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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 26 Nov 2009 02:58:17 -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/t1259229619frqul565iv5al8u.htm/, Retrieved Sun, 28 Apr 2024 23:43:44 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=59754, Retrieved Sun, 28 Apr 2024 23:43:44 +0000

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No (this computation is public)

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 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] [] [2009-11-26 09:58:17] [faa1ded5041cd5a0e2be04844f08502a] [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=59754&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=59754&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59754&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	0.820001	6.4044	0
2	0.776581	6.0653	0
3	0.718636	5.6127	0
4	0.695823	5.4346	1e-06
5	0.625958	4.8889	4e-06
6	0.553387	4.3221	2.9e-05
7	0.482311	3.767	0.000187
8	0.466712	3.6451	0.000277
9	0.418899	3.2717	0.000881
10	0.391309	3.0562	0.001662
11	0.378387	2.9553	0.002217
12	0.387012	3.0227	0.00183
13	0.313835	2.4511	0.008561
14	0.292276	2.2827	0.012972
15	0.236645	1.8483	0.034707
16	0.177033	1.3827	0.085903
17	0.108129	0.8445	0.20084

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.820001 & 6.4044 & 0 \tabularnewline
2 & 0.776581 & 6.0653 & 0 \tabularnewline
3 & 0.718636 & 5.6127 & 0 \tabularnewline
4 & 0.695823 & 5.4346 & 1e-06 \tabularnewline
5 & 0.625958 & 4.8889 & 4e-06 \tabularnewline
6 & 0.553387 & 4.3221 & 2.9e-05 \tabularnewline
7 & 0.482311 & 3.767 & 0.000187 \tabularnewline
8 & 0.466712 & 3.6451 & 0.000277 \tabularnewline
9 & 0.418899 & 3.2717 & 0.000881 \tabularnewline
10 & 0.391309 & 3.0562 & 0.001662 \tabularnewline
11 & 0.378387 & 2.9553 & 0.002217 \tabularnewline
12 & 0.387012 & 3.0227 & 0.00183 \tabularnewline
13 & 0.313835 & 2.4511 & 0.008561 \tabularnewline
14 & 0.292276 & 2.2827 & 0.012972 \tabularnewline
15 & 0.236645 & 1.8483 & 0.034707 \tabularnewline
16 & 0.177033 & 1.3827 & 0.085903 \tabularnewline
17 & 0.108129 & 0.8445 & 0.20084 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59754&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]0.820001[/C][C]6.4044[/C][C]0[/C][/ROW]
[ROW][C]2[/C][C]0.776581[/C][C]6.0653[/C][C]0[/C][/ROW]
[ROW][C]3[/C][C]0.718636[/C][C]5.6127[/C][C]0[/C][/ROW]
[ROW][C]4[/C][C]0.695823[/C][C]5.4346[/C][C]1e-06[/C][/ROW]
[ROW][C]5[/C][C]0.625958[/C][C]4.8889[/C][C]4e-06[/C][/ROW]
[ROW][C]6[/C][C]0.553387[/C][C]4.3221[/C][C]2.9e-05[/C][/ROW]
[ROW][C]7[/C][C]0.482311[/C][C]3.767[/C][C]0.000187[/C][/ROW]
[ROW][C]8[/C][C]0.466712[/C][C]3.6451[/C][C]0.000277[/C][/ROW]
[ROW][C]9[/C][C]0.418899[/C][C]3.2717[/C][C]0.000881[/C][/ROW]
[ROW][C]10[/C][C]0.391309[/C][C]3.0562[/C][C]0.001662[/C][/ROW]
[ROW][C]11[/C][C]0.378387[/C][C]2.9553[/C][C]0.002217[/C][/ROW]
[ROW][C]12[/C][C]0.387012[/C][C]3.0227[/C][C]0.00183[/C][/ROW]
[ROW][C]13[/C][C]0.313835[/C][C]2.4511[/C][C]0.008561[/C][/ROW]
[ROW][C]14[/C][C]0.292276[/C][C]2.2827[/C][C]0.012972[/C][/ROW]
[ROW][C]15[/C][C]0.236645[/C][C]1.8483[/C][C]0.034707[/C][/ROW]
[ROW][C]16[/C][C]0.177033[/C][C]1.3827[/C][C]0.085903[/C][/ROW]
[ROW][C]17[/C][C]0.108129[/C][C]0.8445[/C][C]0.20084[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59754&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59754&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	0.820001	6.4044	0
2	0.776581	6.0653	0
3	0.718636	5.6127	0
4	0.695823	5.4346	1e-06
5	0.625958	4.8889	4e-06
6	0.553387	4.3221	2.9e-05
7	0.482311	3.767	0.000187
8	0.466712	3.6451	0.000277
9	0.418899	3.2717	0.000881
10	0.391309	3.0562	0.001662
11	0.378387	2.9553	0.002217
12	0.387012	3.0227	0.00183
13	0.313835	2.4511	0.008561
14	0.292276	2.2827	0.012972
15	0.236645	1.8483	0.034707
16	0.177033	1.3827	0.085903
17	0.108129	0.8445	0.20084

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.820001	6.4044	0
2	0.318011	2.4837	0.007882
3	0.080069	0.6254	0.267033
4	0.117551	0.9181	0.181091
5	-0.076318	-0.5961	0.276669
6	-0.120635	-0.9422	0.174906
7	-0.089393	-0.6982	0.243859
8	0.105038	0.8204	0.207598
9	0.008228	0.0643	0.474486
10	0.048027	0.3751	0.354444
11	0.107647	0.8407	0.201886
12	0.101996	0.7966	0.214383
13	-0.224102	-1.7503	0.042548
14	-0.05425	-0.4237	0.336635
15	-0.113183	-0.884	0.190088
16	-0.195868	-1.5298	0.065621
17	-0.090939	-0.7103	0.240126

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.820001 & 6.4044 & 0 \tabularnewline
2 & 0.318011 & 2.4837 & 0.007882 \tabularnewline
3 & 0.080069 & 0.6254 & 0.267033 \tabularnewline
4 & 0.117551 & 0.9181 & 0.181091 \tabularnewline
5 & -0.076318 & -0.5961 & 0.276669 \tabularnewline
6 & -0.120635 & -0.9422 & 0.174906 \tabularnewline
7 & -0.089393 & -0.6982 & 0.243859 \tabularnewline
8 & 0.105038 & 0.8204 & 0.207598 \tabularnewline
9 & 0.008228 & 0.0643 & 0.474486 \tabularnewline
10 & 0.048027 & 0.3751 & 0.354444 \tabularnewline
11 & 0.107647 & 0.8407 & 0.201886 \tabularnewline
12 & 0.101996 & 0.7966 & 0.214383 \tabularnewline
13 & -0.224102 & -1.7503 & 0.042548 \tabularnewline
14 & -0.05425 & -0.4237 & 0.336635 \tabularnewline
15 & -0.113183 & -0.884 & 0.190088 \tabularnewline
16 & -0.195868 & -1.5298 & 0.065621 \tabularnewline
17 & -0.090939 & -0.7103 & 0.240126 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=59754&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]0.820001[/C][C]6.4044[/C][C]0[/C][/ROW]
[ROW][C]2[/C][C]0.318011[/C][C]2.4837[/C][C]0.007882[/C][/ROW]
[ROW][C]3[/C][C]0.080069[/C][C]0.6254[/C][C]0.267033[/C][/ROW]
[ROW][C]4[/C][C]0.117551[/C][C]0.9181[/C][C]0.181091[/C][/ROW]
[ROW][C]5[/C][C]-0.076318[/C][C]-0.5961[/C][C]0.276669[/C][/ROW]
[ROW][C]6[/C][C]-0.120635[/C][C]-0.9422[/C][C]0.174906[/C][/ROW]
[ROW][C]7[/C][C]-0.089393[/C][C]-0.6982[/C][C]0.243859[/C][/ROW]
[ROW][C]8[/C][C]0.105038[/C][C]0.8204[/C][C]0.207598[/C][/ROW]
[ROW][C]9[/C][C]0.008228[/C][C]0.0643[/C][C]0.474486[/C][/ROW]
[ROW][C]10[/C][C]0.048027[/C][C]0.3751[/C][C]0.354444[/C][/ROW]
[ROW][C]11[/C][C]0.107647[/C][C]0.8407[/C][C]0.201886[/C][/ROW]
[ROW][C]12[/C][C]0.101996[/C][C]0.7966[/C][C]0.214383[/C][/ROW]
[ROW][C]13[/C][C]-0.224102[/C][C]-1.7503[/C][C]0.042548[/C][/ROW]
[ROW][C]14[/C][C]-0.05425[/C][C]-0.4237[/C][C]0.336635[/C][/ROW]
[ROW][C]15[/C][C]-0.113183[/C][C]-0.884[/C][C]0.190088[/C][/ROW]
[ROW][C]16[/C][C]-0.195868[/C][C]-1.5298[/C][C]0.065621[/C][/ROW]
[ROW][C]17[/C][C]-0.090939[/C][C]-0.7103[/C][C]0.240126[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=59754&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=59754&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	0.820001	6.4044	0
2	0.318011	2.4837	0.007882
3	0.080069	0.6254	0.267033
4	0.117551	0.9181	0.181091
5	-0.076318	-0.5961	0.276669
6	-0.120635	-0.9422	0.174906
7	-0.089393	-0.6982	0.243859
8	0.105038	0.8204	0.207598
9	0.008228	0.0643	0.474486
10	0.048027	0.3751	0.354444
11	0.107647	0.8407	0.201886
12	0.101996	0.7966	0.214383
13	-0.224102	-1.7503	0.042548
14	-0.05425	-0.4237	0.336635
15	-0.113183	-0.884	0.190088
16	-0.195868	-1.5298	0.065621
17	-0.090939	-0.7103	0.240126

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code