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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 11 Dec 2008 07:30:55 -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/2008/Dec/11/t1229006249o2yjjhu7a04ek65.htm/, Retrieved Sun, 19 May 2024 06:07:07 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=32270, Retrieved Sun, 19 May 2024 06:07:07 +0000

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No (this computation is public)

User-defined keywords

Partial autcorrelation function d=1 Paper

Estimated Impact

176

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

-       [(Partial) Autocorrelation Function] [Partial autcorrel...] [2008-12-11 14:30:55] [0cdfeda4aa2f9e551c2e529c44a404df] [Current]
-   PD    [(Partial) Autocorrelation Function] [Partial autcorrel...] [2008-12-11 14:53:43] [12d343c4448a5f9e527bb31caeac580b] 
-   P       [(Partial) Autocorrelation Function] [Partial autcorrel...] [2008-12-11 15:08:36] [12d343c4448a5f9e527bb31caeac580b] 
-  MPD        [(Partial) Autocorrelation Function] [Acf ] [2009-12-14 21:28:47] [ba905ddf7cdf9ecb063c35348c4dab2e] 
-   PD          [(Partial) Autocorrelation Function] [ACF en PACF ARMA ] [2009-12-15 19:22:33] [ba905ddf7cdf9ecb063c35348c4dab2e] 
-   P             [(Partial) Autocorrelation Function] [arma] [2009-12-24 17:52:50] [ba905ddf7cdf9ecb063c35348c4dab2e] 
- RMPD    [(Partial) Autocorrelation Function] [Autocorrelation] [2009-11-13 17:23:30] [c0117c881d5fcd069841276db0c34efe] 

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Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

\begin{tabular}{lllllllll}
\hline
Summary of computational 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 & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=32270&T=0

[TABLE]
[ROW][C]Summary of computational 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]'George Udny Yule' @ 72.249.76.132[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=32270&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=32270&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 computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.354421	-2.7224	0.004255
2	-0.349878	-2.6875	0.00467
3	0.440912	3.3867	0.000632
4	-0.32881	-2.5256	0.007127
5	-0.172014	-1.3213	0.095757
6	0.589045	4.5245	1.5e-05
7	-0.269427	-2.0695	0.021443
8	-0.207032	-1.5902	0.058562
9	0.397612	3.0541	0.001692
10	-0.399925	-3.0719	0.001608
11	-0.159014	-1.2214	0.113394
12	0.688084	5.2853	1e-06
13	-0.286209	-2.1984	0.015927
14	-0.208752	-1.6035	0.057087
15	0.316633	2.4321	0.009032
16	-0.332921	-2.5572	0.006571
17	-0.044033	-0.3382	0.368198

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.354421 & -2.7224 & 0.004255 \tabularnewline
2 & -0.349878 & -2.6875 & 0.00467 \tabularnewline
3 & 0.440912 & 3.3867 & 0.000632 \tabularnewline
4 & -0.32881 & -2.5256 & 0.007127 \tabularnewline
5 & -0.172014 & -1.3213 & 0.095757 \tabularnewline
6 & 0.589045 & 4.5245 & 1.5e-05 \tabularnewline
7 & -0.269427 & -2.0695 & 0.021443 \tabularnewline
8 & -0.207032 & -1.5902 & 0.058562 \tabularnewline
9 & 0.397612 & 3.0541 & 0.001692 \tabularnewline
10 & -0.399925 & -3.0719 & 0.001608 \tabularnewline
11 & -0.159014 & -1.2214 & 0.113394 \tabularnewline
12 & 0.688084 & 5.2853 & 1e-06 \tabularnewline
13 & -0.286209 & -2.1984 & 0.015927 \tabularnewline
14 & -0.208752 & -1.6035 & 0.057087 \tabularnewline
15 & 0.316633 & 2.4321 & 0.009032 \tabularnewline
16 & -0.332921 & -2.5572 & 0.006571 \tabularnewline
17 & -0.044033 & -0.3382 & 0.368198 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=32270&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]1[/C][C]-0.354421[/C][C]-2.7224[/C][C]0.004255[/C][/ROW]
[ROW][C]2[/C][C]-0.349878[/C][C]-2.6875[/C][C]0.00467[/C][/ROW]
[ROW][C]3[/C][C]0.440912[/C][C]3.3867[/C][C]0.000632[/C][/ROW]
[ROW][C]4[/C][C]-0.32881[/C][C]-2.5256[/C][C]0.007127[/C][/ROW]
[ROW][C]5[/C][C]-0.172014[/C][C]-1.3213[/C][C]0.095757[/C][/ROW]
[ROW][C]6[/C][C]0.589045[/C][C]4.5245[/C][C]1.5e-05[/C][/ROW]
[ROW][C]7[/C][C]-0.269427[/C][C]-2.0695[/C][C]0.021443[/C][/ROW]
[ROW][C]8[/C][C]-0.207032[/C][C]-1.5902[/C][C]0.058562[/C][/ROW]
[ROW][C]9[/C][C]0.397612[/C][C]3.0541[/C][C]0.001692[/C][/ROW]
[ROW][C]10[/C][C]-0.399925[/C][C]-3.0719[/C][C]0.001608[/C][/ROW]
[ROW][C]11[/C][C]-0.159014[/C][C]-1.2214[/C][C]0.113394[/C][/ROW]
[ROW][C]12[/C][C]0.688084[/C][C]5.2853[/C][C]1e-06[/C][/ROW]
[ROW][C]13[/C][C]-0.286209[/C][C]-2.1984[/C][C]0.015927[/C][/ROW]
[ROW][C]14[/C][C]-0.208752[/C][C]-1.6035[/C][C]0.057087[/C][/ROW]
[ROW][C]15[/C][C]0.316633[/C][C]2.4321[/C][C]0.009032[/C][/ROW]
[ROW][C]16[/C][C]-0.332921[/C][C]-2.5572[/C][C]0.006571[/C][/ROW]
[ROW][C]17[/C][C]-0.044033[/C][C]-0.3382[/C][C]0.368198[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=32270&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=32270&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
1	-0.354421	-2.7224	0.004255
2	-0.349878	-2.6875	0.00467
3	0.440912	3.3867	0.000632
4	-0.32881	-2.5256	0.007127
5	-0.172014	-1.3213	0.095757
6	0.589045	4.5245	1.5e-05
7	-0.269427	-2.0695	0.021443
8	-0.207032	-1.5902	0.058562
9	0.397612	3.0541	0.001692
10	-0.399925	-3.0719	0.001608
11	-0.159014	-1.2214	0.113394
12	0.688084	5.2853	1e-06
13	-0.286209	-2.1984	0.015927
14	-0.208752	-1.6035	0.057087
15	0.316633	2.4321	0.009032
16	-0.332921	-2.5572	0.006571
17	-0.044033	-0.3382	0.368198

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.354421	-2.7224	0.004255
2	-0.543802	-4.177	4.9e-05
3	0.092138	0.7077	0.240951
4	-0.408827	-3.1403	0.001319
5	-0.393966	-3.0261	0.001834
6	0.146878	1.1282	0.131903
7	0.000235	0.0018	0.499284
8	-0.009956	-0.0765	0.46965
9	0.117529	0.9028	0.185163
10	-0.226123	-1.7369	0.043813
11	-0.38467	-2.9547	0.002245
12	0.200227	1.538	0.064701
13	0.179457	1.3784	0.086637
14	0.149976	1.152	0.126987
15	-0.066477	-0.5106	0.305762
16	-0.046426	-0.3566	0.361331
17	0.026194	0.2012	0.420617

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.354421 & -2.7224 & 0.004255 \tabularnewline
2 & -0.543802 & -4.177 & 4.9e-05 \tabularnewline
3 & 0.092138 & 0.7077 & 0.240951 \tabularnewline
4 & -0.408827 & -3.1403 & 0.001319 \tabularnewline
5 & -0.393966 & -3.0261 & 0.001834 \tabularnewline
6 & 0.146878 & 1.1282 & 0.131903 \tabularnewline
7 & 0.000235 & 0.0018 & 0.499284 \tabularnewline
8 & -0.009956 & -0.0765 & 0.46965 \tabularnewline
9 & 0.117529 & 0.9028 & 0.185163 \tabularnewline
10 & -0.226123 & -1.7369 & 0.043813 \tabularnewline
11 & -0.38467 & -2.9547 & 0.002245 \tabularnewline
12 & 0.200227 & 1.538 & 0.064701 \tabularnewline
13 & 0.179457 & 1.3784 & 0.086637 \tabularnewline
14 & 0.149976 & 1.152 & 0.126987 \tabularnewline
15 & -0.066477 & -0.5106 & 0.305762 \tabularnewline
16 & -0.046426 & -0.3566 & 0.361331 \tabularnewline
17 & 0.026194 & 0.2012 & 0.420617 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=32270&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]1[/C][C]-0.354421[/C][C]-2.7224[/C][C]0.004255[/C][/ROW]
[ROW][C]2[/C][C]-0.543802[/C][C]-4.177[/C][C]4.9e-05[/C][/ROW]
[ROW][C]3[/C][C]0.092138[/C][C]0.7077[/C][C]0.240951[/C][/ROW]
[ROW][C]4[/C][C]-0.408827[/C][C]-3.1403[/C][C]0.001319[/C][/ROW]
[ROW][C]5[/C][C]-0.393966[/C][C]-3.0261[/C][C]0.001834[/C][/ROW]
[ROW][C]6[/C][C]0.146878[/C][C]1.1282[/C][C]0.131903[/C][/ROW]
[ROW][C]7[/C][C]0.000235[/C][C]0.0018[/C][C]0.499284[/C][/ROW]
[ROW][C]8[/C][C]-0.009956[/C][C]-0.0765[/C][C]0.46965[/C][/ROW]
[ROW][C]9[/C][C]0.117529[/C][C]0.9028[/C][C]0.185163[/C][/ROW]
[ROW][C]10[/C][C]-0.226123[/C][C]-1.7369[/C][C]0.043813[/C][/ROW]
[ROW][C]11[/C][C]-0.38467[/C][C]-2.9547[/C][C]0.002245[/C][/ROW]
[ROW][C]12[/C][C]0.200227[/C][C]1.538[/C][C]0.064701[/C][/ROW]
[ROW][C]13[/C][C]0.179457[/C][C]1.3784[/C][C]0.086637[/C][/ROW]
[ROW][C]14[/C][C]0.149976[/C][C]1.152[/C][C]0.126987[/C][/ROW]
[ROW][C]15[/C][C]-0.066477[/C][C]-0.5106[/C][C]0.305762[/C][/ROW]
[ROW][C]16[/C][C]-0.046426[/C][C]-0.3566[/C][C]0.361331[/C][/ROW]
[ROW][C]17[/C][C]0.026194[/C][C]0.2012[/C][C]0.420617[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=32270&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=32270&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
1	-0.354421	-2.7224	0.004255
2	-0.543802	-4.177	4.9e-05
3	0.092138	0.7077	0.240951
4	-0.408827	-3.1403	0.001319
5	-0.393966	-3.0261	0.001834
6	0.146878	1.1282	0.131903
7	0.000235	0.0018	0.499284
8	-0.009956	-0.0765	0.46965
9	0.117529	0.9028	0.185163
10	-0.226123	-1.7369	0.043813
11	-0.38467	-2.9547	0.002245
12	0.200227	1.538	0.064701
13	0.179457	1.3784	0.086637
14	0.149976	1.152	0.126987
15	-0.066477	-0.5106	0.305762
16	-0.046426	-0.3566	0.361331
17	0.026194	0.2012	0.420617

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 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; 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 2:(par1+1)) {
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(abs(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,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(abs(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