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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Wed, 22 Dec 2010 19:13:40 +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/22/t1293045669fzd9wxpf6g4n8x8.htm/, Retrieved Mon, 06 May 2024 08:11:14 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=114522, Retrieved Mon, 06 May 2024 08:11:14 +0000

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User-defined keywords

Estimated Impact

132

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]
-   PD      [(Partial) Autocorrelation Function] [d=1 ACF BBP] [2010-12-22 19:13:40] [694c30abd2a3b2ee5cb46fc74cb5bfb9] [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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

\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 & 2 seconds \tabularnewline
R Server & 'RServer@AstonUniversity' @ vre.aston.ac.uk \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=114522&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]2 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'RServer@AstonUniversity' @ vre.aston.ac.uk[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=114522&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=114522&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	2 seconds
R Server	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.1915	1.0313	0.155472
2	-0.04444	-0.2393	0.406272
3	-0.104384	-0.5621	0.289175
4	-0.164255	-0.8845	0.19184
5	-0.053209	-0.2865	0.38825
6	0.015799	0.0851	0.466391
7	0.056618	0.3049	0.381311
8	0.052134	0.2807	0.390448
9	-0.037633	-0.2027	0.420409
10	0.086013	0.4632	0.323341
11	0.043028	0.2317	0.409194
12	-0.077222	-0.4159	0.34029
13	-0.110377	-0.5944	0.278427
14	-0.328457	-1.7688	0.043723

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.1915 & 1.0313 & 0.155472 \tabularnewline
2 & -0.04444 & -0.2393 & 0.406272 \tabularnewline
3 & -0.104384 & -0.5621 & 0.289175 \tabularnewline
4 & -0.164255 & -0.8845 & 0.19184 \tabularnewline
5 & -0.053209 & -0.2865 & 0.38825 \tabularnewline
6 & 0.015799 & 0.0851 & 0.466391 \tabularnewline
7 & 0.056618 & 0.3049 & 0.381311 \tabularnewline
8 & 0.052134 & 0.2807 & 0.390448 \tabularnewline
9 & -0.037633 & -0.2027 & 0.420409 \tabularnewline
10 & 0.086013 & 0.4632 & 0.323341 \tabularnewline
11 & 0.043028 & 0.2317 & 0.409194 \tabularnewline
12 & -0.077222 & -0.4159 & 0.34029 \tabularnewline
13 & -0.110377 & -0.5944 & 0.278427 \tabularnewline
14 & -0.328457 & -1.7688 & 0.043723 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=114522&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]0.1915[/C][C]1.0313[/C][C]0.155472[/C][/ROW]
[ROW][C]2[/C][C]-0.04444[/C][C]-0.2393[/C][C]0.406272[/C][/ROW]
[ROW][C]3[/C][C]-0.104384[/C][C]-0.5621[/C][C]0.289175[/C][/ROW]
[ROW][C]4[/C][C]-0.164255[/C][C]-0.8845[/C][C]0.19184[/C][/ROW]
[ROW][C]5[/C][C]-0.053209[/C][C]-0.2865[/C][C]0.38825[/C][/ROW]
[ROW][C]6[/C][C]0.015799[/C][C]0.0851[/C][C]0.466391[/C][/ROW]
[ROW][C]7[/C][C]0.056618[/C][C]0.3049[/C][C]0.381311[/C][/ROW]
[ROW][C]8[/C][C]0.052134[/C][C]0.2807[/C][C]0.390448[/C][/ROW]
[ROW][C]9[/C][C]-0.037633[/C][C]-0.2027[/C][C]0.420409[/C][/ROW]
[ROW][C]10[/C][C]0.086013[/C][C]0.4632[/C][C]0.323341[/C][/ROW]
[ROW][C]11[/C][C]0.043028[/C][C]0.2317[/C][C]0.409194[/C][/ROW]
[ROW][C]12[/C][C]-0.077222[/C][C]-0.4159[/C][C]0.34029[/C][/ROW]
[ROW][C]13[/C][C]-0.110377[/C][C]-0.5944[/C][C]0.278427[/C][/ROW]
[ROW][C]14[/C][C]-0.328457[/C][C]-1.7688[/C][C]0.043723[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=114522&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=114522&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	0.1915	1.0313	0.155472
2	-0.04444	-0.2393	0.406272
3	-0.104384	-0.5621	0.289175
4	-0.164255	-0.8845	0.19184
5	-0.053209	-0.2865	0.38825
6	0.015799	0.0851	0.466391
7	0.056618	0.3049	0.381311
8	0.052134	0.2807	0.390448
9	-0.037633	-0.2027	0.420409
10	0.086013	0.4632	0.323341
11	0.043028	0.2317	0.409194
12	-0.077222	-0.4159	0.34029
13	-0.110377	-0.5944	0.278427
14	-0.328457	-1.7688	0.043723

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.1915	1.0313	0.155472
2	-0.0842	-0.4534	0.326807
3	-0.082627	-0.445	0.329825
4	-0.137336	-0.7396	0.232751
5	-0.006673	-0.0359	0.48579
6	0.002863	0.0154	0.493903
7	0.027288	0.147	0.442094
8	0.012875	0.0693	0.472599
9	-0.055416	-0.2984	0.383754
10	0.12337	0.6644	0.255852
11	0.01656	0.0892	0.464776
12	-0.079442	-0.4278	0.335975
13	-0.084317	-0.4541	0.326583
14	-0.302394	-1.6284	0.057124

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.1915 & 1.0313 & 0.155472 \tabularnewline
2 & -0.0842 & -0.4534 & 0.326807 \tabularnewline
3 & -0.082627 & -0.445 & 0.329825 \tabularnewline
4 & -0.137336 & -0.7396 & 0.232751 \tabularnewline
5 & -0.006673 & -0.0359 & 0.48579 \tabularnewline
6 & 0.002863 & 0.0154 & 0.493903 \tabularnewline
7 & 0.027288 & 0.147 & 0.442094 \tabularnewline
8 & 0.012875 & 0.0693 & 0.472599 \tabularnewline
9 & -0.055416 & -0.2984 & 0.383754 \tabularnewline
10 & 0.12337 & 0.6644 & 0.255852 \tabularnewline
11 & 0.01656 & 0.0892 & 0.464776 \tabularnewline
12 & -0.079442 & -0.4278 & 0.335975 \tabularnewline
13 & -0.084317 & -0.4541 & 0.326583 \tabularnewline
14 & -0.302394 & -1.6284 & 0.057124 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=114522&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]0.1915[/C][C]1.0313[/C][C]0.155472[/C][/ROW]
[ROW][C]2[/C][C]-0.0842[/C][C]-0.4534[/C][C]0.326807[/C][/ROW]
[ROW][C]3[/C][C]-0.082627[/C][C]-0.445[/C][C]0.329825[/C][/ROW]
[ROW][C]4[/C][C]-0.137336[/C][C]-0.7396[/C][C]0.232751[/C][/ROW]
[ROW][C]5[/C][C]-0.006673[/C][C]-0.0359[/C][C]0.48579[/C][/ROW]
[ROW][C]6[/C][C]0.002863[/C][C]0.0154[/C][C]0.493903[/C][/ROW]
[ROW][C]7[/C][C]0.027288[/C][C]0.147[/C][C]0.442094[/C][/ROW]
[ROW][C]8[/C][C]0.012875[/C][C]0.0693[/C][C]0.472599[/C][/ROW]
[ROW][C]9[/C][C]-0.055416[/C][C]-0.2984[/C][C]0.383754[/C][/ROW]
[ROW][C]10[/C][C]0.12337[/C][C]0.6644[/C][C]0.255852[/C][/ROW]
[ROW][C]11[/C][C]0.01656[/C][C]0.0892[/C][C]0.464776[/C][/ROW]
[ROW][C]12[/C][C]-0.079442[/C][C]-0.4278[/C][C]0.335975[/C][/ROW]
[ROW][C]13[/C][C]-0.084317[/C][C]-0.4541[/C][C]0.326583[/C][/ROW]
[ROW][C]14[/C][C]-0.302394[/C][C]-1.6284[/C][C]0.057124[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=114522&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=114522&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	0.1915	1.0313	0.155472
2	-0.0842	-0.4534	0.326807
3	-0.082627	-0.445	0.329825
4	-0.137336	-0.7396	0.232751
5	-0.006673	-0.0359	0.48579
6	0.002863	0.0154	0.493903
7	0.027288	0.147	0.442094
8	0.012875	0.0693	0.472599
9	-0.055416	-0.2984	0.383754
10	0.12337	0.6644	0.255852
11	0.01656	0.0892	0.464776
12	-0.079442	-0.4278	0.335975
13	-0.084317	-0.4541	0.326583
14	-0.302394	-1.6284	0.057124

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 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ; par8 = ;

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

Description of Statistical Computation

Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code