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Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 29 Nov 2007 04:51:11 -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/29/t1196336453hi0qgcq9eablza8.htm/, Retrieved Fri, 03 May 2024 06:47:53 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7443, Retrieved Fri, 03 May 2024 06:47:53 +0000

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No (this computation is public)

User-defined keywords

Estimated Impact

198

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

-       [(Partial) Autocorrelation Function] [autocorr tot. ind...] [2007-11-29 11:51:11] [dd38921fafddee0dfc20da83e9650a2a] [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=7443&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=7443&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7443&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	7.746	0
1	0.101524	0.7864	0.217363
2	-0.148973	-1.1539	0.87345
3	0.316661	2.4528	0.008549
4	-0.051829	-0.4015	0.655249
5	0.107523	0.8329	0.204111
6	0.503797	3.9024	0.000122
7	0.039878	0.3089	0.379237
8	-0.008888	-0.0688	0.52733
9	0.186924	1.4479	0.076424
10	-0.328641	-2.5456	0.993252
11	0.007979	0.0618	0.475461
12	0.619436	4.7981	6e-06
13	-0.072816	-0.564	0.712582
14	-0.177574	-1.3755	0.912952
15	0.112302	0.8699	0.193915
16	-0.200563	-1.5536	0.937225

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
0 & 1 & 7.746 & 0 \tabularnewline
1 & 0.101524 & 0.7864 & 0.217363 \tabularnewline
2 & -0.148973 & -1.1539 & 0.87345 \tabularnewline
3 & 0.316661 & 2.4528 & 0.008549 \tabularnewline
4 & -0.051829 & -0.4015 & 0.655249 \tabularnewline
5 & 0.107523 & 0.8329 & 0.204111 \tabularnewline
6 & 0.503797 & 3.9024 & 0.000122 \tabularnewline
7 & 0.039878 & 0.3089 & 0.379237 \tabularnewline
8 & -0.008888 & -0.0688 & 0.52733 \tabularnewline
9 & 0.186924 & 1.4479 & 0.076424 \tabularnewline
10 & -0.328641 & -2.5456 & 0.993252 \tabularnewline
11 & 0.007979 & 0.0618 & 0.475461 \tabularnewline
12 & 0.619436 & 4.7981 & 6e-06 \tabularnewline
13 & -0.072816 & -0.564 & 0.712582 \tabularnewline
14 & -0.177574 & -1.3755 & 0.912952 \tabularnewline
15 & 0.112302 & 0.8699 & 0.193915 \tabularnewline
16 & -0.200563 & -1.5536 & 0.937225 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7443&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]0.101524[/C][C]0.7864[/C][C]0.217363[/C][/ROW]
[ROW][C]2[/C][C]-0.148973[/C][C]-1.1539[/C][C]0.87345[/C][/ROW]
[ROW][C]3[/C][C]0.316661[/C][C]2.4528[/C][C]0.008549[/C][/ROW]
[ROW][C]4[/C][C]-0.051829[/C][C]-0.4015[/C][C]0.655249[/C][/ROW]
[ROW][C]5[/C][C]0.107523[/C][C]0.8329[/C][C]0.204111[/C][/ROW]
[ROW][C]6[/C][C]0.503797[/C][C]3.9024[/C][C]0.000122[/C][/ROW]
[ROW][C]7[/C][C]0.039878[/C][C]0.3089[/C][C]0.379237[/C][/ROW]
[ROW][C]8[/C][C]-0.008888[/C][C]-0.0688[/C][C]0.52733[/C][/ROW]
[ROW][C]9[/C][C]0.186924[/C][C]1.4479[/C][C]0.076424[/C][/ROW]
[ROW][C]10[/C][C]-0.328641[/C][C]-2.5456[/C][C]0.993252[/C][/ROW]
[ROW][C]11[/C][C]0.007979[/C][C]0.0618[/C][C]0.475461[/C][/ROW]
[ROW][C]12[/C][C]0.619436[/C][C]4.7981[/C][C]6e-06[/C][/ROW]
[ROW][C]13[/C][C]-0.072816[/C][C]-0.564[/C][C]0.712582[/C][/ROW]
[ROW][C]14[/C][C]-0.177574[/C][C]-1.3755[/C][C]0.912952[/C][/ROW]
[ROW][C]15[/C][C]0.112302[/C][C]0.8699[/C][C]0.193915[/C][/ROW]
[ROW][C]16[/C][C]-0.200563[/C][C]-1.5536[/C][C]0.937225[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7443&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7443&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	0.101524	0.7864	0.217363
2	-0.148973	-1.1539	0.87345
3	0.316661	2.4528	0.008549
4	-0.051829	-0.4015	0.655249
5	0.107523	0.8329	0.204111
6	0.503797	3.9024	0.000122
7	0.039878	0.3089	0.379237
8	-0.008888	-0.0688	0.52733
9	0.186924	1.4479	0.076424
10	-0.328641	-2.5456	0.993252
11	0.007979	0.0618	0.475461
12	0.619436	4.7981	6e-06
13	-0.072816	-0.564	0.712582
14	-0.177574	-1.3755	0.912952
15	0.112302	0.8699	0.193915
16	-0.200563	-1.5536	0.937225

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
0	0.101524	0.7864	0.217363
1	-0.160939	-1.2466	0.891311
2	0.363628	2.8167	0.00328
3	-0.209137	-1.62	0.944758
4	0.349423	2.7066	0.004419
5	0.305996	2.3702	0.010504
6	0.065802	0.5097	0.306065
7	0.069071	0.535	0.297306
8	-0.048163	-0.3731	0.644795
9	-0.471855	-3.655	0.999729
10	0.024168	0.1872	0.426065
11	0.416947	3.2297	0.001006
12	-0.093381	-0.7233	0.763854
13	-0.092339	-0.7153	0.761387
14	-0.133265	-1.0323	0.846954
15	0.115244	0.8927	0.187798
16	-0.051719	-0.4006	0.654938

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
0 & 0.101524 & 0.7864 & 0.217363 \tabularnewline
1 & -0.160939 & -1.2466 & 0.891311 \tabularnewline
2 & 0.363628 & 2.8167 & 0.00328 \tabularnewline
3 & -0.209137 & -1.62 & 0.944758 \tabularnewline
4 & 0.349423 & 2.7066 & 0.004419 \tabularnewline
5 & 0.305996 & 2.3702 & 0.010504 \tabularnewline
6 & 0.065802 & 0.5097 & 0.306065 \tabularnewline
7 & 0.069071 & 0.535 & 0.297306 \tabularnewline
8 & -0.048163 & -0.3731 & 0.644795 \tabularnewline
9 & -0.471855 & -3.655 & 0.999729 \tabularnewline
10 & 0.024168 & 0.1872 & 0.426065 \tabularnewline
11 & 0.416947 & 3.2297 & 0.001006 \tabularnewline
12 & -0.093381 & -0.7233 & 0.763854 \tabularnewline
13 & -0.092339 & -0.7153 & 0.761387 \tabularnewline
14 & -0.133265 & -1.0323 & 0.846954 \tabularnewline
15 & 0.115244 & 0.8927 & 0.187798 \tabularnewline
16 & -0.051719 & -0.4006 & 0.654938 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7443&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]0.101524[/C][C]0.7864[/C][C]0.217363[/C][/ROW]
[ROW][C]1[/C][C]-0.160939[/C][C]-1.2466[/C][C]0.891311[/C][/ROW]
[ROW][C]2[/C][C]0.363628[/C][C]2.8167[/C][C]0.00328[/C][/ROW]
[ROW][C]3[/C][C]-0.209137[/C][C]-1.62[/C][C]0.944758[/C][/ROW]
[ROW][C]4[/C][C]0.349423[/C][C]2.7066[/C][C]0.004419[/C][/ROW]
[ROW][C]5[/C][C]0.305996[/C][C]2.3702[/C][C]0.010504[/C][/ROW]
[ROW][C]6[/C][C]0.065802[/C][C]0.5097[/C][C]0.306065[/C][/ROW]
[ROW][C]7[/C][C]0.069071[/C][C]0.535[/C][C]0.297306[/C][/ROW]
[ROW][C]8[/C][C]-0.048163[/C][C]-0.3731[/C][C]0.644795[/C][/ROW]
[ROW][C]9[/C][C]-0.471855[/C][C]-3.655[/C][C]0.999729[/C][/ROW]
[ROW][C]10[/C][C]0.024168[/C][C]0.1872[/C][C]0.426065[/C][/ROW]
[ROW][C]11[/C][C]0.416947[/C][C]3.2297[/C][C]0.001006[/C][/ROW]
[ROW][C]12[/C][C]-0.093381[/C][C]-0.7233[/C][C]0.763854[/C][/ROW]
[ROW][C]13[/C][C]-0.092339[/C][C]-0.7153[/C][C]0.761387[/C][/ROW]
[ROW][C]14[/C][C]-0.133265[/C][C]-1.0323[/C][C]0.846954[/C][/ROW]
[ROW][C]15[/C][C]0.115244[/C][C]0.8927[/C][C]0.187798[/C][/ROW]
[ROW][C]16[/C][C]-0.051719[/C][C]-0.4006[/C][C]0.654938[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7443&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7443&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	0.101524	0.7864	0.217363
1	-0.160939	-1.2466	0.891311
2	0.363628	2.8167	0.00328
3	-0.209137	-1.62	0.944758
4	0.349423	2.7066	0.004419
5	0.305996	2.3702	0.010504
6	0.065802	0.5097	0.306065
7	0.069071	0.535	0.297306
8	-0.048163	-0.3731	0.644795
9	-0.471855	-3.655	0.999729
10	0.024168	0.1872	0.426065
11	0.416947	3.2297	0.001006
12	-0.093381	-0.7233	0.763854
13	-0.092339	-0.7153	0.761387
14	-0.133265	-1.0323	0.846954
15	0.115244	0.8927	0.187798
16	-0.051719	-0.4006	0.654938

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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Dataset

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Input Parameters & R Code