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Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Mon, 26 Nov 2007 11:10:07 -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/Nov/26/t11961000482z95x0s470scoo3.htm/, Retrieved Fri, 03 May 2024 01:23:37 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=6603, Retrieved Fri, 03 May 2024 01:23:37 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

205

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

-       [(Partial) Autocorrelation Function] [autocorr totaal 1...] [2007-11-26 18:10:07] [6bdd947de0ee04552c8f0fc807f31807] [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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

\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 & 3 seconds \tabularnewline
R Server & 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6603&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]3 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Herman Ole Andreas Wold' @ 193.190.124.10:1001[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6603&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6603&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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
0	1	6.9282	0
1	0.288794	2.0008	0.025542
2	0.367016	2.5428	0.007139
3	0.410574	2.8445	0.003259
4	0.239424	1.6588	0.051841
5	0.20561	1.4245	0.080385
6	0.188978	1.3093	0.098337
7	-0.039719	-0.2752	0.60782
8	0.159833	1.1074	0.13683
9	0.029147	0.2019	0.42041
10	-0.105439	-0.7305	0.765683
11	-0.088294	-0.6117	0.728196
12	-0.090753	-0.6288	0.733755
13	-0.130183	-0.9019	0.814202
14	0.046221	0.3202	0.375092
15	-0.056585	-0.392	0.651616
16	-0.133368	-0.924	0.819946

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 6.9282 & 0 \tabularnewline
1 & 0.288794 & 2.0008 & 0.025542 \tabularnewline
2 & 0.367016 & 2.5428 & 0.007139 \tabularnewline
3 & 0.410574 & 2.8445 & 0.003259 \tabularnewline
4 & 0.239424 & 1.6588 & 0.051841 \tabularnewline
5 & 0.20561 & 1.4245 & 0.080385 \tabularnewline
6 & 0.188978 & 1.3093 & 0.098337 \tabularnewline
7 & -0.039719 & -0.2752 & 0.60782 \tabularnewline
8 & 0.159833 & 1.1074 & 0.13683 \tabularnewline
9 & 0.029147 & 0.2019 & 0.42041 \tabularnewline
10 & -0.105439 & -0.7305 & 0.765683 \tabularnewline
11 & -0.088294 & -0.6117 & 0.728196 \tabularnewline
12 & -0.090753 & -0.6288 & 0.733755 \tabularnewline
13 & -0.130183 & -0.9019 & 0.814202 \tabularnewline
14 & 0.046221 & 0.3202 & 0.375092 \tabularnewline
15 & -0.056585 & -0.392 & 0.651616 \tabularnewline
16 & -0.133368 & -0.924 & 0.819946 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6603&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]0.288794[/C][C]2.0008[/C][C]0.025542[/C][/ROW]
[ROW][C]2[/C][C]0.367016[/C][C]2.5428[/C][C]0.007139[/C][/ROW]
[ROW][C]3[/C][C]0.410574[/C][C]2.8445[/C][C]0.003259[/C][/ROW]
[ROW][C]4[/C][C]0.239424[/C][C]1.6588[/C][C]0.051841[/C][/ROW]
[ROW][C]5[/C][C]0.20561[/C][C]1.4245[/C][C]0.080385[/C][/ROW]
[ROW][C]6[/C][C]0.188978[/C][C]1.3093[/C][C]0.098337[/C][/ROW]
[ROW][C]7[/C][C]-0.039719[/C][C]-0.2752[/C][C]0.60782[/C][/ROW]
[ROW][C]8[/C][C]0.159833[/C][C]1.1074[/C][C]0.13683[/C][/ROW]
[ROW][C]9[/C][C]0.029147[/C][C]0.2019[/C][C]0.42041[/C][/ROW]
[ROW][C]10[/C][C]-0.105439[/C][C]-0.7305[/C][C]0.765683[/C][/ROW]
[ROW][C]11[/C][C]-0.088294[/C][C]-0.6117[/C][C]0.728196[/C][/ROW]
[ROW][C]12[/C][C]-0.090753[/C][C]-0.6288[/C][C]0.733755[/C][/ROW]
[ROW][C]13[/C][C]-0.130183[/C][C]-0.9019[/C][C]0.814202[/C][/ROW]
[ROW][C]14[/C][C]0.046221[/C][C]0.3202[/C][C]0.375092[/C][/ROW]
[ROW][C]15[/C][C]-0.056585[/C][C]-0.392[/C][C]0.651616[/C][/ROW]
[ROW][C]16[/C][C]-0.133368[/C][C]-0.924[/C][C]0.819946[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6603&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6603&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	0.288794	2.0008	0.025542
2	0.367016	2.5428	0.007139
3	0.410574	2.8445	0.003259
4	0.239424	1.6588	0.051841
5	0.20561	1.4245	0.080385
6	0.188978	1.3093	0.098337
7	-0.039719	-0.2752	0.60782
8	0.159833	1.1074	0.13683
9	0.029147	0.2019	0.42041
10	-0.105439	-0.7305	0.765683
11	-0.088294	-0.6117	0.728196
12	-0.090753	-0.6288	0.733755
13	-0.130183	-0.9019	0.814202
14	0.046221	0.3202	0.375092
15	-0.056585	-0.392	0.651616
16	-0.133368	-0.924	0.819946

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.288794	2.0008	0.025542
1	0.30942	2.1437	0.018575
2	0.299236	2.0732	0.021774
3	0.023163	0.1605	0.43659
4	-0.045186	-0.3131	0.622203
5	-0.022423	-0.1554	0.561402
6	-0.23727	-1.6439	0.946629
7	0.119841	0.8303	0.205245
8	0.017676	0.1225	0.451521
9	-0.12334	-0.8545	0.80147
10	-0.149255	-1.0341	0.846857
11	-0.030693	-0.2126	0.583748
12	0.027927	0.1935	0.423697
13	0.229809	1.5922	0.058956
14	0.120611	0.8356	0.203755
15	-0.194978	-1.3508	0.908461
16	0.021762	0.1508	0.440393

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.288794 & 2.0008 & 0.025542 \tabularnewline
1 & 0.30942 & 2.1437 & 0.018575 \tabularnewline
2 & 0.299236 & 2.0732 & 0.021774 \tabularnewline
3 & 0.023163 & 0.1605 & 0.43659 \tabularnewline
4 & -0.045186 & -0.3131 & 0.622203 \tabularnewline
5 & -0.022423 & -0.1554 & 0.561402 \tabularnewline
6 & -0.23727 & -1.6439 & 0.946629 \tabularnewline
7 & 0.119841 & 0.8303 & 0.205245 \tabularnewline
8 & 0.017676 & 0.1225 & 0.451521 \tabularnewline
9 & -0.12334 & -0.8545 & 0.80147 \tabularnewline
10 & -0.149255 & -1.0341 & 0.846857 \tabularnewline
11 & -0.030693 & -0.2126 & 0.583748 \tabularnewline
12 & 0.027927 & 0.1935 & 0.423697 \tabularnewline
13 & 0.229809 & 1.5922 & 0.058956 \tabularnewline
14 & 0.120611 & 0.8356 & 0.203755 \tabularnewline
15 & -0.194978 & -1.3508 & 0.908461 \tabularnewline
16 & 0.021762 & 0.1508 & 0.440393 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6603&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]0.288794[/C][C]2.0008[/C][C]0.025542[/C][/ROW]
[ROW][C]1[/C][C]0.30942[/C][C]2.1437[/C][C]0.018575[/C][/ROW]
[ROW][C]2[/C][C]0.299236[/C][C]2.0732[/C][C]0.021774[/C][/ROW]
[ROW][C]3[/C][C]0.023163[/C][C]0.1605[/C][C]0.43659[/C][/ROW]
[ROW][C]4[/C][C]-0.045186[/C][C]-0.3131[/C][C]0.622203[/C][/ROW]
[ROW][C]5[/C][C]-0.022423[/C][C]-0.1554[/C][C]0.561402[/C][/ROW]
[ROW][C]6[/C][C]-0.23727[/C][C]-1.6439[/C][C]0.946629[/C][/ROW]
[ROW][C]7[/C][C]0.119841[/C][C]0.8303[/C][C]0.205245[/C][/ROW]
[ROW][C]8[/C][C]0.017676[/C][C]0.1225[/C][C]0.451521[/C][/ROW]
[ROW][C]9[/C][C]-0.12334[/C][C]-0.8545[/C][C]0.80147[/C][/ROW]
[ROW][C]10[/C][C]-0.149255[/C][C]-1.0341[/C][C]0.846857[/C][/ROW]
[ROW][C]11[/C][C]-0.030693[/C][C]-0.2126[/C][C]0.583748[/C][/ROW]
[ROW][C]12[/C][C]0.027927[/C][C]0.1935[/C][C]0.423697[/C][/ROW]
[ROW][C]13[/C][C]0.229809[/C][C]1.5922[/C][C]0.058956[/C][/ROW]
[ROW][C]14[/C][C]0.120611[/C][C]0.8356[/C][C]0.203755[/C][/ROW]
[ROW][C]15[/C][C]-0.194978[/C][C]-1.3508[/C][C]0.908461[/C][/ROW]
[ROW][C]16[/C][C]0.021762[/C][C]0.1508[/C][C]0.440393[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6603&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6603&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	0.288794	2.0008	0.025542
1	0.30942	2.1437	0.018575
2	0.299236	2.0732	0.021774
3	0.023163	0.1605	0.43659
4	-0.045186	-0.3131	0.622203
5	-0.022423	-0.1554	0.561402
6	-0.23727	-1.6439	0.946629
7	0.119841	0.8303	0.205245
8	0.017676	0.1225	0.451521
9	-0.12334	-0.8545	0.80147
10	-0.149255	-1.0341	0.846857
11	-0.030693	-0.2126	0.583748
12	0.027927	0.1935	0.423697
13	0.229809	1.5922	0.058956
14	0.120611	0.8356	0.203755
15	-0.194978	-1.3508	0.908461
16	0.021762	0.1508	0.440393

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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