]
[ROW][C]9[/C][C]0.148336[/C][C]1.09[/C][C]0.140268[/C][/ROW]
[ROW][C]10[/C][C]0.110051[/C][C]0.8087[/C][C]0.211117[/C][/ROW]
[ROW][C]11[/C][C]-0.172267[/C][C]-1.2659[/C][C]0.894508[/C][/ROW]
[ROW][C]12[/C][C]-0.097347[/C][C]-0.7154[/C][C]0.761264[/C][/ROW]
[ROW][C]13[/C][C]-0.106532[/C][C]-0.7828[/C][C]0.781431[/C][/ROW]
[ROW][C]14[/C][C]-0.062683[/C][C]-0.4606[/C][C]0.676542[/C][/ROW]
[ROW][C]15[/C][C]-0.10039[/C][C]-0.7377[/C][C]0.768058[/C][/ROW]
[ROW][C]16[/C][C]0.110469[/C][C]0.8118[/C][C]0.210241[/C][/ROW]
[ROW][C]17[/C][C]-0.090452[/C][C]-0.6647[/C][C]0.74546[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=4414&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=4414&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	0.003736	0.0275	0.489099
1	-0.355623	-2.6133	0.994203
2	-0.123994	-0.9112	0.816872
3	-0.062715	-0.4609	0.676625
4	0.328959	2.4173	0.00952
5	0.046287	0.3401	0.367537
6	0.03772	0.2772	0.39135
7	-0.232632	-1.7095	0.953449
8	-0.248743	-1.8279	0.963453
9	0.148336	1.09	0.140268
10	0.110051	0.8087	0.211117
11	-0.172267	-1.2659	0.894508
12	-0.097347	-0.7154	0.761264
13	-0.106532	-0.7828	0.781431
14	-0.062683	-0.4606	0.676542
15	-0.10039	-0.7377	0.768058
16	0.110469	0.8118	0.210241
17	-0.090452	-0.6647	0.74546

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = Default ; par2 = -0.2 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = -0.2 ; par3 = 1 ; 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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