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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 11:14:43 -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/t11961003269x5qz34k9qkjpvv.htm/, Retrieved Thu, 02 May 2024 19:08:18 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=6608, Retrieved Thu, 02 May 2024 19:08:18 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

208

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

-       [(Partial) Autocorrelation Function] [Part. autoc frank...] [2007-11-26 18:14:43] [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=6608&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=6608&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6608&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	0.070379	0.4876	0.314026
2	0.08394	0.5816	0.281795
3	0.22316	1.5461	0.064325
4	0.057084	0.3955	0.347118
5	0.180835	1.2529	0.108163
6	0.240699	1.6676	0.050953
7	-0.27086	-1.8766	0.966669
8	0.12311	0.8529	0.198966
9	0.215274	1.4915	0.071192
10	-0.126101	-0.8737	0.806672
11	-0.032913	-0.228	0.589704
12	-0.07255	-0.5026	0.691242
13	-0.13825	-0.9578	0.828525
14	0.20171	1.3975	0.084346
15	0.073408	0.5086	0.306686
16	-0.276093	-1.9128	0.969127

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 6.9282 & 0 \tabularnewline
1 & 0.070379 & 0.4876 & 0.314026 \tabularnewline
2 & 0.08394 & 0.5816 & 0.281795 \tabularnewline
3 & 0.22316 & 1.5461 & 0.064325 \tabularnewline
4 & 0.057084 & 0.3955 & 0.347118 \tabularnewline
5 & 0.180835 & 1.2529 & 0.108163 \tabularnewline
6 & 0.240699 & 1.6676 & 0.050953 \tabularnewline
7 & -0.27086 & -1.8766 & 0.966669 \tabularnewline
8 & 0.12311 & 0.8529 & 0.198966 \tabularnewline
9 & 0.215274 & 1.4915 & 0.071192 \tabularnewline
10 & -0.126101 & -0.8737 & 0.806672 \tabularnewline
11 & -0.032913 & -0.228 & 0.589704 \tabularnewline
12 & -0.07255 & -0.5026 & 0.691242 \tabularnewline
13 & -0.13825 & -0.9578 & 0.828525 \tabularnewline
14 & 0.20171 & 1.3975 & 0.084346 \tabularnewline
15 & 0.073408 & 0.5086 & 0.306686 \tabularnewline
16 & -0.276093 & -1.9128 & 0.969127 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6608&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]0.070379[/C][C]0.4876[/C][C]0.314026[/C][/ROW]
[ROW][C]2[/C][C]0.08394[/C][C]0.5816[/C][C]0.281795[/C][/ROW]
[ROW][C]3[/C][C]0.22316[/C][C]1.5461[/C][C]0.064325[/C][/ROW]
[ROW][C]4[/C][C]0.057084[/C][C]0.3955[/C][C]0.347118[/C][/ROW]
[ROW][C]5[/C][C]0.180835[/C][C]1.2529[/C][C]0.108163[/C][/ROW]
[ROW][C]6[/C][C]0.240699[/C][C]1.6676[/C][C]0.050953[/C][/ROW]
[ROW][C]7[/C][C]-0.27086[/C][C]-1.8766[/C][C]0.966669[/C][/ROW]
[ROW][C]8[/C][C]0.12311[/C][C]0.8529[/C][C]0.198966[/C][/ROW]
[ROW][C]9[/C][C]0.215274[/C][C]1.4915[/C][C]0.071192[/C][/ROW]
[ROW][C]10[/C][C]-0.126101[/C][C]-0.8737[/C][C]0.806672[/C][/ROW]
[ROW][C]11[/C][C]-0.032913[/C][C]-0.228[/C][C]0.589704[/C][/ROW]
[ROW][C]12[/C][C]-0.07255[/C][C]-0.5026[/C][C]0.691242[/C][/ROW]
[ROW][C]13[/C][C]-0.13825[/C][C]-0.9578[/C][C]0.828525[/C][/ROW]
[ROW][C]14[/C][C]0.20171[/C][C]1.3975[/C][C]0.084346[/C][/ROW]
[ROW][C]15[/C][C]0.073408[/C][C]0.5086[/C][C]0.306686[/C][/ROW]
[ROW][C]16[/C][C]-0.276093[/C][C]-1.9128[/C][C]0.969127[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6608&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6608&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	0.070379	0.4876	0.314026
2	0.08394	0.5816	0.281795
3	0.22316	1.5461	0.064325
4	0.057084	0.3955	0.347118
5	0.180835	1.2529	0.108163
6	0.240699	1.6676	0.050953
7	-0.27086	-1.8766	0.966669
8	0.12311	0.8529	0.198966
9	0.215274	1.4915	0.071192
10	-0.126101	-0.8737	0.806672
11	-0.032913	-0.228	0.589704
12	-0.07255	-0.5026	0.691242
13	-0.13825	-0.9578	0.828525
14	0.20171	1.3975	0.084346
15	0.073408	0.5086	0.306686
16	-0.276093	-1.9128	0.969127

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.070379	0.4876	0.314026
1	0.07938	0.55	0.292448
2	0.214542	1.4864	0.071857
3	0.027383	0.1897	0.425166
4	0.153206	1.0614	0.1469
5	0.189217	1.3109	0.098059
6	-0.356303	-2.4685	0.99141
7	0.082409	0.5709	0.28535
8	0.18755	1.2994	0.100009
9	-0.142051	-0.9842	0.835014
10	-0.149951	-1.0389	0.847969
11	-0.049766	-0.3448	0.63412
12	0.012871	0.0892	0.464658
13	0.086356	0.5983	0.276229
14	0.155155	1.0749	0.143887
15	-0.16414	-1.1372	0.869449
16	0.084408	0.5848	0.280713

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.070379 & 0.4876 & 0.314026 \tabularnewline
1 & 0.07938 & 0.55 & 0.292448 \tabularnewline
2 & 0.214542 & 1.4864 & 0.071857 \tabularnewline
3 & 0.027383 & 0.1897 & 0.425166 \tabularnewline
4 & 0.153206 & 1.0614 & 0.1469 \tabularnewline
5 & 0.189217 & 1.3109 & 0.098059 \tabularnewline
6 & -0.356303 & -2.4685 & 0.99141 \tabularnewline
7 & 0.082409 & 0.5709 & 0.28535 \tabularnewline
8 & 0.18755 & 1.2994 & 0.100009 \tabularnewline
9 & -0.142051 & -0.9842 & 0.835014 \tabularnewline
10 & -0.149951 & -1.0389 & 0.847969 \tabularnewline
11 & -0.049766 & -0.3448 & 0.63412 \tabularnewline
12 & 0.012871 & 0.0892 & 0.464658 \tabularnewline
13 & 0.086356 & 0.5983 & 0.276229 \tabularnewline
14 & 0.155155 & 1.0749 & 0.143887 \tabularnewline
15 & -0.16414 & -1.1372 & 0.869449 \tabularnewline
16 & 0.084408 & 0.5848 & 0.280713 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6608&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]0.070379[/C][C]0.4876[/C][C]0.314026[/C][/ROW]
[ROW][C]1[/C][C]0.07938[/C][C]0.55[/C][C]0.292448[/C][/ROW]
[ROW][C]2[/C][C]0.214542[/C][C]1.4864[/C][C]0.071857[/C][/ROW]
[ROW][C]3[/C][C]0.027383[/C][C]0.1897[/C][C]0.425166[/C][/ROW]
[ROW][C]4[/C][C]0.153206[/C][C]1.0614[/C][C]0.1469[/C][/ROW]
[ROW][C]5[/C][C]0.189217[/C][C]1.3109[/C][C]0.098059[/C][/ROW]
[ROW][C]6[/C][C]-0.356303[/C][C]-2.4685[/C][C]0.99141[/C][/ROW]
[ROW][C]7[/C][C]0.082409[/C][C]0.5709[/C][C]0.28535[/C][/ROW]
[ROW][C]8[/C][C]0.18755[/C][C]1.2994[/C][C]0.100009[/C][/ROW]
[ROW][C]9[/C][C]-0.142051[/C][C]-0.9842[/C][C]0.835014[/C][/ROW]
[ROW][C]10[/C][C]-0.149951[/C][C]-1.0389[/C][C]0.847969[/C][/ROW]
[ROW][C]11[/C][C]-0.049766[/C][C]-0.3448[/C][C]0.63412[/C][/ROW]
[ROW][C]12[/C][C]0.012871[/C][C]0.0892[/C][C]0.464658[/C][/ROW]
[ROW][C]13[/C][C]0.086356[/C][C]0.5983[/C][C]0.276229[/C][/ROW]
[ROW][C]14[/C][C]0.155155[/C][C]1.0749[/C][C]0.143887[/C][/ROW]
[ROW][C]15[/C][C]-0.16414[/C][C]-1.1372[/C][C]0.869449[/C][/ROW]
[ROW][C]16[/C][C]0.084408[/C][C]0.5848[/C][C]0.280713[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6608&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6608&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	0.070379	0.4876	0.314026
1	0.07938	0.55	0.292448
2	0.214542	1.4864	0.071857
3	0.027383	0.1897	0.425166
4	0.153206	1.0614	0.1469
5	0.189217	1.3109	0.098059
6	-0.356303	-2.4685	0.99141
7	0.082409	0.5709	0.28535
8	0.18755	1.2994	0.100009
9	-0.142051	-0.9842	0.835014
10	-0.149951	-1.0389	0.847969
11	-0.049766	-0.3448	0.63412
12	0.012871	0.0892	0.464658
13	0.086356	0.5983	0.276229
14	0.155155	1.0749	0.143887
15	-0.16414	-1.1372	0.869449
16	0.084408	0.5848	0.280713

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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