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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

Thu, 27 Nov 2008 15:31:47 -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/Nov/27/t1227825159ldv4l6pntu1gh2o.htm/, Retrieved Mon, 20 May 2024 10:33:27 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=25932, Retrieved Mon, 20 May 2024 10:33:27 +0000

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Original text written by user:

d=0 D=1

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

166

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

F     [Law of Averages] [Random Walk Simul...] [2008-11-25 18:40:39] [b98453cac15ba1066b407e146608df68]
F       [Law of Averages] [Random Walk Simul...] [2008-11-27 19:45:04] [58bf45a666dc5198906262e8815a9722]
F RMPD    [Standard Deviation-Mean Plot] [Standard Deviatio...] [2008-11-27 22:08:29] [58bf45a666dc5198906262e8815a9722]
- RMP         [(Partial) Autocorrelation Function] [(Partial) Autocor...] [2008-11-27 22:31:47] [63db34dadd44fb018112addcdefe949f] [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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

\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 & 5 seconds \tabularnewline
R Server & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=25932&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]5 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'George Udny Yule' @ 72.249.76.132[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=25932&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=25932&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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.189675	-1.3141	0.097527
2	-0.029294	-0.203	0.420014
3	0.327879	2.2716	0.013816
4	-0.043636	-0.3023	0.381856
5	-0.037185	-0.2576	0.398898
6	0.252017	1.746	0.043602
7	-0.169242	-1.1725	0.123383
8	0.053699	0.372	0.355751
9	0.158404	1.0975	0.138959
10	-0.105602	-0.7316	0.233974
11	-0.153831	-1.0658	0.145929
12	0.099013	0.686	0.248013
13	-0.076613	-0.5308	0.299006
14	-0.058723	-0.4068	0.342966
15	0.082578	0.5721	0.284957
16	-0.211854	-1.4678	0.074345
17	0.011941	0.0827	0.467204

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.189675 & -1.3141 & 0.097527 \tabularnewline
2 & -0.029294 & -0.203 & 0.420014 \tabularnewline
3 & 0.327879 & 2.2716 & 0.013816 \tabularnewline
4 & -0.043636 & -0.3023 & 0.381856 \tabularnewline
5 & -0.037185 & -0.2576 & 0.398898 \tabularnewline
6 & 0.252017 & 1.746 & 0.043602 \tabularnewline
7 & -0.169242 & -1.1725 & 0.123383 \tabularnewline
8 & 0.053699 & 0.372 & 0.355751 \tabularnewline
9 & 0.158404 & 1.0975 & 0.138959 \tabularnewline
10 & -0.105602 & -0.7316 & 0.233974 \tabularnewline
11 & -0.153831 & -1.0658 & 0.145929 \tabularnewline
12 & 0.099013 & 0.686 & 0.248013 \tabularnewline
13 & -0.076613 & -0.5308 & 0.299006 \tabularnewline
14 & -0.058723 & -0.4068 & 0.342966 \tabularnewline
15 & 0.082578 & 0.5721 & 0.284957 \tabularnewline
16 & -0.211854 & -1.4678 & 0.074345 \tabularnewline
17 & 0.011941 & 0.0827 & 0.467204 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=25932&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]-0.189675[/C][C]-1.3141[/C][C]0.097527[/C][/ROW]
[ROW][C]2[/C][C]-0.029294[/C][C]-0.203[/C][C]0.420014[/C][/ROW]
[ROW][C]3[/C][C]0.327879[/C][C]2.2716[/C][C]0.013816[/C][/ROW]
[ROW][C]4[/C][C]-0.043636[/C][C]-0.3023[/C][C]0.381856[/C][/ROW]
[ROW][C]5[/C][C]-0.037185[/C][C]-0.2576[/C][C]0.398898[/C][/ROW]
[ROW][C]6[/C][C]0.252017[/C][C]1.746[/C][C]0.043602[/C][/ROW]
[ROW][C]7[/C][C]-0.169242[/C][C]-1.1725[/C][C]0.123383[/C][/ROW]
[ROW][C]8[/C][C]0.053699[/C][C]0.372[/C][C]0.355751[/C][/ROW]
[ROW][C]9[/C][C]0.158404[/C][C]1.0975[/C][C]0.138959[/C][/ROW]
[ROW][C]10[/C][C]-0.105602[/C][C]-0.7316[/C][C]0.233974[/C][/ROW]
[ROW][C]11[/C][C]-0.153831[/C][C]-1.0658[/C][C]0.145929[/C][/ROW]
[ROW][C]12[/C][C]0.099013[/C][C]0.686[/C][C]0.248013[/C][/ROW]
[ROW][C]13[/C][C]-0.076613[/C][C]-0.5308[/C][C]0.299006[/C][/ROW]
[ROW][C]14[/C][C]-0.058723[/C][C]-0.4068[/C][C]0.342966[/C][/ROW]
[ROW][C]15[/C][C]0.082578[/C][C]0.5721[/C][C]0.284957[/C][/ROW]
[ROW][C]16[/C][C]-0.211854[/C][C]-1.4678[/C][C]0.074345[/C][/ROW]
[ROW][C]17[/C][C]0.011941[/C][C]0.0827[/C][C]0.467204[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=25932&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=25932&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	-0.189675	-1.3141	0.097527
2	-0.029294	-0.203	0.420014
3	0.327879	2.2716	0.013816
4	-0.043636	-0.3023	0.381856
5	-0.037185	-0.2576	0.398898
6	0.252017	1.746	0.043602
7	-0.169242	-1.1725	0.123383
8	0.053699	0.372	0.355751
9	0.158404	1.0975	0.138959
10	-0.105602	-0.7316	0.233974
11	-0.153831	-1.0658	0.145929
12	0.099013	0.686	0.248013
13	-0.076613	-0.5308	0.299006
14	-0.058723	-0.4068	0.342966
15	0.082578	0.5721	0.284957
16	-0.211854	-1.4678	0.074345
17	0.011941	0.0827	0.467204

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.189675	-1.3141	0.097527
2	-0.067707	-0.4691	0.320566
3	0.322116	2.2317	0.01517
4	0.089111	0.6174	0.26995
5	-0.022005	-0.1525	0.439734
6	0.15473	1.072	0.14454
7	-0.124268	-0.861	0.196772
8	0.021403	0.1483	0.441369
9	0.06655	0.4611	0.323415
10	0.000363	0.0025	0.499003
11	-0.217761	-1.5087	0.068966
12	-0.086368	-0.5984	0.276203
13	0.001389	0.0096	0.496181
14	0.009774	0.0677	0.473146
15	0.073804	0.5113	0.305732
16	-0.175362	-1.2149	0.115165
17	-0.003055	-0.0212	0.491601

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.189675 & -1.3141 & 0.097527 \tabularnewline
2 & -0.067707 & -0.4691 & 0.320566 \tabularnewline
3 & 0.322116 & 2.2317 & 0.01517 \tabularnewline
4 & 0.089111 & 0.6174 & 0.26995 \tabularnewline
5 & -0.022005 & -0.1525 & 0.439734 \tabularnewline
6 & 0.15473 & 1.072 & 0.14454 \tabularnewline
7 & -0.124268 & -0.861 & 0.196772 \tabularnewline
8 & 0.021403 & 0.1483 & 0.441369 \tabularnewline
9 & 0.06655 & 0.4611 & 0.323415 \tabularnewline
10 & 0.000363 & 0.0025 & 0.499003 \tabularnewline
11 & -0.217761 & -1.5087 & 0.068966 \tabularnewline
12 & -0.086368 & -0.5984 & 0.276203 \tabularnewline
13 & 0.001389 & 0.0096 & 0.496181 \tabularnewline
14 & 0.009774 & 0.0677 & 0.473146 \tabularnewline
15 & 0.073804 & 0.5113 & 0.305732 \tabularnewline
16 & -0.175362 & -1.2149 & 0.115165 \tabularnewline
17 & -0.003055 & -0.0212 & 0.491601 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=25932&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]-0.189675[/C][C]-1.3141[/C][C]0.097527[/C][/ROW]
[ROW][C]2[/C][C]-0.067707[/C][C]-0.4691[/C][C]0.320566[/C][/ROW]
[ROW][C]3[/C][C]0.322116[/C][C]2.2317[/C][C]0.01517[/C][/ROW]
[ROW][C]4[/C][C]0.089111[/C][C]0.6174[/C][C]0.26995[/C][/ROW]
[ROW][C]5[/C][C]-0.022005[/C][C]-0.1525[/C][C]0.439734[/C][/ROW]
[ROW][C]6[/C][C]0.15473[/C][C]1.072[/C][C]0.14454[/C][/ROW]
[ROW][C]7[/C][C]-0.124268[/C][C]-0.861[/C][C]0.196772[/C][/ROW]
[ROW][C]8[/C][C]0.021403[/C][C]0.1483[/C][C]0.441369[/C][/ROW]
[ROW][C]9[/C][C]0.06655[/C][C]0.4611[/C][C]0.323415[/C][/ROW]
[ROW][C]10[/C][C]0.000363[/C][C]0.0025[/C][C]0.499003[/C][/ROW]
[ROW][C]11[/C][C]-0.217761[/C][C]-1.5087[/C][C]0.068966[/C][/ROW]
[ROW][C]12[/C][C]-0.086368[/C][C]-0.5984[/C][C]0.276203[/C][/ROW]
[ROW][C]13[/C][C]0.001389[/C][C]0.0096[/C][C]0.496181[/C][/ROW]
[ROW][C]14[/C][C]0.009774[/C][C]0.0677[/C][C]0.473146[/C][/ROW]
[ROW][C]15[/C][C]0.073804[/C][C]0.5113[/C][C]0.305732[/C][/ROW]
[ROW][C]16[/C][C]-0.175362[/C][C]-1.2149[/C][C]0.115165[/C][/ROW]
[ROW][C]17[/C][C]-0.003055[/C][C]-0.0212[/C][C]0.491601[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=25932&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=25932&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	-0.189675	-1.3141	0.097527
2	-0.067707	-0.4691	0.320566
3	0.322116	2.2317	0.01517
4	0.089111	0.6174	0.26995
5	-0.022005	-0.1525	0.439734
6	0.15473	1.072	0.14454
7	-0.124268	-0.861	0.196772
8	0.021403	0.1483	0.441369
9	0.06655	0.4611	0.323415
10	0.000363	0.0025	0.499003
11	-0.217761	-1.5087	0.068966
12	-0.086368	-0.5984	0.276203
13	0.001389	0.0096	0.496181
14	0.009774	0.0677	0.473146
15	0.073804	0.5113	0.305732
16	-0.175362	-1.2149	0.115165
17	-0.003055	-0.0212	0.491601

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 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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')

Free Statistics

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code