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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Sun, 15 Dec 2013 08:10:15 -0500

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/2013/Dec/15/t13871130743abem8feitazet7.htm/, Retrieved Fri, 19 Apr 2024 20:50:12 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=232349, Retrieved Fri, 19 Apr 2024 20:50:12 +0000

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No (this computation is public)

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Estimated Impact

163

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

-       [(Partial) Autocorrelation Function] [Bouwsector AF] [2013-12-15 13:10:15] [0d4b5c001fcd12491258e86d922016e4] [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	3 seconds
R Server	'Herman Ole Andreas Wold' @ wold.wessa.net

\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 & 3 seconds \tabularnewline
R Server & 'Herman Ole Andreas Wold' @ wold.wessa.net \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=232349&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]3 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Herman Ole Andreas Wold' @ wold.wessa.net[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=232349&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=232349&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	3 seconds
R Server	'Herman Ole Andreas Wold' @ wold.wessa.net

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.297267	-1.0298	0.161715
2	-0.221215	-0.7663	0.229151
3	0.174816	0.6056	0.278037
4	-0.159086	-0.5511	0.295843
5	0.078135	0.2707	0.395622
6	0.03869	0.134	0.447802
7	-0.230443	-0.7983	0.220111
8	0.208958	0.7239	0.241515
9	0.124179	0.4302	0.337348
10	-0.251807	-0.8723	0.200085
11	0.035039	0.1214	0.4527

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.297267 & -1.0298 & 0.161715 \tabularnewline
2 & -0.221215 & -0.7663 & 0.229151 \tabularnewline
3 & 0.174816 & 0.6056 & 0.278037 \tabularnewline
4 & -0.159086 & -0.5511 & 0.295843 \tabularnewline
5 & 0.078135 & 0.2707 & 0.395622 \tabularnewline
6 & 0.03869 & 0.134 & 0.447802 \tabularnewline
7 & -0.230443 & -0.7983 & 0.220111 \tabularnewline
8 & 0.208958 & 0.7239 & 0.241515 \tabularnewline
9 & 0.124179 & 0.4302 & 0.337348 \tabularnewline
10 & -0.251807 & -0.8723 & 0.200085 \tabularnewline
11 & 0.035039 & 0.1214 & 0.4527 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=232349&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]-0.297267[/C][C]-1.0298[/C][C]0.161715[/C][/ROW]
[ROW][C]2[/C][C]-0.221215[/C][C]-0.7663[/C][C]0.229151[/C][/ROW]
[ROW][C]3[/C][C]0.174816[/C][C]0.6056[/C][C]0.278037[/C][/ROW]
[ROW][C]4[/C][C]-0.159086[/C][C]-0.5511[/C][C]0.295843[/C][/ROW]
[ROW][C]5[/C][C]0.078135[/C][C]0.2707[/C][C]0.395622[/C][/ROW]
[ROW][C]6[/C][C]0.03869[/C][C]0.134[/C][C]0.447802[/C][/ROW]
[ROW][C]7[/C][C]-0.230443[/C][C]-0.7983[/C][C]0.220111[/C][/ROW]
[ROW][C]8[/C][C]0.208958[/C][C]0.7239[/C][C]0.241515[/C][/ROW]
[ROW][C]9[/C][C]0.124179[/C][C]0.4302[/C][C]0.337348[/C][/ROW]
[ROW][C]10[/C][C]-0.251807[/C][C]-0.8723[/C][C]0.200085[/C][/ROW]
[ROW][C]11[/C][C]0.035039[/C][C]0.1214[/C][C]0.4527[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=232349&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=232349&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	-0.297267	-1.0298	0.161715
2	-0.221215	-0.7663	0.229151
3	0.174816	0.6056	0.278037
4	-0.159086	-0.5511	0.295843
5	0.078135	0.2707	0.395622
6	0.03869	0.134	0.447802
7	-0.230443	-0.7983	0.220111
8	0.208958	0.7239	0.241515
9	0.124179	0.4302	0.337348
10	-0.251807	-0.8723	0.200085
11	0.035039	0.1214	0.4527

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.297267	-1.0298	0.161715
2	-0.339592	-1.1764	0.131126
3	-0.017638	-0.0611	0.476143
4	-0.211279	-0.7319	0.239143
5	0.001344	0.0047	0.49818
6	-0.031848	-0.1103	0.456988
7	-0.222283	-0.77	0.228093
8	0.038551	0.1335	0.447988
9	0.142516	0.4937	0.315219
10	-0.083816	-0.2903	0.388254
11	-0.092857	-0.3217	0.37662

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.297267 & -1.0298 & 0.161715 \tabularnewline
2 & -0.339592 & -1.1764 & 0.131126 \tabularnewline
3 & -0.017638 & -0.0611 & 0.476143 \tabularnewline
4 & -0.211279 & -0.7319 & 0.239143 \tabularnewline
5 & 0.001344 & 0.0047 & 0.49818 \tabularnewline
6 & -0.031848 & -0.1103 & 0.456988 \tabularnewline
7 & -0.222283 & -0.77 & 0.228093 \tabularnewline
8 & 0.038551 & 0.1335 & 0.447988 \tabularnewline
9 & 0.142516 & 0.4937 & 0.315219 \tabularnewline
10 & -0.083816 & -0.2903 & 0.388254 \tabularnewline
11 & -0.092857 & -0.3217 & 0.37662 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=232349&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]-0.297267[/C][C]-1.0298[/C][C]0.161715[/C][/ROW]
[ROW][C]2[/C][C]-0.339592[/C][C]-1.1764[/C][C]0.131126[/C][/ROW]
[ROW][C]3[/C][C]-0.017638[/C][C]-0.0611[/C][C]0.476143[/C][/ROW]
[ROW][C]4[/C][C]-0.211279[/C][C]-0.7319[/C][C]0.239143[/C][/ROW]
[ROW][C]5[/C][C]0.001344[/C][C]0.0047[/C][C]0.49818[/C][/ROW]
[ROW][C]6[/C][C]-0.031848[/C][C]-0.1103[/C][C]0.456988[/C][/ROW]
[ROW][C]7[/C][C]-0.222283[/C][C]-0.77[/C][C]0.228093[/C][/ROW]
[ROW][C]8[/C][C]0.038551[/C][C]0.1335[/C][C]0.447988[/C][/ROW]
[ROW][C]9[/C][C]0.142516[/C][C]0.4937[/C][C]0.315219[/C][/ROW]
[ROW][C]10[/C][C]-0.083816[/C][C]-0.2903[/C][C]0.388254[/C][/ROW]
[ROW][C]11[/C][C]-0.092857[/C][C]-0.3217[/C][C]0.37662[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=232349&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=232349&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	-0.297267	-1.0298	0.161715
2	-0.339592	-1.1764	0.131126
3	-0.017638	-0.0611	0.476143
4	-0.211279	-0.7319	0.239143
5	0.001344	0.0047	0.49818
6	-0.031848	-0.1103	0.456988
7	-0.222283	-0.77	0.228093
8	0.038551	0.1335	0.447988
9	0.142516	0.4937	0.315219
10	-0.083816	-0.2903	0.388254
11	-0.092857	-0.3217	0.37662

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Figure 3

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = White Noise ; par7 = 0.95 ; par8 = ;

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 (par8 != '') par8 <- as.numeric(par8)
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,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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Input Parameters & R Code