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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Thu, 25 Nov 2010 19:18:18 +0000

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/2010/Nov/25/t12907126772bn9ppz31hvd0sq.htm/, Retrieved Thu, 25 Apr 2024 02:15:12 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=101428, Retrieved Thu, 25 Apr 2024 02:15:12 +0000

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No (this computation is public)

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Estimated Impact

132

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

-     [Central Tendency] [Arabica Price in ...] [2008-01-19 12:03:37] [74be16979710d4c4e7c6647856088456]
- RMPD  [(Partial) Autocorrelation Function] [W3_Tutorial4.1] [2010-11-24 13:18:09] [7318566ef3ec88988be4d1362d0cf918]
-    D      [(Partial) Autocorrelation Function] [W3_Mini_7] [2010-11-25 19:18:18] [edf51d809b713abfc4095a7dca74558e] [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	'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 & 2 seconds \tabularnewline
R Server & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=101428&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]2 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=101428&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=101428&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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.672362	4.7543	9e-06
2	0.254289	1.7981	0.0391
3	0.056368	0.3986	0.34595
4	0.040991	0.2898	0.386566
5	0.088398	0.6251	0.267385
6	0.10807	0.7642	0.224179
7	0.040359	0.2854	0.388265
8	-0.063841	-0.4514	0.326818
9	-0.055854	-0.395	0.34728
10	0.137244	0.9705	0.168244
11	0.336252	2.3777	0.010644
12	0.361071	2.5532	0.006886
13	0.118491	0.8379	0.203049
14	-0.178953	-1.2654	0.105799
15	-0.298763	-2.1126	0.019827
16	-0.294216	-2.0804	0.021315

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & 0.672362 & 4.7543 & 9e-06 \tabularnewline
2 & 0.254289 & 1.7981 & 0.0391 \tabularnewline
3 & 0.056368 & 0.3986 & 0.34595 \tabularnewline
4 & 0.040991 & 0.2898 & 0.386566 \tabularnewline
5 & 0.088398 & 0.6251 & 0.267385 \tabularnewline
6 & 0.10807 & 0.7642 & 0.224179 \tabularnewline
7 & 0.040359 & 0.2854 & 0.388265 \tabularnewline
8 & -0.063841 & -0.4514 & 0.326818 \tabularnewline
9 & -0.055854 & -0.395 & 0.34728 \tabularnewline
10 & 0.137244 & 0.9705 & 0.168244 \tabularnewline
11 & 0.336252 & 2.3777 & 0.010644 \tabularnewline
12 & 0.361071 & 2.5532 & 0.006886 \tabularnewline
13 & 0.118491 & 0.8379 & 0.203049 \tabularnewline
14 & -0.178953 & -1.2654 & 0.105799 \tabularnewline
15 & -0.298763 & -2.1126 & 0.019827 \tabularnewline
16 & -0.294216 & -2.0804 & 0.021315 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=101428&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]0.672362[/C][C]4.7543[/C][C]9e-06[/C][/ROW]
[ROW][C]2[/C][C]0.254289[/C][C]1.7981[/C][C]0.0391[/C][/ROW]
[ROW][C]3[/C][C]0.056368[/C][C]0.3986[/C][C]0.34595[/C][/ROW]
[ROW][C]4[/C][C]0.040991[/C][C]0.2898[/C][C]0.386566[/C][/ROW]
[ROW][C]5[/C][C]0.088398[/C][C]0.6251[/C][C]0.267385[/C][/ROW]
[ROW][C]6[/C][C]0.10807[/C][C]0.7642[/C][C]0.224179[/C][/ROW]
[ROW][C]7[/C][C]0.040359[/C][C]0.2854[/C][C]0.388265[/C][/ROW]
[ROW][C]8[/C][C]-0.063841[/C][C]-0.4514[/C][C]0.326818[/C][/ROW]
[ROW][C]9[/C][C]-0.055854[/C][C]-0.395[/C][C]0.34728[/C][/ROW]
[ROW][C]10[/C][C]0.137244[/C][C]0.9705[/C][C]0.168244[/C][/ROW]
[ROW][C]11[/C][C]0.336252[/C][C]2.3777[/C][C]0.010644[/C][/ROW]
[ROW][C]12[/C][C]0.361071[/C][C]2.5532[/C][C]0.006886[/C][/ROW]
[ROW][C]13[/C][C]0.118491[/C][C]0.8379[/C][C]0.203049[/C][/ROW]
[ROW][C]14[/C][C]-0.178953[/C][C]-1.2654[/C][C]0.105799[/C][/ROW]
[ROW][C]15[/C][C]-0.298763[/C][C]-2.1126[/C][C]0.019827[/C][/ROW]
[ROW][C]16[/C][C]-0.294216[/C][C]-2.0804[/C][C]0.021315[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=101428&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=101428&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	0.672362	4.7543	9e-06
2	0.254289	1.7981	0.0391
3	0.056368	0.3986	0.34595
4	0.040991	0.2898	0.386566
5	0.088398	0.6251	0.267385
6	0.10807	0.7642	0.224179
7	0.040359	0.2854	0.388265
8	-0.063841	-0.4514	0.326818
9	-0.055854	-0.395	0.34728
10	0.137244	0.9705	0.168244
11	0.336252	2.3777	0.010644
12	0.361071	2.5532	0.006886
13	0.118491	0.8379	0.203049
14	-0.178953	-1.2654	0.105799
15	-0.298763	-2.1126	0.019827
16	-0.294216	-2.0804	0.021315

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.672362	4.7543	9e-06
2	-0.360961	-2.5524	0.0069
3	0.139285	0.9849	0.164709
4	0.036649	0.2591	0.398293
5	0.052491	0.3712	0.356041
6	0.008216	0.0581	0.476951
7	-0.091624	-0.6479	0.260014
8	-0.055645	-0.3935	0.347823
9	0.114924	0.8126	0.210139
10	0.258604	1.8286	0.036713
11	0.119879	0.8477	0.200329
12	0.010915	0.0772	0.469394
13	-0.293824	-2.0777	0.021448
14	-0.17104	-1.2094	0.116092
15	-0.068639	-0.4853	0.314774
16	-0.183043	-1.2943	0.100753

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & 0.672362 & 4.7543 & 9e-06 \tabularnewline
2 & -0.360961 & -2.5524 & 0.0069 \tabularnewline
3 & 0.139285 & 0.9849 & 0.164709 \tabularnewline
4 & 0.036649 & 0.2591 & 0.398293 \tabularnewline
5 & 0.052491 & 0.3712 & 0.356041 \tabularnewline
6 & 0.008216 & 0.0581 & 0.476951 \tabularnewline
7 & -0.091624 & -0.6479 & 0.260014 \tabularnewline
8 & -0.055645 & -0.3935 & 0.347823 \tabularnewline
9 & 0.114924 & 0.8126 & 0.210139 \tabularnewline
10 & 0.258604 & 1.8286 & 0.036713 \tabularnewline
11 & 0.119879 & 0.8477 & 0.200329 \tabularnewline
12 & 0.010915 & 0.0772 & 0.469394 \tabularnewline
13 & -0.293824 & -2.0777 & 0.021448 \tabularnewline
14 & -0.17104 & -1.2094 & 0.116092 \tabularnewline
15 & -0.068639 & -0.4853 & 0.314774 \tabularnewline
16 & -0.183043 & -1.2943 & 0.100753 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=101428&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]0.672362[/C][C]4.7543[/C][C]9e-06[/C][/ROW]
[ROW][C]2[/C][C]-0.360961[/C][C]-2.5524[/C][C]0.0069[/C][/ROW]
[ROW][C]3[/C][C]0.139285[/C][C]0.9849[/C][C]0.164709[/C][/ROW]
[ROW][C]4[/C][C]0.036649[/C][C]0.2591[/C][C]0.398293[/C][/ROW]
[ROW][C]5[/C][C]0.052491[/C][C]0.3712[/C][C]0.356041[/C][/ROW]
[ROW][C]6[/C][C]0.008216[/C][C]0.0581[/C][C]0.476951[/C][/ROW]
[ROW][C]7[/C][C]-0.091624[/C][C]-0.6479[/C][C]0.260014[/C][/ROW]
[ROW][C]8[/C][C]-0.055645[/C][C]-0.3935[/C][C]0.347823[/C][/ROW]
[ROW][C]9[/C][C]0.114924[/C][C]0.8126[/C][C]0.210139[/C][/ROW]
[ROW][C]10[/C][C]0.258604[/C][C]1.8286[/C][C]0.036713[/C][/ROW]
[ROW][C]11[/C][C]0.119879[/C][C]0.8477[/C][C]0.200329[/C][/ROW]
[ROW][C]12[/C][C]0.010915[/C][C]0.0772[/C][C]0.469394[/C][/ROW]
[ROW][C]13[/C][C]-0.293824[/C][C]-2.0777[/C][C]0.021448[/C][/ROW]
[ROW][C]14[/C][C]-0.17104[/C][C]-1.2094[/C][C]0.116092[/C][/ROW]
[ROW][C]15[/C][C]-0.068639[/C][C]-0.4853[/C][C]0.314774[/C][/ROW]
[ROW][C]16[/C][C]-0.183043[/C][C]-1.2943[/C][C]0.100753[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=101428&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=101428&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	0.672362	4.7543	9e-06
2	-0.360961	-2.5524	0.0069
3	0.139285	0.9849	0.164709
4	0.036649	0.2591	0.398293
5	0.052491	0.3712	0.356041
6	0.008216	0.0581	0.476951
7	-0.091624	-0.6479	0.260014
8	-0.055645	-0.3935	0.347823
9	0.114924	0.8126	0.210139
10	0.258604	1.8286	0.036713
11	0.119879	0.8477	0.200329
12	0.010915	0.0772	0.469394
13	-0.293824	-2.0777	0.021448
14	-0.17104	-1.2094	0.116092
15	-0.068639	-0.4853	0.314774
16	-0.183043	-1.2943	0.100753

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')

Free Statistics

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code