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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 26 Nov 2009 02:03:22 -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/t1259226292f5bz46eo2n7icon.htm/, Retrieved Sun, 28 Apr 2024 19:28:46 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=59714, Retrieved Sun, 28 Apr 2024 19:28:46 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Basisjaar 2000 = 100

Estimated Impact

166

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 09:03:22] [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	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=59714&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=59714&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59714&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	0.602488	4.6668	9e-06
2	0.402825	3.1203	0.001389
3	0.104399	0.8087	0.210951
4	-0.021613	-0.1674	0.433804
5	-0.220737	-1.7098	0.046233
6	-0.21278	-1.6482	0.052271
7	-0.12054	-0.9337	0.177101
8	-0.099406	-0.77	0.222163
9	-0.160779	-1.2454	0.108916
10	-0.046858	-0.363	0.358954
11	-0.038183	-0.2958	0.384216
12	-0.082689	-0.6405	0.262141
13	-0.133824	-1.0366	0.152041
14	-0.042275	-0.3275	0.37223
15	0.000734	0.0057	0.49774
16	-0.079796	-0.6181	0.269425
17	-0.105684	-0.8186	0.208121

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.602488 & 4.6668 & 9e-06 \tabularnewline
2 & 0.402825 & 3.1203 & 0.001389 \tabularnewline
3 & 0.104399 & 0.8087 & 0.210951 \tabularnewline
4 & -0.021613 & -0.1674 & 0.433804 \tabularnewline
5 & -0.220737 & -1.7098 & 0.046233 \tabularnewline
6 & -0.21278 & -1.6482 & 0.052271 \tabularnewline
7 & -0.12054 & -0.9337 & 0.177101 \tabularnewline
8 & -0.099406 & -0.77 & 0.222163 \tabularnewline
9 & -0.160779 & -1.2454 & 0.108916 \tabularnewline
10 & -0.046858 & -0.363 & 0.358954 \tabularnewline
11 & -0.038183 & -0.2958 & 0.384216 \tabularnewline
12 & -0.082689 & -0.6405 & 0.262141 \tabularnewline
13 & -0.133824 & -1.0366 & 0.152041 \tabularnewline
14 & -0.042275 & -0.3275 & 0.37223 \tabularnewline
15 & 0.000734 & 0.0057 & 0.49774 \tabularnewline
16 & -0.079796 & -0.6181 & 0.269425 \tabularnewline
17 & -0.105684 & -0.8186 & 0.208121 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59714&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]0.602488[/C][C]4.6668[/C][C]9e-06[/C][/ROW]
[ROW][C]2[/C][C]0.402825[/C][C]3.1203[/C][C]0.001389[/C][/ROW]
[ROW][C]3[/C][C]0.104399[/C][C]0.8087[/C][C]0.210951[/C][/ROW]
[ROW][C]4[/C][C]-0.021613[/C][C]-0.1674[/C][C]0.433804[/C][/ROW]
[ROW][C]5[/C][C]-0.220737[/C][C]-1.7098[/C][C]0.046233[/C][/ROW]
[ROW][C]6[/C][C]-0.21278[/C][C]-1.6482[/C][C]0.052271[/C][/ROW]
[ROW][C]7[/C][C]-0.12054[/C][C]-0.9337[/C][C]0.177101[/C][/ROW]
[ROW][C]8[/C][C]-0.099406[/C][C]-0.77[/C][C]0.222163[/C][/ROW]
[ROW][C]9[/C][C]-0.160779[/C][C]-1.2454[/C][C]0.108916[/C][/ROW]
[ROW][C]10[/C][C]-0.046858[/C][C]-0.363[/C][C]0.358954[/C][/ROW]
[ROW][C]11[/C][C]-0.038183[/C][C]-0.2958[/C][C]0.384216[/C][/ROW]
[ROW][C]12[/C][C]-0.082689[/C][C]-0.6405[/C][C]0.262141[/C][/ROW]
[ROW][C]13[/C][C]-0.133824[/C][C]-1.0366[/C][C]0.152041[/C][/ROW]
[ROW][C]14[/C][C]-0.042275[/C][C]-0.3275[/C][C]0.37223[/C][/ROW]
[ROW][C]15[/C][C]0.000734[/C][C]0.0057[/C][C]0.49774[/C][/ROW]
[ROW][C]16[/C][C]-0.079796[/C][C]-0.6181[/C][C]0.269425[/C][/ROW]
[ROW][C]17[/C][C]-0.105684[/C][C]-0.8186[/C][C]0.208121[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59714&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59714&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	0.602488	4.6668	9e-06
2	0.402825	3.1203	0.001389
3	0.104399	0.8087	0.210951
4	-0.021613	-0.1674	0.433804
5	-0.220737	-1.7098	0.046233
6	-0.21278	-1.6482	0.052271
7	-0.12054	-0.9337	0.177101
8	-0.099406	-0.77	0.222163
9	-0.160779	-1.2454	0.108916
10	-0.046858	-0.363	0.358954
11	-0.038183	-0.2958	0.384216
12	-0.082689	-0.6405	0.262141
13	-0.133824	-1.0366	0.152041
14	-0.042275	-0.3275	0.37223
15	0.000734	0.0057	0.49774
16	-0.079796	-0.6181	0.269425
17	-0.105684	-0.8186	0.208121

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.602488	4.6668	9e-06
2	0.062532	0.4844	0.314943
3	-0.253416	-1.963	0.027146
4	-0.020883	-0.1618	0.43602
5	-0.202931	-1.5719	0.060617
6	0.037171	0.2879	0.387197
7	0.161405	1.2502	0.108034
8	-0.145511	-1.1271	0.132089
9	-0.21075	-1.6325	0.05391
10	0.198958	1.5411	0.064272
11	-0.058024	-0.4495	0.327363
12	-0.178626	-1.3836	0.085799
13	-0.00843	-0.0653	0.474076
14	0.068853	0.5333	0.297886
15	0.033585	0.2602	0.397819
16	-0.182339	-1.4124	0.0815
17	-0.146011	-1.131	0.131279

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.602488 & 4.6668 & 9e-06 \tabularnewline
2 & 0.062532 & 0.4844 & 0.314943 \tabularnewline
3 & -0.253416 & -1.963 & 0.027146 \tabularnewline
4 & -0.020883 & -0.1618 & 0.43602 \tabularnewline
5 & -0.202931 & -1.5719 & 0.060617 \tabularnewline
6 & 0.037171 & 0.2879 & 0.387197 \tabularnewline
7 & 0.161405 & 1.2502 & 0.108034 \tabularnewline
8 & -0.145511 & -1.1271 & 0.132089 \tabularnewline
9 & -0.21075 & -1.6325 & 0.05391 \tabularnewline
10 & 0.198958 & 1.5411 & 0.064272 \tabularnewline
11 & -0.058024 & -0.4495 & 0.327363 \tabularnewline
12 & -0.178626 & -1.3836 & 0.085799 \tabularnewline
13 & -0.00843 & -0.0653 & 0.474076 \tabularnewline
14 & 0.068853 & 0.5333 & 0.297886 \tabularnewline
15 & 0.033585 & 0.2602 & 0.397819 \tabularnewline
16 & -0.182339 & -1.4124 & 0.0815 \tabularnewline
17 & -0.146011 & -1.131 & 0.131279 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59714&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]0.602488[/C][C]4.6668[/C][C]9e-06[/C][/ROW]
[ROW][C]2[/C][C]0.062532[/C][C]0.4844[/C][C]0.314943[/C][/ROW]
[ROW][C]3[/C][C]-0.253416[/C][C]-1.963[/C][C]0.027146[/C][/ROW]
[ROW][C]4[/C][C]-0.020883[/C][C]-0.1618[/C][C]0.43602[/C][/ROW]
[ROW][C]5[/C][C]-0.202931[/C][C]-1.5719[/C][C]0.060617[/C][/ROW]
[ROW][C]6[/C][C]0.037171[/C][C]0.2879[/C][C]0.387197[/C][/ROW]
[ROW][C]7[/C][C]0.161405[/C][C]1.2502[/C][C]0.108034[/C][/ROW]
[ROW][C]8[/C][C]-0.145511[/C][C]-1.1271[/C][C]0.132089[/C][/ROW]
[ROW][C]9[/C][C]-0.21075[/C][C]-1.6325[/C][C]0.05391[/C][/ROW]
[ROW][C]10[/C][C]0.198958[/C][C]1.5411[/C][C]0.064272[/C][/ROW]
[ROW][C]11[/C][C]-0.058024[/C][C]-0.4495[/C][C]0.327363[/C][/ROW]
[ROW][C]12[/C][C]-0.178626[/C][C]-1.3836[/C][C]0.085799[/C][/ROW]
[ROW][C]13[/C][C]-0.00843[/C][C]-0.0653[/C][C]0.474076[/C][/ROW]
[ROW][C]14[/C][C]0.068853[/C][C]0.5333[/C][C]0.297886[/C][/ROW]
[ROW][C]15[/C][C]0.033585[/C][C]0.2602[/C][C]0.397819[/C][/ROW]
[ROW][C]16[/C][C]-0.182339[/C][C]-1.4124[/C][C]0.0815[/C][/ROW]
[ROW][C]17[/C][C]-0.146011[/C][C]-1.131[/C][C]0.131279[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59714&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59714&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	0.602488	4.6668	9e-06
2	0.062532	0.4844	0.314943
3	-0.253416	-1.963	0.027146
4	-0.020883	-0.1618	0.43602
5	-0.202931	-1.5719	0.060617
6	0.037171	0.2879	0.387197
7	0.161405	1.2502	0.108034
8	-0.145511	-1.1271	0.132089
9	-0.21075	-1.6325	0.05391
10	0.198958	1.5411	0.064272
11	-0.058024	-0.4495	0.327363
12	-0.178626	-1.3836	0.085799
13	-0.00843	-0.0653	0.474076
14	0.068853	0.5333	0.297886
15	0.033585	0.2602	0.397819
16	-0.182339	-1.4124	0.0815
17	-0.146011	-1.131	0.131279

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 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; 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