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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Wed, 21 Dec 2016 15:49:51 +0100

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Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2016/Dec/21/t1482331883gbchxm2e0xm3h73.htm/, Retrieved Mon, 06 May 2024 22:22:58 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=302348, Retrieved Mon, 06 May 2024 22:22:58 +0000

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

-       [(Partial) Autocorrelation Function] [autocorrelatie N2...] [2016-12-21 14:49:51] [6f830dc7e8de22be3233942ffbe3aaba] [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	Big Analytics Cloud Computing Center

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input view raw input (R code)  \tabularnewline
Raw Outputview raw output of R engine  \tabularnewline
Computing time2 seconds \tabularnewline
R ServerBig Analytics Cloud Computing Center \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=302348&T=0

[TABLE]
[ROW]

Summary of computational transaction[/C][/ROW] [ROW]

Raw Input[/C]

view raw input (R code) [/C][/ROW] [ROW]

Raw Output[/C]

view raw output of R engine [/C][/ROW] [ROW]

Computing time[/C]

2 seconds[/C][/ROW] [ROW]

R Server[/C]

Big Analytics Cloud Computing Center[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=302348&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=302348&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	Big Analytics Cloud Computing Center

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.104849	-1.0589	0.146069
2	-0.054488	-0.5503	0.291658
3	-0.08857	-0.8945	0.186576
4	-0.006184	-0.0625	0.475163
5	-0.005057	-0.0511	0.479685
6	0.129036	1.3032	0.09772
7	0.02705	0.2732	0.392629
8	-0.120428	-1.2163	0.113345
9	0.163942	1.6557	0.050425
10	-0.107008	-1.0807	0.141183
11	-0.018697	-0.1888	0.425299
12	-0.117482	-1.1865	0.119088

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.104849 & -1.0589 & 0.146069 \tabularnewline
2 & -0.054488 & -0.5503 & 0.291658 \tabularnewline
3 & -0.08857 & -0.8945 & 0.186576 \tabularnewline
4 & -0.006184 & -0.0625 & 0.475163 \tabularnewline
5 & -0.005057 & -0.0511 & 0.479685 \tabularnewline
6 & 0.129036 & 1.3032 & 0.09772 \tabularnewline
7 & 0.02705 & 0.2732 & 0.392629 \tabularnewline
8 & -0.120428 & -1.2163 & 0.113345 \tabularnewline
9 & 0.163942 & 1.6557 & 0.050425 \tabularnewline
10 & -0.107008 & -1.0807 & 0.141183 \tabularnewline
11 & -0.018697 & -0.1888 & 0.425299 \tabularnewline
12 & -0.117482 & -1.1865 & 0.119088 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=302348&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]-0.104849[/C][C]-1.0589[/C][C]0.146069[/C][/ROW]
[ROW][C]2[/C][C]-0.054488[/C][C]-0.5503[/C][C]0.291658[/C][/ROW]
[ROW][C]3[/C][C]-0.08857[/C][C]-0.8945[/C][C]0.186576[/C][/ROW]
[ROW][C]4[/C][C]-0.006184[/C][C]-0.0625[/C][C]0.475163[/C][/ROW]
[ROW][C]5[/C][C]-0.005057[/C][C]-0.0511[/C][C]0.479685[/C][/ROW]
[ROW][C]6[/C][C]0.129036[/C][C]1.3032[/C][C]0.09772[/C][/ROW]
[ROW][C]7[/C][C]0.02705[/C][C]0.2732[/C][C]0.392629[/C][/ROW]
[ROW][C]8[/C][C]-0.120428[/C][C]-1.2163[/C][C]0.113345[/C][/ROW]
[ROW][C]9[/C][C]0.163942[/C][C]1.6557[/C][C]0.050425[/C][/ROW]
[ROW][C]10[/C][C]-0.107008[/C][C]-1.0807[/C][C]0.141183[/C][/ROW]
[ROW][C]11[/C][C]-0.018697[/C][C]-0.1888[/C][C]0.425299[/C][/ROW]
[ROW][C]12[/C][C]-0.117482[/C][C]-1.1865[/C][C]0.119088[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=302348&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=302348&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	-0.104849	-1.0589	0.146069
2	-0.054488	-0.5503	0.291658
3	-0.08857	-0.8945	0.186576
4	-0.006184	-0.0625	0.475163
5	-0.005057	-0.0511	0.479685
6	0.129036	1.3032	0.09772
7	0.02705	0.2732	0.392629
8	-0.120428	-1.2163	0.113345
9	0.163942	1.6557	0.050425
10	-0.107008	-1.0807	0.141183
11	-0.018697	-0.1888	0.425299
12	-0.117482	-1.1865	0.119088

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.104849	-1.0589	0.146069
2	-0.066209	-0.6687	0.252606
3	-0.103185	-1.0421	0.14991
4	-0.032586	-0.3291	0.371377
5	-0.022782	-0.2301	0.409241
6	0.117149	1.1832	0.11975
7	0.053269	0.538	0.295877
8	-0.099934	-1.0093	0.157615
9	0.174465	1.762	0.040532
10	-0.080262	-0.8106	0.20974
11	-0.036176	-0.3654	0.3578
12	-0.131882	-1.3319	0.092923

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.104849 & -1.0589 & 0.146069 \tabularnewline
2 & -0.066209 & -0.6687 & 0.252606 \tabularnewline
3 & -0.103185 & -1.0421 & 0.14991 \tabularnewline
4 & -0.032586 & -0.3291 & 0.371377 \tabularnewline
5 & -0.022782 & -0.2301 & 0.409241 \tabularnewline
6 & 0.117149 & 1.1832 & 0.11975 \tabularnewline
7 & 0.053269 & 0.538 & 0.295877 \tabularnewline
8 & -0.099934 & -1.0093 & 0.157615 \tabularnewline
9 & 0.174465 & 1.762 & 0.040532 \tabularnewline
10 & -0.080262 & -0.8106 & 0.20974 \tabularnewline
11 & -0.036176 & -0.3654 & 0.3578 \tabularnewline
12 & -0.131882 & -1.3319 & 0.092923 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=302348&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]-0.104849[/C][C]-1.0589[/C][C]0.146069[/C][/ROW]
[ROW][C]2[/C][C]-0.066209[/C][C]-0.6687[/C][C]0.252606[/C][/ROW]
[ROW][C]3[/C][C]-0.103185[/C][C]-1.0421[/C][C]0.14991[/C][/ROW]
[ROW][C]4[/C][C]-0.032586[/C][C]-0.3291[/C][C]0.371377[/C][/ROW]
[ROW][C]5[/C][C]-0.022782[/C][C]-0.2301[/C][C]0.409241[/C][/ROW]
[ROW][C]6[/C][C]0.117149[/C][C]1.1832[/C][C]0.11975[/C][/ROW]
[ROW][C]7[/C][C]0.053269[/C][C]0.538[/C][C]0.295877[/C][/ROW]
[ROW][C]8[/C][C]-0.099934[/C][C]-1.0093[/C][C]0.157615[/C][/ROW]
[ROW][C]9[/C][C]0.174465[/C][C]1.762[/C][C]0.040532[/C][/ROW]
[ROW][C]10[/C][C]-0.080262[/C][C]-0.8106[/C][C]0.20974[/C][/ROW]
[ROW][C]11[/C][C]-0.036176[/C][C]-0.3654[/C][C]0.3578[/C][/ROW]
[ROW][C]12[/C][C]-0.131882[/C][C]-1.3319[/C][C]0.092923[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=302348&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=302348&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	-0.104849	-1.0589	0.146069
2	-0.066209	-0.6687	0.252606
3	-0.103185	-1.0421	0.14991
4	-0.032586	-0.3291	0.371377
5	-0.022782	-0.2301	0.409241
6	0.117149	1.1832	0.11975
7	0.053269	0.538	0.295877
8	-0.099934	-1.0093	0.157615
9	0.174465	1.762	0.040532
10	-0.080262	-0.8106	0.20974
11	-0.036176	-0.3654	0.3578
12	-0.131882	-1.3319	0.092923

Figure 1

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Postscript link

PDF link

Figure 2

PNG link

Postscript link

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Figure 3

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 12 ; 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):

par8 <- ''
par7 <- ''
par6 <- 'White Noise'
par5 <- '12'
par4 <- '0'
par3 <- '1'
par2 <- '1'
par1 <- '12'
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 (par8 != '') par8 <- as.numeric(par8)
x <- na.omit(x)
ox <- x
if (par8 == '') {
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
} else {
x <- log(x,base=par8)
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='picts.png')
op <- par(mfrow=c(2,1))
plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value')
if (par8=='') {
mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
} else {
mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='')
mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='')
}
plot(x,type='l', main=mytitle,xlab='time',ylab='value')
par(op)
dev.off()
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub)
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub)
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,'ACF(k)',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,'PACF(k)',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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Input Parameters & R Code