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Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Wed, 28 Nov 2007 03:21:06 -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/28/t11962446551oa0mdrspcfg5jp.htm/, Retrieved Thu, 02 May 2024 07:32:21 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=6986, Retrieved Thu, 02 May 2024 07:32:21 +0000

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No (this computation is public)

User-defined keywords

Estimated Impact

212

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

-       [(Partial) Autocorrelation Function] [Methode 2 op tijd...] [2007-11-28 10:21:06] [0c269222ff5238ed17e011dfedaec76b] [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=6986&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=6986&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6986&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	7.746	0
1	0.465111	3.6027	0.00032
2	0.430663	3.3359	0.000731
3	0.358433	2.7764	0.003661
4	0.220381	1.7071	0.04649
5	0.330588	2.5607	0.00649
6	0.244521	1.8941	0.031521
7	0.197855	1.5326	0.065318
8	0.088027	0.6819	0.248976
9	-0.113331	-0.8779	0.808238
10	-0.156789	-1.2145	0.885339
11	-0.171197	-1.3261	0.905082
12	0.02883	0.2233	0.412025
13	-0.194653	-1.5078	0.93157
14	-0.250234	-1.9383	0.971352
15	-0.158406	-1.227	0.887694
16	-0.309211	-2.3951	0.990124

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 7.746 & 0 \tabularnewline
1 & 0.465111 & 3.6027 & 0.00032 \tabularnewline
2 & 0.430663 & 3.3359 & 0.000731 \tabularnewline
3 & 0.358433 & 2.7764 & 0.003661 \tabularnewline
4 & 0.220381 & 1.7071 & 0.04649 \tabularnewline
5 & 0.330588 & 2.5607 & 0.00649 \tabularnewline
6 & 0.244521 & 1.8941 & 0.031521 \tabularnewline
7 & 0.197855 & 1.5326 & 0.065318 \tabularnewline
8 & 0.088027 & 0.6819 & 0.248976 \tabularnewline
9 & -0.113331 & -0.8779 & 0.808238 \tabularnewline
10 & -0.156789 & -1.2145 & 0.885339 \tabularnewline
11 & -0.171197 & -1.3261 & 0.905082 \tabularnewline
12 & 0.02883 & 0.2233 & 0.412025 \tabularnewline
13 & -0.194653 & -1.5078 & 0.93157 \tabularnewline
14 & -0.250234 & -1.9383 & 0.971352 \tabularnewline
15 & -0.158406 & -1.227 & 0.887694 \tabularnewline
16 & -0.309211 & -2.3951 & 0.990124 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6986&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]7.746[/C][C]0[/C][/ROW]
[ROW][C]1[/C][C]0.465111[/C][C]3.6027[/C][C]0.00032[/C][/ROW]
[ROW][C]2[/C][C]0.430663[/C][C]3.3359[/C][C]0.000731[/C][/ROW]
[ROW][C]3[/C][C]0.358433[/C][C]2.7764[/C][C]0.003661[/C][/ROW]
[ROW][C]4[/C][C]0.220381[/C][C]1.7071[/C][C]0.04649[/C][/ROW]
[ROW][C]5[/C][C]0.330588[/C][C]2.5607[/C][C]0.00649[/C][/ROW]
[ROW][C]6[/C][C]0.244521[/C][C]1.8941[/C][C]0.031521[/C][/ROW]
[ROW][C]7[/C][C]0.197855[/C][C]1.5326[/C][C]0.065318[/C][/ROW]
[ROW][C]8[/C][C]0.088027[/C][C]0.6819[/C][C]0.248976[/C][/ROW]
[ROW][C]9[/C][C]-0.113331[/C][C]-0.8779[/C][C]0.808238[/C][/ROW]
[ROW][C]10[/C][C]-0.156789[/C][C]-1.2145[/C][C]0.885339[/C][/ROW]
[ROW][C]11[/C][C]-0.171197[/C][C]-1.3261[/C][C]0.905082[/C][/ROW]
[ROW][C]12[/C][C]0.02883[/C][C]0.2233[/C][C]0.412025[/C][/ROW]
[ROW][C]13[/C][C]-0.194653[/C][C]-1.5078[/C][C]0.93157[/C][/ROW]
[ROW][C]14[/C][C]-0.250234[/C][C]-1.9383[/C][C]0.971352[/C][/ROW]
[ROW][C]15[/C][C]-0.158406[/C][C]-1.227[/C][C]0.887694[/C][/ROW]
[ROW][C]16[/C][C]-0.309211[/C][C]-2.3951[/C][C]0.990124[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6986&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6986&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	7.746	0
1	0.465111	3.6027	0.00032
2	0.430663	3.3359	0.000731
3	0.358433	2.7764	0.003661
4	0.220381	1.7071	0.04649
5	0.330588	2.5607	0.00649
6	0.244521	1.8941	0.031521
7	0.197855	1.5326	0.065318
8	0.088027	0.6819	0.248976
9	-0.113331	-0.8779	0.808238
10	-0.156789	-1.2145	0.885339
11	-0.171197	-1.3261	0.905082
12	0.02883	0.2233	0.412025
13	-0.194653	-1.5078	0.93157
14	-0.250234	-1.9383	0.971352
15	-0.158406	-1.227	0.887694
16	-0.309211	-2.3951	0.990124

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.465111	3.6027	0.00032
1	0.2735	2.1185	0.01914
2	0.118203	0.9156	0.181772
3	-0.062538	-0.4844	0.685074
4	0.200269	1.5513	0.063047
5	0.025838	0.2001	0.421024
6	-0.030766	-0.2383	0.593775
7	-0.150351	-1.1646	0.875608
8	-0.262968	-2.0369	0.976963
9	-0.170255	-1.3188	0.903875
10	-0.040494	-0.3137	0.62257
11	0.32448	2.5134	0.00733
12	-0.239124	-1.8522	0.965544
13	-0.201676	-1.5622	0.938247
14	0.19489	1.5096	0.068195
15	0.018406	0.1426	0.443553
16	0.07376	0.5713	0.284951

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.465111 & 3.6027 & 0.00032 \tabularnewline
1 & 0.2735 & 2.1185 & 0.01914 \tabularnewline
2 & 0.118203 & 0.9156 & 0.181772 \tabularnewline
3 & -0.062538 & -0.4844 & 0.685074 \tabularnewline
4 & 0.200269 & 1.5513 & 0.063047 \tabularnewline
5 & 0.025838 & 0.2001 & 0.421024 \tabularnewline
6 & -0.030766 & -0.2383 & 0.593775 \tabularnewline
7 & -0.150351 & -1.1646 & 0.875608 \tabularnewline
8 & -0.262968 & -2.0369 & 0.976963 \tabularnewline
9 & -0.170255 & -1.3188 & 0.903875 \tabularnewline
10 & -0.040494 & -0.3137 & 0.62257 \tabularnewline
11 & 0.32448 & 2.5134 & 0.00733 \tabularnewline
12 & -0.239124 & -1.8522 & 0.965544 \tabularnewline
13 & -0.201676 & -1.5622 & 0.938247 \tabularnewline
14 & 0.19489 & 1.5096 & 0.068195 \tabularnewline
15 & 0.018406 & 0.1426 & 0.443553 \tabularnewline
16 & 0.07376 & 0.5713 & 0.284951 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6986&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]0.465111[/C][C]3.6027[/C][C]0.00032[/C][/ROW]
[ROW][C]1[/C][C]0.2735[/C][C]2.1185[/C][C]0.01914[/C][/ROW]
[ROW][C]2[/C][C]0.118203[/C][C]0.9156[/C][C]0.181772[/C][/ROW]
[ROW][C]3[/C][C]-0.062538[/C][C]-0.4844[/C][C]0.685074[/C][/ROW]
[ROW][C]4[/C][C]0.200269[/C][C]1.5513[/C][C]0.063047[/C][/ROW]
[ROW][C]5[/C][C]0.025838[/C][C]0.2001[/C][C]0.421024[/C][/ROW]
[ROW][C]6[/C][C]-0.030766[/C][C]-0.2383[/C][C]0.593775[/C][/ROW]
[ROW][C]7[/C][C]-0.150351[/C][C]-1.1646[/C][C]0.875608[/C][/ROW]
[ROW][C]8[/C][C]-0.262968[/C][C]-2.0369[/C][C]0.976963[/C][/ROW]
[ROW][C]9[/C][C]-0.170255[/C][C]-1.3188[/C][C]0.903875[/C][/ROW]
[ROW][C]10[/C][C]-0.040494[/C][C]-0.3137[/C][C]0.62257[/C][/ROW]
[ROW][C]11[/C][C]0.32448[/C][C]2.5134[/C][C]0.00733[/C][/ROW]
[ROW][C]12[/C][C]-0.239124[/C][C]-1.8522[/C][C]0.965544[/C][/ROW]
[ROW][C]13[/C][C]-0.201676[/C][C]-1.5622[/C][C]0.938247[/C][/ROW]
[ROW][C]14[/C][C]0.19489[/C][C]1.5096[/C][C]0.068195[/C][/ROW]
[ROW][C]15[/C][C]0.018406[/C][C]0.1426[/C][C]0.443553[/C][/ROW]
[ROW][C]16[/C][C]0.07376[/C][C]0.5713[/C][C]0.284951[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6986&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6986&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	0.465111	3.6027	0.00032
1	0.2735	2.1185	0.01914
2	0.118203	0.9156	0.181772
3	-0.062538	-0.4844	0.685074
4	0.200269	1.5513	0.063047
5	0.025838	0.2001	0.421024
6	-0.030766	-0.2383	0.593775
7	-0.150351	-1.1646	0.875608
8	-0.262968	-2.0369	0.976963
9	-0.170255	-1.3188	0.903875
10	-0.040494	-0.3137	0.62257
11	0.32448	2.5134	0.00733
12	-0.239124	-1.8522	0.965544
13	-0.201676	-1.5622	0.938247
14	0.19489	1.5096	0.068195
15	0.018406	0.1426	0.443553
16	0.07376	0.5713	0.284951

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 = 0 ; par5 = 12 ;

Parameters (R input):

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