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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 26 Nov 2009 02:11:20 -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/t1259226953hxfvqqgdjga97y4.htm/, Retrieved Sun, 28 Apr 2024 19:07:57 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=59720, Retrieved Sun, 28 Apr 2024 19:07:57 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Basisjaar 2000 = 100

Estimated Impact

167

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 09:11:20] [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=59720&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=59720&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59720&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	0.578676	4.0092	0.000106
2	0.333522	2.3107	0.012595
3	0.155353	1.0763	0.143583
4	0.069655	0.4826	0.315792
5	-0.142691	-0.9886	0.16391
6	-0.118092	-0.8182	0.208654
7	-0.023847	-0.1652	0.434732
8	-0.081861	-0.5672	0.286627
9	-0.172742	-1.1968	0.118632
10	-0.068238	-0.4728	0.319262
11	-0.077173	-0.5347	0.297673
12	-0.277188	-1.9204	0.030379
13	-0.241165	-1.6708	0.050631
14	-0.114315	-0.792	0.216129
15	-0.027771	-0.1924	0.424118
16	-0.07665	-0.531	0.298917
17	-0.033479	-0.232	0.408781

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.578676 & 4.0092 & 0.000106 \tabularnewline
2 & 0.333522 & 2.3107 & 0.012595 \tabularnewline
3 & 0.155353 & 1.0763 & 0.143583 \tabularnewline
4 & 0.069655 & 0.4826 & 0.315792 \tabularnewline
5 & -0.142691 & -0.9886 & 0.16391 \tabularnewline
6 & -0.118092 & -0.8182 & 0.208654 \tabularnewline
7 & -0.023847 & -0.1652 & 0.434732 \tabularnewline
8 & -0.081861 & -0.5672 & 0.286627 \tabularnewline
9 & -0.172742 & -1.1968 & 0.118632 \tabularnewline
10 & -0.068238 & -0.4728 & 0.319262 \tabularnewline
11 & -0.077173 & -0.5347 & 0.297673 \tabularnewline
12 & -0.277188 & -1.9204 & 0.030379 \tabularnewline
13 & -0.241165 & -1.6708 & 0.050631 \tabularnewline
14 & -0.114315 & -0.792 & 0.216129 \tabularnewline
15 & -0.027771 & -0.1924 & 0.424118 \tabularnewline
16 & -0.07665 & -0.531 & 0.298917 \tabularnewline
17 & -0.033479 & -0.232 & 0.408781 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59720&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]0.578676[/C][C]4.0092[/C][C]0.000106[/C][/ROW]
[ROW][C]2[/C][C]0.333522[/C][C]2.3107[/C][C]0.012595[/C][/ROW]
[ROW][C]3[/C][C]0.155353[/C][C]1.0763[/C][C]0.143583[/C][/ROW]
[ROW][C]4[/C][C]0.069655[/C][C]0.4826[/C][C]0.315792[/C][/ROW]
[ROW][C]5[/C][C]-0.142691[/C][C]-0.9886[/C][C]0.16391[/C][/ROW]
[ROW][C]6[/C][C]-0.118092[/C][C]-0.8182[/C][C]0.208654[/C][/ROW]
[ROW][C]7[/C][C]-0.023847[/C][C]-0.1652[/C][C]0.434732[/C][/ROW]
[ROW][C]8[/C][C]-0.081861[/C][C]-0.5672[/C][C]0.286627[/C][/ROW]
[ROW][C]9[/C][C]-0.172742[/C][C]-1.1968[/C][C]0.118632[/C][/ROW]
[ROW][C]10[/C][C]-0.068238[/C][C]-0.4728[/C][C]0.319262[/C][/ROW]
[ROW][C]11[/C][C]-0.077173[/C][C]-0.5347[/C][C]0.297673[/C][/ROW]
[ROW][C]12[/C][C]-0.277188[/C][C]-1.9204[/C][C]0.030379[/C][/ROW]
[ROW][C]13[/C][C]-0.241165[/C][C]-1.6708[/C][C]0.050631[/C][/ROW]
[ROW][C]14[/C][C]-0.114315[/C][C]-0.792[/C][C]0.216129[/C][/ROW]
[ROW][C]15[/C][C]-0.027771[/C][C]-0.1924[/C][C]0.424118[/C][/ROW]
[ROW][C]16[/C][C]-0.07665[/C][C]-0.531[/C][C]0.298917[/C][/ROW]
[ROW][C]17[/C][C]-0.033479[/C][C]-0.232[/C][C]0.408781[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59720&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59720&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	0.578676	4.0092	0.000106
2	0.333522	2.3107	0.012595
3	0.155353	1.0763	0.143583
4	0.069655	0.4826	0.315792
5	-0.142691	-0.9886	0.16391
6	-0.118092	-0.8182	0.208654
7	-0.023847	-0.1652	0.434732
8	-0.081861	-0.5672	0.286627
9	-0.172742	-1.1968	0.118632
10	-0.068238	-0.4728	0.319262
11	-0.077173	-0.5347	0.297673
12	-0.277188	-1.9204	0.030379
13	-0.241165	-1.6708	0.050631
14	-0.114315	-0.792	0.216129
15	-0.027771	-0.1924	0.424118
16	-0.07665	-0.531	0.298917
17	-0.033479	-0.232	0.408781

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.578676	4.0092	0.000106
2	-0.002021	-0.014	0.494443
3	-0.05543	-0.384	0.351325
4	0.002447	0.017	0.493272
5	-0.256687	-1.7784	0.040838
6	0.112007	0.776	0.220775
7	0.11473	0.7949	0.2153
8	-0.18785	-1.3015	0.099656
9	-0.103982	-0.7204	0.237384
10	0.127775	0.8853	0.190217
11	-0.123348	-0.8546	0.198515
12	-0.302178	-2.0935	0.020804
13	0.127409	0.8827	0.190894
14	0.030565	0.2118	0.416595
15	0.041568	0.288	0.387296
16	-0.070573	-0.4889	0.313555
17	-0.174551	-1.2093	0.11623

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.578676 & 4.0092 & 0.000106 \tabularnewline
2 & -0.002021 & -0.014 & 0.494443 \tabularnewline
3 & -0.05543 & -0.384 & 0.351325 \tabularnewline
4 & 0.002447 & 0.017 & 0.493272 \tabularnewline
5 & -0.256687 & -1.7784 & 0.040838 \tabularnewline
6 & 0.112007 & 0.776 & 0.220775 \tabularnewline
7 & 0.11473 & 0.7949 & 0.2153 \tabularnewline
8 & -0.18785 & -1.3015 & 0.099656 \tabularnewline
9 & -0.103982 & -0.7204 & 0.237384 \tabularnewline
10 & 0.127775 & 0.8853 & 0.190217 \tabularnewline
11 & -0.123348 & -0.8546 & 0.198515 \tabularnewline
12 & -0.302178 & -2.0935 & 0.020804 \tabularnewline
13 & 0.127409 & 0.8827 & 0.190894 \tabularnewline
14 & 0.030565 & 0.2118 & 0.416595 \tabularnewline
15 & 0.041568 & 0.288 & 0.387296 \tabularnewline
16 & -0.070573 & -0.4889 & 0.313555 \tabularnewline
17 & -0.174551 & -1.2093 & 0.11623 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59720&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]0.578676[/C][C]4.0092[/C][C]0.000106[/C][/ROW]
[ROW][C]2[/C][C]-0.002021[/C][C]-0.014[/C][C]0.494443[/C][/ROW]
[ROW][C]3[/C][C]-0.05543[/C][C]-0.384[/C][C]0.351325[/C][/ROW]
[ROW][C]4[/C][C]0.002447[/C][C]0.017[/C][C]0.493272[/C][/ROW]
[ROW][C]5[/C][C]-0.256687[/C][C]-1.7784[/C][C]0.040838[/C][/ROW]
[ROW][C]6[/C][C]0.112007[/C][C]0.776[/C][C]0.220775[/C][/ROW]
[ROW][C]7[/C][C]0.11473[/C][C]0.7949[/C][C]0.2153[/C][/ROW]
[ROW][C]8[/C][C]-0.18785[/C][C]-1.3015[/C][C]0.099656[/C][/ROW]
[ROW][C]9[/C][C]-0.103982[/C][C]-0.7204[/C][C]0.237384[/C][/ROW]
[ROW][C]10[/C][C]0.127775[/C][C]0.8853[/C][C]0.190217[/C][/ROW]
[ROW][C]11[/C][C]-0.123348[/C][C]-0.8546[/C][C]0.198515[/C][/ROW]
[ROW][C]12[/C][C]-0.302178[/C][C]-2.0935[/C][C]0.020804[/C][/ROW]
[ROW][C]13[/C][C]0.127409[/C][C]0.8827[/C][C]0.190894[/C][/ROW]
[ROW][C]14[/C][C]0.030565[/C][C]0.2118[/C][C]0.416595[/C][/ROW]
[ROW][C]15[/C][C]0.041568[/C][C]0.288[/C][C]0.387296[/C][/ROW]
[ROW][C]16[/C][C]-0.070573[/C][C]-0.4889[/C][C]0.313555[/C][/ROW]
[ROW][C]17[/C][C]-0.174551[/C][C]-1.2093[/C][C]0.11623[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59720&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59720&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	0.578676	4.0092	0.000106
2	-0.002021	-0.014	0.494443
3	-0.05543	-0.384	0.351325
4	0.002447	0.017	0.493272
5	-0.256687	-1.7784	0.040838
6	0.112007	0.776	0.220775
7	0.11473	0.7949	0.2153
8	-0.18785	-1.3015	0.099656
9	-0.103982	-0.7204	0.237384
10	0.127775	0.8853	0.190217
11	-0.123348	-0.8546	0.198515
12	-0.302178	-2.0935	0.020804
13	0.127409	0.8827	0.190894
14	0.030565	0.2118	0.416595
15	0.041568	0.288	0.387296
16	-0.070573	-0.4889	0.313555
17	-0.174551	-1.2093	0.11623

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 = MA ; par7 = 0.95 ;

Parameters (R input):

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

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code