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Author

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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Mon, 27 Oct 2008 02:35:23 -0600

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/Oct/27/t122509665350srolod31t6ke4.htm/, Retrieved Tue, 28 May 2024 20:12:21 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=19112, Retrieved Tue, 28 May 2024 20:12:21 +0000

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No (this computation is public)

User-defined keywords

Estimated Impact

185

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

F     [Univariate Explorative Data Analysis] [Investigation Dis...] [2007-10-21 17:06:37] [b9964c45117f7aac638ab9056d451faa]
F RMPD  [(Partial) Autocorrelation Function] [Opdracht 3 Q2 aut...] [2008-10-25 12:44:09] [1848c1c05ef454c234bcbe26cf08badc]
F    D      [(Partial) Autocorrelation Function] [Opdracht 3 Q7 aut...] [2008-10-27 08:35:23] [73ec5abea95a9c3c8c3a1ac44cab1f72] [Current]

Feedback Forum

2008-10-29 15:25:15 [Nathalie Koulouris] [reply] 
De student had voor de autocorrelatie beter gebruik gemaakt van de Lag plot. 

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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	'Gwilym Jenkins' @ 72.249.127.135

\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 & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=19112&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]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=19112&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=19112&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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.185147	1.4341	0.078361
2	0.226797	1.7568	0.04203
3	0.247831	1.9197	0.029828
4	0.063748	0.4938	0.31163
5	-0.025631	-0.1985	0.421647
6	0.101915	0.7894	0.216484
7	-0.136646	-1.0585	0.147045
8	-0.015661	-0.1213	0.451926
9	-0.105892	-0.8202	0.207664
10	0.005903	0.0457	0.48184
11	-0.258939	-2.0057	0.0247
12	0.012847	0.0995	0.460532
13	-0.108624	-0.8414	0.201732
14	-0.028781	-0.2229	0.412171
15	0.063342	0.4906	0.312733
16	-0.012023	-0.0931	0.463056
17	-0.12505	-0.9686	0.168308

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.185147 & 1.4341 & 0.078361 \tabularnewline
2 & 0.226797 & 1.7568 & 0.04203 \tabularnewline
3 & 0.247831 & 1.9197 & 0.029828 \tabularnewline
4 & 0.063748 & 0.4938 & 0.31163 \tabularnewline
5 & -0.025631 & -0.1985 & 0.421647 \tabularnewline
6 & 0.101915 & 0.7894 & 0.216484 \tabularnewline
7 & -0.136646 & -1.0585 & 0.147045 \tabularnewline
8 & -0.015661 & -0.1213 & 0.451926 \tabularnewline
9 & -0.105892 & -0.8202 & 0.207664 \tabularnewline
10 & 0.005903 & 0.0457 & 0.48184 \tabularnewline
11 & -0.258939 & -2.0057 & 0.0247 \tabularnewline
12 & 0.012847 & 0.0995 & 0.460532 \tabularnewline
13 & -0.108624 & -0.8414 & 0.201732 \tabularnewline
14 & -0.028781 & -0.2229 & 0.412171 \tabularnewline
15 & 0.063342 & 0.4906 & 0.312733 \tabularnewline
16 & -0.012023 & -0.0931 & 0.463056 \tabularnewline
17 & -0.12505 & -0.9686 & 0.168308 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=19112&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]0.185147[/C][C]1.4341[/C][C]0.078361[/C][/ROW]
[ROW][C]2[/C][C]0.226797[/C][C]1.7568[/C][C]0.04203[/C][/ROW]
[ROW][C]3[/C][C]0.247831[/C][C]1.9197[/C][C]0.029828[/C][/ROW]
[ROW][C]4[/C][C]0.063748[/C][C]0.4938[/C][C]0.31163[/C][/ROW]
[ROW][C]5[/C][C]-0.025631[/C][C]-0.1985[/C][C]0.421647[/C][/ROW]
[ROW][C]6[/C][C]0.101915[/C][C]0.7894[/C][C]0.216484[/C][/ROW]
[ROW][C]7[/C][C]-0.136646[/C][C]-1.0585[/C][C]0.147045[/C][/ROW]
[ROW][C]8[/C][C]-0.015661[/C][C]-0.1213[/C][C]0.451926[/C][/ROW]
[ROW][C]9[/C][C]-0.105892[/C][C]-0.8202[/C][C]0.207664[/C][/ROW]
[ROW][C]10[/C][C]0.005903[/C][C]0.0457[/C][C]0.48184[/C][/ROW]
[ROW][C]11[/C][C]-0.258939[/C][C]-2.0057[/C][C]0.0247[/C][/ROW]
[ROW][C]12[/C][C]0.012847[/C][C]0.0995[/C][C]0.460532[/C][/ROW]
[ROW][C]13[/C][C]-0.108624[/C][C]-0.8414[/C][C]0.201732[/C][/ROW]
[ROW][C]14[/C][C]-0.028781[/C][C]-0.2229[/C][C]0.412171[/C][/ROW]
[ROW][C]15[/C][C]0.063342[/C][C]0.4906[/C][C]0.312733[/C][/ROW]
[ROW][C]16[/C][C]-0.012023[/C][C]-0.0931[/C][C]0.463056[/C][/ROW]
[ROW][C]17[/C][C]-0.12505[/C][C]-0.9686[/C][C]0.168308[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=19112&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=19112&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	0.185147	1.4341	0.078361
2	0.226797	1.7568	0.04203
3	0.247831	1.9197	0.029828
4	0.063748	0.4938	0.31163
5	-0.025631	-0.1985	0.421647
6	0.101915	0.7894	0.216484
7	-0.136646	-1.0585	0.147045
8	-0.015661	-0.1213	0.451926
9	-0.105892	-0.8202	0.207664
10	0.005903	0.0457	0.48184
11	-0.258939	-2.0057	0.0247
12	0.012847	0.0995	0.460532
13	-0.108624	-0.8414	0.201732
14	-0.028781	-0.2229	0.412171
15	0.063342	0.4906	0.312733
16	-0.012023	-0.0931	0.463056
17	-0.12505	-0.9686	0.168308

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.185147	1.4341	0.078361
2	0.199351	1.5442	0.063903
3	0.191194	1.481	0.071922
4	-0.042227	-0.3271	0.372369
5	-0.127752	-0.9896	0.163181
6	0.076914	0.5958	0.276784
7	-0.14843	-1.1497	0.127408
8	0.025544	0.1979	0.421911
9	-0.099618	-0.7716	0.22168
10	0.102934	0.7973	0.214203
11	-0.262831	-2.0359	0.023092
12	0.112	0.8676	0.194549
13	-0.059229	-0.4588	0.324023
14	0.081726	0.633	0.264555
15	0.093683	0.7257	0.235433
16	-0.099859	-0.7735	0.221131
17	-0.0856	-0.6631	0.254916

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.185147 & 1.4341 & 0.078361 \tabularnewline
2 & 0.199351 & 1.5442 & 0.063903 \tabularnewline
3 & 0.191194 & 1.481 & 0.071922 \tabularnewline
4 & -0.042227 & -0.3271 & 0.372369 \tabularnewline
5 & -0.127752 & -0.9896 & 0.163181 \tabularnewline
6 & 0.076914 & 0.5958 & 0.276784 \tabularnewline
7 & -0.14843 & -1.1497 & 0.127408 \tabularnewline
8 & 0.025544 & 0.1979 & 0.421911 \tabularnewline
9 & -0.099618 & -0.7716 & 0.22168 \tabularnewline
10 & 0.102934 & 0.7973 & 0.214203 \tabularnewline
11 & -0.262831 & -2.0359 & 0.023092 \tabularnewline
12 & 0.112 & 0.8676 & 0.194549 \tabularnewline
13 & -0.059229 & -0.4588 & 0.324023 \tabularnewline
14 & 0.081726 & 0.633 & 0.264555 \tabularnewline
15 & 0.093683 & 0.7257 & 0.235433 \tabularnewline
16 & -0.099859 & -0.7735 & 0.221131 \tabularnewline
17 & -0.0856 & -0.6631 & 0.254916 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=19112&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]0.185147[/C][C]1.4341[/C][C]0.078361[/C][/ROW]
[ROW][C]2[/C][C]0.199351[/C][C]1.5442[/C][C]0.063903[/C][/ROW]
[ROW][C]3[/C][C]0.191194[/C][C]1.481[/C][C]0.071922[/C][/ROW]
[ROW][C]4[/C][C]-0.042227[/C][C]-0.3271[/C][C]0.372369[/C][/ROW]
[ROW][C]5[/C][C]-0.127752[/C][C]-0.9896[/C][C]0.163181[/C][/ROW]
[ROW][C]6[/C][C]0.076914[/C][C]0.5958[/C][C]0.276784[/C][/ROW]
[ROW][C]7[/C][C]-0.14843[/C][C]-1.1497[/C][C]0.127408[/C][/ROW]
[ROW][C]8[/C][C]0.025544[/C][C]0.1979[/C][C]0.421911[/C][/ROW]
[ROW][C]9[/C][C]-0.099618[/C][C]-0.7716[/C][C]0.22168[/C][/ROW]
[ROW][C]10[/C][C]0.102934[/C][C]0.7973[/C][C]0.214203[/C][/ROW]
[ROW][C]11[/C][C]-0.262831[/C][C]-2.0359[/C][C]0.023092[/C][/ROW]
[ROW][C]12[/C][C]0.112[/C][C]0.8676[/C][C]0.194549[/C][/ROW]
[ROW][C]13[/C][C]-0.059229[/C][C]-0.4588[/C][C]0.324023[/C][/ROW]
[ROW][C]14[/C][C]0.081726[/C][C]0.633[/C][C]0.264555[/C][/ROW]
[ROW][C]15[/C][C]0.093683[/C][C]0.7257[/C][C]0.235433[/C][/ROW]
[ROW][C]16[/C][C]-0.099859[/C][C]-0.7735[/C][C]0.221131[/C][/ROW]
[ROW][C]17[/C][C]-0.0856[/C][C]-0.6631[/C][C]0.254916[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=19112&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=19112&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	0.185147	1.4341	0.078361
2	0.199351	1.5442	0.063903
3	0.191194	1.481	0.071922
4	-0.042227	-0.3271	0.372369
5	-0.127752	-0.9896	0.163181
6	0.076914	0.5958	0.276784
7	-0.14843	-1.1497	0.127408
8	0.025544	0.1979	0.421911
9	-0.099618	-0.7716	0.22168
10	0.102934	0.7973	0.214203
11	-0.262831	-2.0359	0.023092
12	0.112	0.8676	0.194549
13	-0.059229	-0.4588	0.324023
14	0.081726	0.633	0.264555
15	0.093683	0.7257	0.235433
16	-0.099859	-0.7735	0.221131
17	-0.0856	-0.6631	0.254916

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 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')

Free Statistics

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code