::Free Statistics and Forecasting Software::

v1.2.1

 

:: (Partial) Autocorrelation Function - Free Statistics Software (Calculator) ::

All rights reserved. The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.

This free online software (calculator) computes the autocorrelation and partial autocorrelation function for any univariate time series.
The parameters lambda, d, D, and seasonality are used to apply a Box-Cox transformation and (non-)seasonal differencing in order to induce stationarity of the time series. If lambda = 1, d = 0, and D = 0 then no transformation/differencing is applied before the (P)ACF is computed.
The confidence interval can be computed in two different ways:
  • assuming a white noise time series (CI type = White Noise)
  • assuming that the series is a MA(k-1) process when the CI of ACF(k) is computed (CI type = MA)

When you use this software to check the residuals of a time series model, CI type = White Noise is appropriate. In all other cases, setting the CI type = MA may be less misleading. Note that the CI of the PACF always assumes white noise.

Enter (or paste) your data delimited by hard returns.

Send output to:
Data
[reset data]
 
Sample Range:
(leave blank to include all observations)
From:
To:
Number of time lags 
Box-Cox transformation parameter (Lambda) 
Degree of non-seasonal differencing (d) 
Degree of seasonal differencing (D) 
Seasonality 
CI type 
Confidence Interval 
Use logarithms with this base
(overrules the Box-Cox lambda parameter)
 (?)
Chart options
Width:
Height:



Source code of R module
Top | Output | Charts | References



Cite this software as:
Wessa P., (2017), (Partial) Autocorrelation Function (v1.0.15) in Free Statistics Software (v1.2.1), Office for Research Development and Education, URL http://www.wessa.net/rwasp_autocorrelation.wasp/
The R code is based on :
Borghers, E, and P. Wessa, Statistics - Econometrics - Forecasting, Office for Research Development and Education, http://www.xycoon.com/
Top | Output | Charts | References

To cite Wessa.net in publications use:
Wessa, P. (2024), Free Statistics Software, Office for Research Development and Education,
version 1.2.1, URL https://www.wessa.net/

© All rights reserved. Academic license for non-commercial use only.
The free use of the scientific content, services, and applications in this website is granted for non commercial use only. In any case, the source (url) should always be clearly displayed. Under no circumstances are you allowed to reproduce, copy or redistribute the design, layout, or any content of this website (for commercial use) including any materials contained herein without the express written permission.

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. We make no warranties or representations as to the accuracy or completeness of such information (or software), and it assumes no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

Software Version : 1.2.1
Algorithms & Software : Patrick Wessa, PhD
Server : wessa.net

About | Comments, Feedback & Errors | Privacy Policy | Statistics Resources | Wessa.net Home

 © Wessa.Net 2002-2024