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Type 'q()' to quit R. > x <- c(31.58,27.88,27.32,28.89,28.05,28.73,32.00,34.53,33.47,34.09,35.47,34.59,34.32,32.78,28.38,29.18,28.62,28.20,29.33,29.72,26.29,26.82,27.64,27.10,27.05,26.02,25.76,25.94,24.97,21.74,18.16,16.95,16.46,16.44,18.20,16.44,15.70,13.94,12.23,14.75,14.62,15.04,15.50,16.10,15.44,15.14,15.42,15.69,17.57,18.42,17.96,18.39,17.63,17.95,17.79,17.73,18.99,19.83,20.23,20.24,21.12,21.25,21.80,21.84,22.21,22.64,23.54,23.78,23.65,23.93,24.77,26.26,27.69,29.54,29.31,29.26,28.69,26.16,27.12,29.40,30.99,32.96,32.20,31.67,32.49,33.66,32.44,34.38,32.36,30.73,30.31,27.26,25.05,22.33,18.26,18.30,16.00,14.36,14.98,16.88,16.56,13.31,9.61,9.34,7.89,1.71,0.81,0.71) > par9 = '0' > par8 = '0' > par7 = '1' > par6 = '3' > par5 = '12' > par4 = '0' > par3 = '1' > par2 = '0.0' > par1 = 'FALSE' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/ > #Source of accompanying publication: Office for Research, Development, and Education > #Technical description: Write here your technical program description (don't use hard returns!) > library(lattice) > if (par1 == 'TRUE') par1 <- TRUE > if (par1 == 'FALSE') par1 <- FALSE > par2 <- as.numeric(par2) #Box-Cox lambda transformation parameter > par3 <- as.numeric(par3) #degree of non-seasonal differencing > par4 <- as.numeric(par4) #degree of seasonal differencing > par5 <- as.numeric(par5) #seasonal period > par6 <- as.numeric(par6) #degree (p) of the non-seasonal AR(p) polynomial > par7 <- as.numeric(par7) #degree (q) of the non-seasonal MA(q) polynomial > par8 <- as.numeric(par8) #degree (P) of the seasonal AR(P) polynomial > par9 <- as.numeric(par9) #degree (Q) of the seasonal MA(Q) polynomial > armaGR <- function(arima.out, names, n){ + try1 <- arima.out$coef + try2 <- sqrt(diag(arima.out$var.coef)) + try.data.frame <- data.frame(matrix(NA,ncol=4,nrow=length(names))) + dimnames(try.data.frame) <- list(names,c('coef','std','tstat','pv')) + try.data.frame[,1] <- try1 + for(i in 1:length(try2)) try.data.frame[which(rownames(try.data.frame)==names(try2)[i]),2] <- try2[i] + try.data.frame[,3] <- try.data.frame[,1] / try.data.frame[,2] + try.data.frame[,4] <- round((1-pt(abs(try.data.frame[,3]),df=n-(length(try2)+1)))*2,5) + vector <- rep(NA,length(names)) + vector[is.na(try.data.frame[,4])] <- 0 + maxi <- which.max(try.data.frame[,4]) + continue <- max(try.data.frame[,4],na.rm=TRUE) > .05 + vector[maxi] <- 0 + list(summary=try.data.frame,next.vector=vector,continue=continue) + } > arimaSelect <- function(series, order=c(13,0,0), seasonal=list(order=c(2,0,0),period=12), include.mean=F){ + nrc <- order[1]+order[3]+seasonal$order[1]+seasonal$order[3] + coeff <- matrix(NA, nrow=nrc*2, ncol=nrc) + pval <- matrix(NA, nrow=nrc*2, ncol=nrc) + mylist <- rep(list(NULL), nrc) + names <- NULL + if(order[1] > 0) names <- paste('ar',1:order[1],sep='') + if(order[3] > 0) names <- c( names , paste('ma',1:order[3],sep='') ) + if(seasonal$order[1] > 0) names <- c(names, paste('sar',1:seasonal$order[1],sep='')) + if(seasonal$order[3] > 0) names <- c(names, paste('sma',1:seasonal$order[3],sep='')) + arima.out <- arima(series, order=order, seasonal=seasonal, include.mean=include.mean, method='ML') + mylist[[1]] <- arima.out + last.arma <- armaGR(arima.out, names, length(series)) + mystop <- FALSE + i <- 1 + coeff[i,] <- last.arma[[1]][,1] + pval [i,] <- last.arma[[1]][,4] + i <- 2 + aic <- arima.out$aic + while(!mystop){ + mylist[[i]] <- arima.out + arima.out <- arima(series, order=order, seasonal=seasonal, include.mean=include.mean, method='ML', fixed=last.arma$next.vector) + aic <- c(aic, arima.out$aic) + last.arma <- armaGR(arima.out, names, length(series)) + mystop <- !last.arma$continue + coeff[i,] <- last.arma[[1]][,1] + pval [i,] <- last.arma[[1]][,4] + i <- i+1 + } + list(coeff, pval, mylist, aic=aic) + } > arimaSelectplot <- function(arimaSelect.out,noms,choix){ + noms <- names(arimaSelect.out[[3]][[1]]$coef) + coeff <- arimaSelect.out[[1]] + k <- min(which(is.na(coeff[,1])))-1 + coeff <- coeff[1:k,] + pval <- arimaSelect.out[[2]][1:k,] + aic <- arimaSelect.out$aic[1:k] + coeff[coeff==0] <- NA + n <- ncol(coeff) + if(missing(choix)) choix <- k + layout(matrix(c(1,1,1,2, + 3,3,3,2, + 3,3,3,4, + 5,6,7,7),nr=4), + widths=c(10,35,45,15), + heights=c(30,30,15,15)) + couleurs <- rainbow(75)[1:50]#(50) + ticks <- pretty(coeff) + par(mar=c(1,1,3,1)) + plot(aic,k:1-.5,type='o',pch=21,bg='blue',cex=2,axes=F,lty=2,xpd=NA) + points(aic[choix],k-choix+.5,pch=21,cex=4,bg=2,xpd=NA) + title('aic',line=2) + par(mar=c(3,0,0,0)) + plot(0,axes=F,xlab='',ylab='',xlim=range(ticks),ylim=c(.1,1)) + rect(xleft = min(ticks) + (0:49)/50*(max(ticks)-min(ticks)), + xright = min(ticks) + (1:50)/50*(max(ticks)-min(ticks)), + ytop = rep(1,50), + ybottom= rep(0,50),col=couleurs,border=NA) + axis(1,ticks) + rect(xleft=min(ticks),xright=max(ticks),ytop=1,ybottom=0) + text(mean(coeff,na.rm=T),.5,'coefficients',cex=2,font=2) + par(mar=c(1,1,3,1)) + image(1:n,1:k,t(coeff[k:1,]),axes=F,col=couleurs,zlim=range(ticks)) + for(i in 1:n) for(j in 1:k) if(!is.na(coeff[j,i])) { + if(pval[j,i]<.01) symb = 'green' + else if( (pval[j,i]<.05) & (pval[j,i]>=.01)) symb = 'orange' + else if( (pval[j,i]<.1) & (pval[j,i]>=.05)) symb = 'red' + else symb = 'black' + polygon(c(i+.5 ,i+.2 ,i+.5 ,i+.5), + c(k-j+0.5,k-j+0.5,k-j+0.8,k-j+0.5), + col=symb) + if(j==choix) { + rect(xleft=i-.5, + xright=i+.5, + ybottom=k-j+1.5, + ytop=k-j+.5, + lwd=4) + text(i, + k-j+1, + round(coeff[j,i],2), + cex=1.2, + font=2) + } + else{ + rect(xleft=i-.5,xright=i+.5,ybottom=k-j+1.5,ytop=k-j+.5) + text(i,k-j+1,round(coeff[j,i],2),cex=1.2,font=1) + } + } + axis(3,1:n,noms) + par(mar=c(0.5,0,0,0.5)) + plot(0,axes=F,xlab='',ylab='',type='n',xlim=c(0,8),ylim=c(-.2,.8)) + cols <- c('green','orange','red','black') + niv <- c('0','0.01','0.05','0.1') + for(i in 0:3){ + polygon(c(1+2*i ,1+2*i ,1+2*i-.5 ,1+2*i), + c(.4 ,.7 , .4 , .4), + col=cols[i+1]) + text(2*i,0.5,niv[i+1],cex=1.5) + } + text(8,.5,1,cex=1.5) + text(4,0,'p-value',cex=2) + box() + residus <- arimaSelect.out[[3]][[choix]]$res + par(mar=c(1,2,4,1)) + acf(residus,main='') + title('acf',line=.5) + par(mar=c(1,2,4,1)) + pacf(residus,main='') + title('pacf',line=.5) + par(mar=c(2,2,4,1)) + qqnorm(residus,main='') + title('qq-norm',line=.5) + qqline(residus) + residus + } > if (par2 == 0) x <- log(x) > if (par2 != 0) x <- x^par2 > (selection <- arimaSelect(x, order=c(par6,par3,par7), seasonal=list(order=c(par8,par4,par9), period=par5))) [[1]] [,1] [,2] [,3] [,4] [1,] 0.5231544 -0.2806672 0.6911707 0.005304131 [2,] 0.5275400 -0.2830713 0.6906071 0.000000000 [3,] NA NA NA NA [4,] NA NA NA NA [5,] NA NA NA NA [6,] NA NA NA NA [7,] NA NA NA NA [8,] NA NA NA NA [[2]] [,1] [,2] [,3] [,4] [1,] 0.01709 0.05993 0 0.98253 [2,] 0.00000 0.00506 0 NA [3,] NA NA NA NA [4,] NA NA NA NA [5,] NA NA NA NA [6,] NA NA NA NA [7,] NA NA NA NA [8,] NA NA NA NA [[3]] [[3]][[1]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, method = "ML") Coefficients: ar1 ar2 ar3 ma1 0.5232 -0.2807 0.6912 0.0053 s.e. 0.2158 0.1475 0.1257 0.2416 sigma^2 estimated as 0.02045: log likelihood = 54.86, aic = -99.72 [[3]][[2]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, method = "ML") Coefficients: ar1 ar2 ar3 ma1 0.5232 -0.2807 0.6912 0.0053 s.e. 0.2158 0.1475 0.1257 0.2416 sigma^2 estimated as 0.02045: log likelihood = 54.86, aic = -99.72 [[3]][[3]] NULL [[3]][[4]] NULL $aic [1] -99.71934 -101.71913 > postscript(file="/var/www/html/rcomp/tmp/120021229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > resid <- arimaSelectplot(selection) > dev.off() null device 1 > resid Time Series: Start = 1 End = 108 Frequency = 1 [1] 0.003452516 -0.059041328 0.052137810 0.063618883 0.021451888 [6] 0.068983041 0.047995093 0.046562295 -0.057535686 -0.018176200 [11] -0.031166584 -0.019016233 0.003859164 -0.076309505 -0.104546652 [16] 0.096288596 -0.043153812 0.103006021 0.021824287 0.001783434 [21] -0.108306331 0.061241050 -0.024199038 0.055003960 0.002840873 [26] -0.064223499 0.023726405 0.002471717 -0.017753369 -0.109593585 [31] -0.122392562 0.013291031 0.051908874 0.118866490 0.141135171 [36] -0.135725802 0.037255594 -0.193841158 -0.010271755 0.254333247 [41] -0.062767232 0.176324216 -0.117602027 0.036910081 -0.073042871 [46] -0.007498981 -0.009368369 0.031244803 0.122627515 -0.020405251 [51] -0.030132272 -0.027909092 -0.094186650 0.064687714 -0.046905940 [56] 0.035774098 0.055286224 0.012313592 0.018865560 -0.045357315 [61] 0.018230549 -0.029889975 0.034104825 -0.039409581 0.018980068 [66] -0.006860805 0.032435455 -0.016651649 -0.013012640 -0.009390150 [71] 0.019843088 0.047351605 0.023762145 0.029357080 -0.067298252 [76] -0.015758259 -0.065590542 -0.076753957 0.080401727 0.049129157 [81] 0.084100709 0.031376170 -0.096747559 -0.022985487 -0.014777429 [86] 0.033548777 -0.036958350 0.069853951 -0.126122465 0.022481790 [91] -0.043982408 -0.071278708 0.003175615 -0.090983798 -0.091028569 [96] 0.134114668 -0.113198729 0.102414622 0.059091769 0.159467448 [101] 0.004151445 -0.204183635 -0.298239388 0.095391219 -0.094720562 [106] -1.223215177 0.031576122 -0.053589702 > postscript(file="/var/www/html/rcomp/tmp/2cazc1229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > acf(resid,length(resid)/2, main='Residual Autocorrelation Function') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/3nbow1229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > pacf(resid,length(resid)/2, main='Residual Partial Autocorrelation Function') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/42hv61229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > cpgram(resid, main='Residual Cumulative Periodogram') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/5gork1229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > hist(resid, main='Residual Histogram', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/6a4271229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > densityplot(~resid,col='black',main='Residual Density Plot', xlab='values of Residuals') > dev.off() null device 1 > postscript(file="/var/www/html/rcomp/tmp/7b1km1229514503.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > qqnorm(resid, main='Residual Normal Q-Q Plot') > qqline(resid) > dev.off() null device 1 > ncols <- length(selection[[1]][1,]) > nrows <- length(selection[[2]][,1])-1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'ARIMA Parameter Estimation and Backward Selection', ncols+1,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Iteration', header=TRUE) > for (i in 1:ncols) { + a<-table.element(a,names(selection[[3]][[1]]$coef)[i],header=TRUE) + } > a<-table.row.end(a) > for (j in 1:nrows) { + a<-table.row.start(a) + mydum <- 'Estimates (' + mydum <- paste(mydum,j) + mydum <- paste(mydum,')') + a<-table.element(a,mydum, header=TRUE) + for (i in 1:ncols) { + a<-table.element(a,round(selection[[1]][j,i],4)) + } + a<-table.row.end(a) + a<-table.row.start(a) + a<-table.element(a,'(p-val)', header=TRUE) + for (i in 1:ncols) { + mydum <- '(' + mydum <- paste(mydum,round(selection[[2]][j,i],4),sep='') + mydum <- paste(mydum,')') + a<-table.element(a,mydum) + } + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/html/rcomp/tmp/8ogf71229514503.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Estimated ARIMA Residuals', 1,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Value', 1,TRUE) > a<-table.row.end(a) > for (i in (par4*par5+par3):length(resid)) { + a<-table.row.start(a) + a<-table.element(a,resid[i]) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/html/rcomp/tmp/9umny1229514503.tab") > > system("convert tmp/120021229514503.ps tmp/120021229514503.png") > system("convert tmp/2cazc1229514503.ps tmp/2cazc1229514503.png") > system("convert tmp/3nbow1229514503.ps tmp/3nbow1229514503.png") > system("convert tmp/42hv61229514503.ps tmp/42hv61229514503.png") > system("convert tmp/5gork1229514503.ps tmp/5gork1229514503.png") > system("convert tmp/6a4271229514503.ps tmp/6a4271229514503.png") > system("convert tmp/7b1km1229514503.ps tmp/7b1km1229514503.png") > > > proc.time() user system elapsed 1.952 1.034 2.817