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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Sun, 05 Dec 2010 13:43:06 +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/Dec/05/t12915565974x37nct5yagm5b5.htm/, Retrieved Wed, 01 May 2024 20:01:13 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=105394, Retrieved Wed, 01 May 2024 20:01:13 +0000

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No (this computation is public)

User-defined keywords

Estimated Impact

101

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

-     [Univariate Data Series] [data set] [2008-12-01 19:54:57] [b98453cac15ba1066b407e146608df68]
- RMP   [(Partial) Autocorrelation Function] [Unemployment] [2010-11-29 09:05:21] [b98453cac15ba1066b407e146608df68]
-    D    [(Partial) Autocorrelation Function] [Ws 9 - ACF] [2010-12-05 13:32:17] [603e2f5305d3a2a4e062624458fa1155]
-   P         [(Partial) Autocorrelation Function] [Ws 9 - ACF (d = D...] [2010-12-05 13:43:06] [0829c729852d8a4b1b0c41cf0848af95] [Current]
-   P           [(Partial) Autocorrelation Function] [Ws 9 - ACF (d = D...] [2010-12-05 14:15:47] [603e2f5305d3a2a4e062624458fa1155] 

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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=105394&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=105394&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=105394&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	0.326232	2.1884	0.016935
2	0.026761	0.1795	0.429169
3	0.03268	0.2192	0.413734
4	-0.013486	-0.0905	0.464158
5	0.300418	2.0153	0.024937
6	0.135784	0.9109	0.183609
7	-0.32291	-2.1661	0.017818
8	-0.226171	-1.5172	0.068105
9	-0.060232	-0.404	0.344047
10	-0.014244	-0.0956	0.46215
11	0.022023	0.1477	0.441606
12	-0.408123	-2.7378	0.004414
13	-0.324703	-2.1782	0.017336
14	-0.030806	-0.2067	0.418608
15	0.12314	0.826	0.206568
16	0.177148	1.1883	0.120466
17	-0.060111	-0.4032	0.344342

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.326232 & 2.1884 & 0.016935 \tabularnewline
2 & 0.026761 & 0.1795 & 0.429169 \tabularnewline
3 & 0.03268 & 0.2192 & 0.413734 \tabularnewline
4 & -0.013486 & -0.0905 & 0.464158 \tabularnewline
5 & 0.300418 & 2.0153 & 0.024937 \tabularnewline
6 & 0.135784 & 0.9109 & 0.183609 \tabularnewline
7 & -0.32291 & -2.1661 & 0.017818 \tabularnewline
8 & -0.226171 & -1.5172 & 0.068105 \tabularnewline
9 & -0.060232 & -0.404 & 0.344047 \tabularnewline
10 & -0.014244 & -0.0956 & 0.46215 \tabularnewline
11 & 0.022023 & 0.1477 & 0.441606 \tabularnewline
12 & -0.408123 & -2.7378 & 0.004414 \tabularnewline
13 & -0.324703 & -2.1782 & 0.017336 \tabularnewline
14 & -0.030806 & -0.2067 & 0.418608 \tabularnewline
15 & 0.12314 & 0.826 & 0.206568 \tabularnewline
16 & 0.177148 & 1.1883 & 0.120466 \tabularnewline
17 & -0.060111 & -0.4032 & 0.344342 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=105394&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]0.326232[/C][C]2.1884[/C][C]0.016935[/C][/ROW]
[ROW][C]2[/C][C]0.026761[/C][C]0.1795[/C][C]0.429169[/C][/ROW]
[ROW][C]3[/C][C]0.03268[/C][C]0.2192[/C][C]0.413734[/C][/ROW]
[ROW][C]4[/C][C]-0.013486[/C][C]-0.0905[/C][C]0.464158[/C][/ROW]
[ROW][C]5[/C][C]0.300418[/C][C]2.0153[/C][C]0.024937[/C][/ROW]
[ROW][C]6[/C][C]0.135784[/C][C]0.9109[/C][C]0.183609[/C][/ROW]
[ROW][C]7[/C][C]-0.32291[/C][C]-2.1661[/C][C]0.017818[/C][/ROW]
[ROW][C]8[/C][C]-0.226171[/C][C]-1.5172[/C][C]0.068105[/C][/ROW]
[ROW][C]9[/C][C]-0.060232[/C][C]-0.404[/C][C]0.344047[/C][/ROW]
[ROW][C]10[/C][C]-0.014244[/C][C]-0.0956[/C][C]0.46215[/C][/ROW]
[ROW][C]11[/C][C]0.022023[/C][C]0.1477[/C][C]0.441606[/C][/ROW]
[ROW][C]12[/C][C]-0.408123[/C][C]-2.7378[/C][C]0.004414[/C][/ROW]
[ROW][C]13[/C][C]-0.324703[/C][C]-2.1782[/C][C]0.017336[/C][/ROW]
[ROW][C]14[/C][C]-0.030806[/C][C]-0.2067[/C][C]0.418608[/C][/ROW]
[ROW][C]15[/C][C]0.12314[/C][C]0.826[/C][C]0.206568[/C][/ROW]
[ROW][C]16[/C][C]0.177148[/C][C]1.1883[/C][C]0.120466[/C][/ROW]
[ROW][C]17[/C][C]-0.060111[/C][C]-0.4032[/C][C]0.344342[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=105394&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=105394&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	0.326232	2.1884	0.016935
2	0.026761	0.1795	0.429169
3	0.03268	0.2192	0.413734
4	-0.013486	-0.0905	0.464158
5	0.300418	2.0153	0.024937
6	0.135784	0.9109	0.183609
7	-0.32291	-2.1661	0.017818
8	-0.226171	-1.5172	0.068105
9	-0.060232	-0.404	0.344047
10	-0.014244	-0.0956	0.46215
11	0.022023	0.1477	0.441606
12	-0.408123	-2.7378	0.004414
13	-0.324703	-2.1782	0.017336
14	-0.030806	-0.2067	0.418608
15	0.12314	0.826	0.206568
16	0.177148	1.1883	0.120466
17	-0.060111	-0.4032	0.344342

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.326232	2.1884	0.016935
2	-0.089155	-0.5981	0.276396
3	0.058949	0.3954	0.347193
4	-0.04704	-0.3156	0.376901
5	0.365767	2.4536	0.009039
6	-0.129451	-0.8684	0.194896
7	-0.388471	-2.6059	0.006189
8	-0.01275	-0.0855	0.466111
9	0.120641	0.8093	0.211304
10	-0.117751	-0.7899	0.216866
11	-0.09004	-0.604	0.274435
12	-0.316465	-2.1229	0.019648
13	0.121331	0.8139	0.20999
14	-0.037988	-0.2548	0.400007
15	0.156745	1.0515	0.149327
16	0.029896	0.2006	0.420977
17	0.013748	0.0922	0.463464

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.326232 & 2.1884 & 0.016935 \tabularnewline
2 & -0.089155 & -0.5981 & 0.276396 \tabularnewline
3 & 0.058949 & 0.3954 & 0.347193 \tabularnewline
4 & -0.04704 & -0.3156 & 0.376901 \tabularnewline
5 & 0.365767 & 2.4536 & 0.009039 \tabularnewline
6 & -0.129451 & -0.8684 & 0.194896 \tabularnewline
7 & -0.388471 & -2.6059 & 0.006189 \tabularnewline
8 & -0.01275 & -0.0855 & 0.466111 \tabularnewline
9 & 0.120641 & 0.8093 & 0.211304 \tabularnewline
10 & -0.117751 & -0.7899 & 0.216866 \tabularnewline
11 & -0.09004 & -0.604 & 0.274435 \tabularnewline
12 & -0.316465 & -2.1229 & 0.019648 \tabularnewline
13 & 0.121331 & 0.8139 & 0.20999 \tabularnewline
14 & -0.037988 & -0.2548 & 0.400007 \tabularnewline
15 & 0.156745 & 1.0515 & 0.149327 \tabularnewline
16 & 0.029896 & 0.2006 & 0.420977 \tabularnewline
17 & 0.013748 & 0.0922 & 0.463464 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=105394&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]0.326232[/C][C]2.1884[/C][C]0.016935[/C][/ROW]
[ROW][C]2[/C][C]-0.089155[/C][C]-0.5981[/C][C]0.276396[/C][/ROW]
[ROW][C]3[/C][C]0.058949[/C][C]0.3954[/C][C]0.347193[/C][/ROW]
[ROW][C]4[/C][C]-0.04704[/C][C]-0.3156[/C][C]0.376901[/C][/ROW]
[ROW][C]5[/C][C]0.365767[/C][C]2.4536[/C][C]0.009039[/C][/ROW]
[ROW][C]6[/C][C]-0.129451[/C][C]-0.8684[/C][C]0.194896[/C][/ROW]
[ROW][C]7[/C][C]-0.388471[/C][C]-2.6059[/C][C]0.006189[/C][/ROW]
[ROW][C]8[/C][C]-0.01275[/C][C]-0.0855[/C][C]0.466111[/C][/ROW]
[ROW][C]9[/C][C]0.120641[/C][C]0.8093[/C][C]0.211304[/C][/ROW]
[ROW][C]10[/C][C]-0.117751[/C][C]-0.7899[/C][C]0.216866[/C][/ROW]
[ROW][C]11[/C][C]-0.09004[/C][C]-0.604[/C][C]0.274435[/C][/ROW]
[ROW][C]12[/C][C]-0.316465[/C][C]-2.1229[/C][C]0.019648[/C][/ROW]
[ROW][C]13[/C][C]0.121331[/C][C]0.8139[/C][C]0.20999[/C][/ROW]
[ROW][C]14[/C][C]-0.037988[/C][C]-0.2548[/C][C]0.400007[/C][/ROW]
[ROW][C]15[/C][C]0.156745[/C][C]1.0515[/C][C]0.149327[/C][/ROW]
[ROW][C]16[/C][C]0.029896[/C][C]0.2006[/C][C]0.420977[/C][/ROW]
[ROW][C]17[/C][C]0.013748[/C][C]0.0922[/C][C]0.463464[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=105394&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=105394&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	0.326232	2.1884	0.016935
2	-0.089155	-0.5981	0.276396
3	0.058949	0.3954	0.347193
4	-0.04704	-0.3156	0.376901
5	0.365767	2.4536	0.009039
6	-0.129451	-0.8684	0.194896
7	-0.388471	-2.6059	0.006189
8	-0.01275	-0.0855	0.466111
9	0.120641	0.8093	0.211304
10	-0.117751	-0.7899	0.216866
11	-0.09004	-0.604	0.274435
12	-0.316465	-2.1229	0.019648
13	0.121331	0.8139	0.20999
14	-0.037988	-0.2548	0.400007
15	0.156745	1.0515	0.149327
16	0.029896	0.2006	0.420977
17	0.013748	0.0922	0.463464

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 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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')

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Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code