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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 26 Nov 2009 01:31:42 -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/2009/Nov/26/t1259224363bojyt8yjmxy2zzo.htm/, Retrieved Mon, 29 Apr 2024 07:29:05 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=59693, Retrieved Mon, 29 Apr 2024 07:29:05 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Basisjaar 2000 = 100

Estimated Impact

155

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

-     [Univariate Explorative Data Analysis] [Run Sequence gebo...] [2008-12-12 13:32:37] [76963dc1903f0f612b6153510a3818cf]
- R  D  [Univariate Explorative Data Analysis] [Run Sequence gebo...] [2008-12-17 12:14:40] [76963dc1903f0f612b6153510a3818cf]
-         [Univariate Explorative Data Analysis] [Run Sequence Plot...] [2008-12-22 18:19:51] [1ce0d16c8f4225c977b42c8fa93bc163]
- RMP       [(Partial) Autocorrelation Function] [Identifying Integ...] [2009-11-22 12:16:10] [b98453cac15ba1066b407e146608df68]
-   PD          [(Partial) Autocorrelation Function] [Grondstofprijsind...] [2009-11-26 08:31:42] [d41d8cd98f00b204e9800998ecf8427e] [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	4 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 & 4 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59693&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]4 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=59693&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59693&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	4 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.273688	-1.6192	0.057195
2	-0.198423	-1.1739	0.124183
3	-0.009467	-0.056	0.477826
4	0.177888	1.0524	0.149915
5	-0.255346	-1.5106	0.069928
6	-0.07341	-0.4343	0.333368
7	0.330183	1.9534	0.029402
8	-0.111839	-0.6616	0.256265
9	-0.207238	-1.226	0.114185
10	0.09243	0.5468	0.293985
11	0.3712	2.196	0.017403
12	-0.420839	-2.4897	0.008842
13	-0.023553	-0.1393	0.444989
14	0.06912	0.4089	0.342546
15	0.071104	0.4207	0.338289
16	-0.08699	-0.5146	0.30502
17	0.030042	0.1777	0.42998

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.273688 & -1.6192 & 0.057195 \tabularnewline
2 & -0.198423 & -1.1739 & 0.124183 \tabularnewline
3 & -0.009467 & -0.056 & 0.477826 \tabularnewline
4 & 0.177888 & 1.0524 & 0.149915 \tabularnewline
5 & -0.255346 & -1.5106 & 0.069928 \tabularnewline
6 & -0.07341 & -0.4343 & 0.333368 \tabularnewline
7 & 0.330183 & 1.9534 & 0.029402 \tabularnewline
8 & -0.111839 & -0.6616 & 0.256265 \tabularnewline
9 & -0.207238 & -1.226 & 0.114185 \tabularnewline
10 & 0.09243 & 0.5468 & 0.293985 \tabularnewline
11 & 0.3712 & 2.196 & 0.017403 \tabularnewline
12 & -0.420839 & -2.4897 & 0.008842 \tabularnewline
13 & -0.023553 & -0.1393 & 0.444989 \tabularnewline
14 & 0.06912 & 0.4089 & 0.342546 \tabularnewline
15 & 0.071104 & 0.4207 & 0.338289 \tabularnewline
16 & -0.08699 & -0.5146 & 0.30502 \tabularnewline
17 & 0.030042 & 0.1777 & 0.42998 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59693&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]-0.273688[/C][C]-1.6192[/C][C]0.057195[/C][/ROW]
[ROW][C]2[/C][C]-0.198423[/C][C]-1.1739[/C][C]0.124183[/C][/ROW]
[ROW][C]3[/C][C]-0.009467[/C][C]-0.056[/C][C]0.477826[/C][/ROW]
[ROW][C]4[/C][C]0.177888[/C][C]1.0524[/C][C]0.149915[/C][/ROW]
[ROW][C]5[/C][C]-0.255346[/C][C]-1.5106[/C][C]0.069928[/C][/ROW]
[ROW][C]6[/C][C]-0.07341[/C][C]-0.4343[/C][C]0.333368[/C][/ROW]
[ROW][C]7[/C][C]0.330183[/C][C]1.9534[/C][C]0.029402[/C][/ROW]
[ROW][C]8[/C][C]-0.111839[/C][C]-0.6616[/C][C]0.256265[/C][/ROW]
[ROW][C]9[/C][C]-0.207238[/C][C]-1.226[/C][C]0.114185[/C][/ROW]
[ROW][C]10[/C][C]0.09243[/C][C]0.5468[/C][C]0.293985[/C][/ROW]
[ROW][C]11[/C][C]0.3712[/C][C]2.196[/C][C]0.017403[/C][/ROW]
[ROW][C]12[/C][C]-0.420839[/C][C]-2.4897[/C][C]0.008842[/C][/ROW]
[ROW][C]13[/C][C]-0.023553[/C][C]-0.1393[/C][C]0.444989[/C][/ROW]
[ROW][C]14[/C][C]0.06912[/C][C]0.4089[/C][C]0.342546[/C][/ROW]
[ROW][C]15[/C][C]0.071104[/C][C]0.4207[/C][C]0.338289[/C][/ROW]
[ROW][C]16[/C][C]-0.08699[/C][C]-0.5146[/C][C]0.30502[/C][/ROW]
[ROW][C]17[/C][C]0.030042[/C][C]0.1777[/C][C]0.42998[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59693&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59693&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	-0.273688	-1.6192	0.057195
2	-0.198423	-1.1739	0.124183
3	-0.009467	-0.056	0.477826
4	0.177888	1.0524	0.149915
5	-0.255346	-1.5106	0.069928
6	-0.07341	-0.4343	0.333368
7	0.330183	1.9534	0.029402
8	-0.111839	-0.6616	0.256265
9	-0.207238	-1.226	0.114185
10	0.09243	0.5468	0.293985
11	0.3712	2.196	0.017403
12	-0.420839	-2.4897	0.008842
13	-0.023553	-0.1393	0.444989
14	0.06912	0.4089	0.342546
15	0.071104	0.4207	0.338289
16	-0.08699	-0.5146	0.30502
17	0.030042	0.1777	0.42998

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.273688	-1.6192	0.057195
2	-0.29546	-1.748	0.044619
3	-0.190307	-1.1259	0.133941
4	0.06132	0.3628	0.359478
5	-0.251086	-1.4854	0.073189
6	-0.239895	-1.4192	0.082337
7	0.164749	0.9747	0.168207
8	-0.076498	-0.4526	0.326826
9	-0.178483	-1.0559	0.14912
10	-0.056651	-0.3352	0.369756
11	0.294997	1.7452	0.04486
12	-0.203344	-1.203	0.118525
13	-0.083526	-0.4941	0.312146
14	-0.183764	-1.0872	0.142198
15	-0.092491	-0.5472	0.293863
16	0.139596	0.8259	0.207239
17	-0.117521	-0.6953	0.24574

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.273688 & -1.6192 & 0.057195 \tabularnewline
2 & -0.29546 & -1.748 & 0.044619 \tabularnewline
3 & -0.190307 & -1.1259 & 0.133941 \tabularnewline
4 & 0.06132 & 0.3628 & 0.359478 \tabularnewline
5 & -0.251086 & -1.4854 & 0.073189 \tabularnewline
6 & -0.239895 & -1.4192 & 0.082337 \tabularnewline
7 & 0.164749 & 0.9747 & 0.168207 \tabularnewline
8 & -0.076498 & -0.4526 & 0.326826 \tabularnewline
9 & -0.178483 & -1.0559 & 0.14912 \tabularnewline
10 & -0.056651 & -0.3352 & 0.369756 \tabularnewline
11 & 0.294997 & 1.7452 & 0.04486 \tabularnewline
12 & -0.203344 & -1.203 & 0.118525 \tabularnewline
13 & -0.083526 & -0.4941 & 0.312146 \tabularnewline
14 & -0.183764 & -1.0872 & 0.142198 \tabularnewline
15 & -0.092491 & -0.5472 & 0.293863 \tabularnewline
16 & 0.139596 & 0.8259 & 0.207239 \tabularnewline
17 & -0.117521 & -0.6953 & 0.24574 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59693&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]-0.273688[/C][C]-1.6192[/C][C]0.057195[/C][/ROW]
[ROW][C]2[/C][C]-0.29546[/C][C]-1.748[/C][C]0.044619[/C][/ROW]
[ROW][C]3[/C][C]-0.190307[/C][C]-1.1259[/C][C]0.133941[/C][/ROW]
[ROW][C]4[/C][C]0.06132[/C][C]0.3628[/C][C]0.359478[/C][/ROW]
[ROW][C]5[/C][C]-0.251086[/C][C]-1.4854[/C][C]0.073189[/C][/ROW]
[ROW][C]6[/C][C]-0.239895[/C][C]-1.4192[/C][C]0.082337[/C][/ROW]
[ROW][C]7[/C][C]0.164749[/C][C]0.9747[/C][C]0.168207[/C][/ROW]
[ROW][C]8[/C][C]-0.076498[/C][C]-0.4526[/C][C]0.326826[/C][/ROW]
[ROW][C]9[/C][C]-0.178483[/C][C]-1.0559[/C][C]0.14912[/C][/ROW]
[ROW][C]10[/C][C]-0.056651[/C][C]-0.3352[/C][C]0.369756[/C][/ROW]
[ROW][C]11[/C][C]0.294997[/C][C]1.7452[/C][C]0.04486[/C][/ROW]
[ROW][C]12[/C][C]-0.203344[/C][C]-1.203[/C][C]0.118525[/C][/ROW]
[ROW][C]13[/C][C]-0.083526[/C][C]-0.4941[/C][C]0.312146[/C][/ROW]
[ROW][C]14[/C][C]-0.183764[/C][C]-1.0872[/C][C]0.142198[/C][/ROW]
[ROW][C]15[/C][C]-0.092491[/C][C]-0.5472[/C][C]0.293863[/C][/ROW]
[ROW][C]16[/C][C]0.139596[/C][C]0.8259[/C][C]0.207239[/C][/ROW]
[ROW][C]17[/C][C]-0.117521[/C][C]-0.6953[/C][C]0.24574[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59693&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59693&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	-0.273688	-1.6192	0.057195
2	-0.29546	-1.748	0.044619
3	-0.190307	-1.1259	0.133941
4	0.06132	0.3628	0.359478
5	-0.251086	-1.4854	0.073189
6	-0.239895	-1.4192	0.082337
7	0.164749	0.9747	0.168207
8	-0.076498	-0.4526	0.326826
9	-0.178483	-1.0559	0.14912
10	-0.056651	-0.3352	0.369756
11	0.294997	1.7452	0.04486
12	-0.203344	-1.203	0.118525
13	-0.083526	-0.4941	0.312146
14	-0.183764	-1.0872	0.142198
15	-0.092491	-0.5472	0.293863
16	0.139596	0.8259	0.207239
17	-0.117521	-0.6953	0.24574

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 2 ; par4 = 2 ; 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

Description of Statistical Computation

Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code