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Author's title

Author

*The author of this computation has been verified*

R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Sun, 14 Dec 2008 02:43:57 -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/2008/Dec/14/t1229247883fowv0xi904xmmh0.htm/, Retrieved Wed, 15 May 2024 15:01:58 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=33252, Retrieved Wed, 15 May 2024 15:01:58 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

218

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

-     [Univariate Data Series] [Paper scaterplot ...] [2008-12-12 11:08:24] [b6c777429d07a05453509ef079833861]
-    D  [Univariate Data Series] [paper - scatterpl...] [2008-12-12 15:18:44] [b6c777429d07a05453509ef079833861]
- RMPD      [(Partial) Autocorrelation Function] [paper - inflatie ...] [2008-12-14 09:43:57] [1828943283e41f5e3270e2e73d6433b4] [Current]

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Dataseries X:

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Histogram

Boxplots

2.9
2.9
2.9
1.4
1.1
1.9
2.8
1.4
0.7
-0.8
-3.1
0.1
1
1.9
-0.5
1.5
3.9
1.9
2.6
1.7
1.4
2.8
0.5
1
1.5
1.8
2.7
3
-0.3
1.1
1.7
1.6
3
3.3
6.7
5.6
6
4.8
5.9
4.3
3.7
5.6
1.7
3.2
3.6
1.7
0.5
2.1
1.5
2.7
1.4
1.2
2.3
1.6
4.7
3.5
4.4
3.9
3.5
3

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=33252&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=33252&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=33252&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	-0.343465	-2.6382	0.005321
2	-0.01542	-0.1184	0.45306
3	0.039918	0.3066	0.380107
4	-0.108913	-0.8366	0.203102
5	0.142833	1.0971	0.138523
6	-0.115872	-0.89	0.188533
7	0.017165	0.1318	0.447776
8	-0.108742	-0.8353	0.203469
9	0.071259	0.5473	0.293102
10	-0.0805	-0.6183	0.269367
11	0.144988	1.1137	0.134968
12	-0.286634	-2.2017	0.015805
13	0.043954	0.3376	0.368425
14	0.117628	0.9035	0.184963
15	-0.028261	-0.2171	0.414449
16	-0.080124	-0.6154	0.270313
17	-0.080868	-0.6212	0.268444

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.343465 & -2.6382 & 0.005321 \tabularnewline
2 & -0.01542 & -0.1184 & 0.45306 \tabularnewline
3 & 0.039918 & 0.3066 & 0.380107 \tabularnewline
4 & -0.108913 & -0.8366 & 0.203102 \tabularnewline
5 & 0.142833 & 1.0971 & 0.138523 \tabularnewline
6 & -0.115872 & -0.89 & 0.188533 \tabularnewline
7 & 0.017165 & 0.1318 & 0.447776 \tabularnewline
8 & -0.108742 & -0.8353 & 0.203469 \tabularnewline
9 & 0.071259 & 0.5473 & 0.293102 \tabularnewline
10 & -0.0805 & -0.6183 & 0.269367 \tabularnewline
11 & 0.144988 & 1.1137 & 0.134968 \tabularnewline
12 & -0.286634 & -2.2017 & 0.015805 \tabularnewline
13 & 0.043954 & 0.3376 & 0.368425 \tabularnewline
14 & 0.117628 & 0.9035 & 0.184963 \tabularnewline
15 & -0.028261 & -0.2171 & 0.414449 \tabularnewline
16 & -0.080124 & -0.6154 & 0.270313 \tabularnewline
17 & -0.080868 & -0.6212 & 0.268444 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=33252&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]-0.343465[/C][C]-2.6382[/C][C]0.005321[/C][/ROW]
[ROW][C]2[/C][C]-0.01542[/C][C]-0.1184[/C][C]0.45306[/C][/ROW]
[ROW][C]3[/C][C]0.039918[/C][C]0.3066[/C][C]0.380107[/C][/ROW]
[ROW][C]4[/C][C]-0.108913[/C][C]-0.8366[/C][C]0.203102[/C][/ROW]
[ROW][C]5[/C][C]0.142833[/C][C]1.0971[/C][C]0.138523[/C][/ROW]
[ROW][C]6[/C][C]-0.115872[/C][C]-0.89[/C][C]0.188533[/C][/ROW]
[ROW][C]7[/C][C]0.017165[/C][C]0.1318[/C][C]0.447776[/C][/ROW]
[ROW][C]8[/C][C]-0.108742[/C][C]-0.8353[/C][C]0.203469[/C][/ROW]
[ROW][C]9[/C][C]0.071259[/C][C]0.5473[/C][C]0.293102[/C][/ROW]
[ROW][C]10[/C][C]-0.0805[/C][C]-0.6183[/C][C]0.269367[/C][/ROW]
[ROW][C]11[/C][C]0.144988[/C][C]1.1137[/C][C]0.134968[/C][/ROW]
[ROW][C]12[/C][C]-0.286634[/C][C]-2.2017[/C][C]0.015805[/C][/ROW]
[ROW][C]13[/C][C]0.043954[/C][C]0.3376[/C][C]0.368425[/C][/ROW]
[ROW][C]14[/C][C]0.117628[/C][C]0.9035[/C][C]0.184963[/C][/ROW]
[ROW][C]15[/C][C]-0.028261[/C][C]-0.2171[/C][C]0.414449[/C][/ROW]
[ROW][C]16[/C][C]-0.080124[/C][C]-0.6154[/C][C]0.270313[/C][/ROW]
[ROW][C]17[/C][C]-0.080868[/C][C]-0.6212[/C][C]0.268444[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=33252&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=33252&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	-0.343465	-2.6382	0.005321
2	-0.01542	-0.1184	0.45306
3	0.039918	0.3066	0.380107
4	-0.108913	-0.8366	0.203102
5	0.142833	1.0971	0.138523
6	-0.115872	-0.89	0.188533
7	0.017165	0.1318	0.447776
8	-0.108742	-0.8353	0.203469
9	0.071259	0.5473	0.293102
10	-0.0805	-0.6183	0.269367
11	0.144988	1.1137	0.134968
12	-0.286634	-2.2017	0.015805
13	0.043954	0.3376	0.368425
14	0.117628	0.9035	0.184963
15	-0.028261	-0.2171	0.414449
16	-0.080124	-0.6154	0.270313
17	-0.080868	-0.6212	0.268444

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.343465	-2.6382	0.005321
2	-0.151229	-1.1616	0.125036
3	-0.021025	-0.1615	0.436127
4	-0.119195	-0.9156	0.181814
5	0.075691	0.5814	0.281594
6	-0.061501	-0.4724	0.319193
7	-0.0296	-0.2274	0.410463
8	-0.164208	-1.2613	0.106081
9	-0.009251	-0.0711	0.471797
10	-0.12696	-0.9752	0.166722
11	0.11991	0.921	0.18039
12	-0.30133	-2.3146	0.012068
13	-0.121973	-0.9369	0.176316
14	-0.041275	-0.317	0.376167
15	0.069654	0.535	0.297321
16	-0.243553	-1.8708	0.03317
17	-0.147472	-1.1328	0.13095

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.343465 & -2.6382 & 0.005321 \tabularnewline
2 & -0.151229 & -1.1616 & 0.125036 \tabularnewline
3 & -0.021025 & -0.1615 & 0.436127 \tabularnewline
4 & -0.119195 & -0.9156 & 0.181814 \tabularnewline
5 & 0.075691 & 0.5814 & 0.281594 \tabularnewline
6 & -0.061501 & -0.4724 & 0.319193 \tabularnewline
7 & -0.0296 & -0.2274 & 0.410463 \tabularnewline
8 & -0.164208 & -1.2613 & 0.106081 \tabularnewline
9 & -0.009251 & -0.0711 & 0.471797 \tabularnewline
10 & -0.12696 & -0.9752 & 0.166722 \tabularnewline
11 & 0.11991 & 0.921 & 0.18039 \tabularnewline
12 & -0.30133 & -2.3146 & 0.012068 \tabularnewline
13 & -0.121973 & -0.9369 & 0.176316 \tabularnewline
14 & -0.041275 & -0.317 & 0.376167 \tabularnewline
15 & 0.069654 & 0.535 & 0.297321 \tabularnewline
16 & -0.243553 & -1.8708 & 0.03317 \tabularnewline
17 & -0.147472 & -1.1328 & 0.13095 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=33252&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]-0.343465[/C][C]-2.6382[/C][C]0.005321[/C][/ROW]
[ROW][C]2[/C][C]-0.151229[/C][C]-1.1616[/C][C]0.125036[/C][/ROW]
[ROW][C]3[/C][C]-0.021025[/C][C]-0.1615[/C][C]0.436127[/C][/ROW]
[ROW][C]4[/C][C]-0.119195[/C][C]-0.9156[/C][C]0.181814[/C][/ROW]
[ROW][C]5[/C][C]0.075691[/C][C]0.5814[/C][C]0.281594[/C][/ROW]
[ROW][C]6[/C][C]-0.061501[/C][C]-0.4724[/C][C]0.319193[/C][/ROW]
[ROW][C]7[/C][C]-0.0296[/C][C]-0.2274[/C][C]0.410463[/C][/ROW]
[ROW][C]8[/C][C]-0.164208[/C][C]-1.2613[/C][C]0.106081[/C][/ROW]
[ROW][C]9[/C][C]-0.009251[/C][C]-0.0711[/C][C]0.471797[/C][/ROW]
[ROW][C]10[/C][C]-0.12696[/C][C]-0.9752[/C][C]0.166722[/C][/ROW]
[ROW][C]11[/C][C]0.11991[/C][C]0.921[/C][C]0.18039[/C][/ROW]
[ROW][C]12[/C][C]-0.30133[/C][C]-2.3146[/C][C]0.012068[/C][/ROW]
[ROW][C]13[/C][C]-0.121973[/C][C]-0.9369[/C][C]0.176316[/C][/ROW]
[ROW][C]14[/C][C]-0.041275[/C][C]-0.317[/C][C]0.376167[/C][/ROW]
[ROW][C]15[/C][C]0.069654[/C][C]0.535[/C][C]0.297321[/C][/ROW]
[ROW][C]16[/C][C]-0.243553[/C][C]-1.8708[/C][C]0.03317[/C][/ROW]
[ROW][C]17[/C][C]-0.147472[/C][C]-1.1328[/C][C]0.13095[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=33252&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=33252&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	-0.343465	-2.6382	0.005321
2	-0.151229	-1.1616	0.125036
3	-0.021025	-0.1615	0.436127
4	-0.119195	-0.9156	0.181814
5	0.075691	0.5814	0.281594
6	-0.061501	-0.4724	0.319193
7	-0.0296	-0.2274	0.410463
8	-0.164208	-1.2613	0.106081
9	-0.009251	-0.0711	0.471797
10	-0.12696	-0.9752	0.166722
11	0.11991	0.921	0.18039
12	-0.30133	-2.3146	0.012068
13	-0.121973	-0.9369	0.176316
14	-0.041275	-0.317	0.376167
15	0.069654	0.535	0.297321
16	-0.243553	-1.8708	0.03317
17	-0.147472	-1.1328	0.13095

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 ;

Parameters (R input):

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

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 (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='lags',ylab='ACF')
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