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Author's title

Author

*Unverified author*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Tue, 17 Aug 2010 14:01:26 +0000

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/2010/Aug/17/t1282053718lr3v296wpgemu15.htm/, Retrieved Sat, 27 Apr 2024 09:19:41 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=79127, Retrieved Sat, 27 Apr 2024 09:19:41 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Quaglia Laura

Estimated Impact

127

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

-       [(Partial) Autocorrelation Function] [Tijdreeks B - Sta...] [2010-08-17 14:01:26] [f9e29edf9cfe01f572cce0cb5a360ea2] [Current]

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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=79127&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=79127&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=79127&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	0.881355	8.0777	0
2	0.781633	7.1638	0
3	0.697433	6.3921	0
4	0.70222	6.436	0
5	0.715853	6.5609	0
6	0.700034	6.4159	0
7	0.653334	5.9879	0
8	0.576146	5.2805	0
9	0.540921	4.9576	2e-06
10	0.559812	5.1308	1e-06
11	0.590008	5.4075	0
12	0.62465	5.725	0

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.881355 & 8.0777 & 0 \tabularnewline
2 & 0.781633 & 7.1638 & 0 \tabularnewline
3 & 0.697433 & 6.3921 & 0 \tabularnewline
4 & 0.70222 & 6.436 & 0 \tabularnewline
5 & 0.715853 & 6.5609 & 0 \tabularnewline
6 & 0.700034 & 6.4159 & 0 \tabularnewline
7 & 0.653334 & 5.9879 & 0 \tabularnewline
8 & 0.576146 & 5.2805 & 0 \tabularnewline
9 & 0.540921 & 4.9576 & 2e-06 \tabularnewline
10 & 0.559812 & 5.1308 & 1e-06 \tabularnewline
11 & 0.590008 & 5.4075 & 0 \tabularnewline
12 & 0.62465 & 5.725 & 0 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=79127&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]0.881355[/C][C]8.0777[/C][C]0[/C][/ROW]
[ROW][C]2[/C][C]0.781633[/C][C]7.1638[/C][C]0[/C][/ROW]
[ROW][C]3[/C][C]0.697433[/C][C]6.3921[/C][C]0[/C][/ROW]
[ROW][C]4[/C][C]0.70222[/C][C]6.436[/C][C]0[/C][/ROW]
[ROW][C]5[/C][C]0.715853[/C][C]6.5609[/C][C]0[/C][/ROW]
[ROW][C]6[/C][C]0.700034[/C][C]6.4159[/C][C]0[/C][/ROW]
[ROW][C]7[/C][C]0.653334[/C][C]5.9879[/C][C]0[/C][/ROW]
[ROW][C]8[/C][C]0.576146[/C][C]5.2805[/C][C]0[/C][/ROW]
[ROW][C]9[/C][C]0.540921[/C][C]4.9576[/C][C]2e-06[/C][/ROW]
[ROW][C]10[/C][C]0.559812[/C][C]5.1308[/C][C]1e-06[/C][/ROW]
[ROW][C]11[/C][C]0.590008[/C][C]5.4075[/C][C]0[/C][/ROW]
[ROW][C]12[/C][C]0.62465[/C][C]5.725[/C][C]0[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=79127&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=79127&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	0.881355	8.0777	0
2	0.781633	7.1638	0
3	0.697433	6.3921	0
4	0.70222	6.436	0
5	0.715853	6.5609	0
6	0.700034	6.4159	0
7	0.653334	5.9879	0
8	0.576146	5.2805	0
9	0.540921	4.9576	2e-06
10	0.559812	5.1308	1e-06
11	0.590008	5.4075	0
12	0.62465	5.725	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.881355	8.0777	0
2	0.021714	0.199	0.421366
3	0.01953	0.179	0.429186
4	0.3594	3.294	0.000724
5	0.121024	1.1092	0.135254
6	-0.060853	-0.5577	0.289258
7	-0.007809	-0.0716	0.471558
8	-0.142311	-1.3043	0.097846
9	0.059026	0.541	0.294976
10	0.204981	1.8787	0.031878
11	0.035898	0.329	0.371485
12	0.192314	1.7626	0.040804

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.881355 & 8.0777 & 0 \tabularnewline
2 & 0.021714 & 0.199 & 0.421366 \tabularnewline
3 & 0.01953 & 0.179 & 0.429186 \tabularnewline
4 & 0.3594 & 3.294 & 0.000724 \tabularnewline
5 & 0.121024 & 1.1092 & 0.135254 \tabularnewline
6 & -0.060853 & -0.5577 & 0.289258 \tabularnewline
7 & -0.007809 & -0.0716 & 0.471558 \tabularnewline
8 & -0.142311 & -1.3043 & 0.097846 \tabularnewline
9 & 0.059026 & 0.541 & 0.294976 \tabularnewline
10 & 0.204981 & 1.8787 & 0.031878 \tabularnewline
11 & 0.035898 & 0.329 & 0.371485 \tabularnewline
12 & 0.192314 & 1.7626 & 0.040804 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=79127&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]0.881355[/C][C]8.0777[/C][C]0[/C][/ROW]
[ROW][C]2[/C][C]0.021714[/C][C]0.199[/C][C]0.421366[/C][/ROW]
[ROW][C]3[/C][C]0.01953[/C][C]0.179[/C][C]0.429186[/C][/ROW]
[ROW][C]4[/C][C]0.3594[/C][C]3.294[/C][C]0.000724[/C][/ROW]
[ROW][C]5[/C][C]0.121024[/C][C]1.1092[/C][C]0.135254[/C][/ROW]
[ROW][C]6[/C][C]-0.060853[/C][C]-0.5577[/C][C]0.289258[/C][/ROW]
[ROW][C]7[/C][C]-0.007809[/C][C]-0.0716[/C][C]0.471558[/C][/ROW]
[ROW][C]8[/C][C]-0.142311[/C][C]-1.3043[/C][C]0.097846[/C][/ROW]
[ROW][C]9[/C][C]0.059026[/C][C]0.541[/C][C]0.294976[/C][/ROW]
[ROW][C]10[/C][C]0.204981[/C][C]1.8787[/C][C]0.031878[/C][/ROW]
[ROW][C]11[/C][C]0.035898[/C][C]0.329[/C][C]0.371485[/C][/ROW]
[ROW][C]12[/C][C]0.192314[/C][C]1.7626[/C][C]0.040804[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=79127&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=79127&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	0.881355	8.0777	0
2	0.021714	0.199	0.421366
3	0.01953	0.179	0.429186
4	0.3594	3.294	0.000724
5	0.121024	1.1092	0.135254
6	-0.060853	-0.5577	0.289258
7	-0.007809	-0.0716	0.471558
8	-0.142311	-1.3043	0.097846
9	0.059026	0.541	0.294976
10	0.204981	1.8787	0.031878
11	0.035898	0.329	0.371485
12	0.192314	1.7626	0.040804

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = 12 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 12 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
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