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Type 'q()' to quit R. > x <- c(88900,87280,85519,83647,81616,80100,94027,102327,104296,101593,94816,93535,93618,92330,90751,88576,86102,85494,103432,108870,109713,106960,103195,102348,102158,100431,97649,95611,93035,93579,111777,116065,116609,112934,107660,107965,107772,106201,102288,99217,96511,96456,113021,117836,118492,113922,109317,107496,105524,103824,101833,99436,96915,96072,111941,116008,117557,113445,108762,106661,102824,101912,99005,97894,96256,95606,108948,111223,113142,106078,100992,97413) > par9 = '1' > par8 = '2' > par7 = '1' > par6 = '3' > par5 = '12' > par4 = '1' > par3 = '1' > par2 = '-2.0' > 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) + 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] [,5] [,6] [1,] -0.1723987 -0.09658410 -0.2892101 0.2845367 0.9888259 -0.04026119 [2,] -0.1606830 -0.09713855 -0.2883534 0.2754096 0.9085790 0.00000000 [3,] 0.0000000 -0.11825965 -0.2656218 0.1211458 0.9380561 0.00000000 [4,] 0.0000000 -0.12244385 -0.2623712 0.0000000 0.8545372 0.00000000 [5,] 0.0000000 0.00000000 -0.2666150 0.0000000 0.8031710 0.00000000 [6,] 0.0000000 0.00000000 -0.2485278 0.0000000 0.2324410 0.00000000 [7,] 0.0000000 0.00000000 -0.2508211 0.0000000 0.0000000 0.00000000 [8,] 0.0000000 0.00000000 0.0000000 0.0000000 0.0000000 0.00000000 [9,] NA NA NA NA NA NA [10,] NA NA NA NA NA NA [11,] NA NA NA NA NA NA [12,] NA NA NA NA NA NA [13,] NA NA NA NA NA NA [14,] NA NA NA NA NA NA [,7] [1,] -0.8475298 [2,] -0.7752308 [3,] -0.8258550 [4,] -0.6942729 [5,] -0.6328301 [6,] 0.0000000 [7,] 0.0000000 [8,] 0.0000000 [9,] NA [10,] NA [11,] NA [12,] NA [13,] NA [14,] NA [[2]] [,1] [,2] [,3] [,4] [,5] [,6] [,7] [1,] 0.63986 0.48241 0.03623 0.43593 0.15213 0.88554 0.32440 [2,] 0.66557 0.48202 0.03712 0.45808 0.04161 NA 0.24790 [3,] NA 0.36327 0.04712 0.37772 0.03069 NA 0.24245 [4,] NA 0.34183 0.05028 NA 0.03825 NA 0.22000 [5,] NA NA 0.04792 NA 0.05765 NA 0.24502 [6,] NA NA 0.06136 NA 0.13791 NA NA [7,] NA NA 0.05857 NA NA NA NA [8,] NA NA NA NA NA NA NA [9,] NA NA NA NA NA NA NA [10,] NA NA NA NA NA NA NA [11,] NA NA NA NA NA NA NA [12,] NA NA NA NA NA NA NA [13,] NA NA NA NA NA NA NA [14,] NA NA NA 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 sar1 sar2 sma1 -0.1724 -0.0966 -0.2892 0.2845 0.9888 -0.0403 -0.8475 s.e. 0.3667 0.1367 0.1352 0.3629 0.6823 0.2786 0.8534 sigma^2 estimated as 6.22e-24: log likelihood = 1490.97, aic = -2965.94 [[3]][[2]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 -0.1724 -0.0966 -0.2892 0.2845 0.9888 -0.0403 -0.8475 s.e. 0.3667 0.1367 0.1352 0.3629 0.6823 0.2786 0.8534 sigma^2 estimated as 6.22e-24: log likelihood = 1490.97, aic = -2965.94 [[3]][[3]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 -0.1607 -0.0971 -0.2884 0.2754 0.9086 0 -0.7752 s.e. 0.3701 0.1374 0.1355 0.3690 0.4371 0 0.6649 sigma^2 estimated as 6.27e-24: log likelihood = 1490.96, aic = -2967.92 [[3]][[4]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0 -0.1183 -0.2656 0.1211 0.9381 0 -0.8259 s.e. 0 0.1292 0.1313 0.1364 0.4247 0 0.7002 sigma^2 estimated as 6.24e-24: log likelihood = 1490.89, aic = -2969.77 [[3]][[5]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0 -0.1224 -0.2624 0 0.8545 0 -0.6943 s.e. 0 0.1279 0.1316 0 0.4042 0 0.5608 sigma^2 estimated as 6.431e-24: log likelihood = 1490.5, aic = -2970.99 [[3]][[6]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0 0 -0.2666 0 0.8032 0 -0.6328 s.e. 0 0 0.1323 0 0.4159 0 0.5397 sigma^2 estimated as 6.585e-24: log likelihood = 1490.04, aic = -2972.08 [[3]][[7]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0 0 -0.2485 0 0.2324 0 0 s.e. 0 0 0.1307 0 0.1549 0 0 sigma^2 estimated as 6.764e-24: log likelihood = 1489.69, aic = -2973.38 [[3]][[8]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0 0 -0.2508 0 0 0 0 s.e. 0 0 0.1304 0 0 0 0 sigma^2 estimated as 7.094e-24: log likelihood = 1488.62, aic = -2973.23 $aic [1] -2965.943 -2967.915 -2969.774 -2970.992 -2972.083 -2973.377 -2973.234 [8] -2971.678 Warning messages: 1: In arima(series, order = order, seasonal = seasonal, include.mean = include.mean, : some AR parameters were fixed: setting transform.pars = FALSE 2: In arima(series, order = order, seasonal = seasonal, include.mean = include.mean, : some AR parameters were fixed: setting transform.pars = FALSE 3: In arima(series, order = order, seasonal = seasonal, include.mean = include.mean, : some AR parameters were fixed: setting transform.pars = FALSE 4: In arima(series, order = order, seasonal = seasonal, include.mean = include.mean, : some AR parameters were fixed: setting transform.pars = FALSE 5: In arima(series, order = order, seasonal = seasonal, include.mean = include.mean, : some AR parameters were fixed: setting transform.pars = FALSE 6: In arima(series, order = order, seasonal = seasonal, include.mean = include.mean, : some AR parameters were fixed: setting transform.pars = FALSE 7: In max(i) : no non-missing arguments to max; returning -Inf 8: In max(i) : no non-missing arguments to max; returning -Inf 9: In max(try.data.frame[, 4], na.rm = TRUE) : no non-missing arguments to max; returning -Inf > postscript(file="/var/www/html/rcomp/tmp/1xfz11200410367.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 = 72 Frequency = 1 [1] 7.305262e-14 3.634220e-14 2.840770e-14 2.663167e-14 2.775887e-14 [6] 2.837343e-14 -1.550212e-14 -3.009303e-14 -3.011705e-14 -2.238231e-14 [11] -6.635750e-15 -7.440752e-14 -4.734680e-13 -1.486357e-12 -1.301772e-12 [16] -1.478671e-13 -1.568858e-13 -4.148200e-12 -6.260671e-13 8.557341e-12 [21] 1.324548e-12 -7.727817e-13 -5.718756e-12 -9.350025e-13 4.011702e-13 [26] -1.850944e-12 1.234116e-12 -1.377820e-12 -1.258543e-12 -2.860365e-12 [31] 8.802696e-12 2.976906e-12 -2.183118e-13 2.835910e-12 2.203246e-12 [36] -1.896807e-12 8.567803e-14 -4.126779e-13 6.701456e-13 1.477678e-12 [41] -5.553250e-13 1.758713e-12 5.331972e-12 -5.539797e-13 2.624426e-13 [46] 2.208375e-12 -1.357580e-12 3.319771e-12 3.199108e-12 8.748833e-14 [51] -2.411047e-12 -5.612574e-13 -3.461978e-13 9.389279e-13 3.301236e-13 [56] 6.577443e-13 -7.101015e-13 -3.233718e-13 3.999324e-13 2.155942e-13 [61] 3.295470e-12 -1.212682e-12 2.200542e-12 -1.519149e-12 -2.065645e-12 [66] 1.161674e-13 2.790108e-12 1.647600e-12 -8.749486e-13 6.259181e-12 [71] 2.864291e-12 3.779564e-12 > postscript(file="/var/www/html/rcomp/tmp/21kcw1200410367.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/3dqlj1200410367.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/4y1vo1200410367.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/5qzkd1200410367.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/6cfzc1200410367.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/78hm81200410367.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > qqnorm(resid, main='Residual Normal Q-Q Plot') > dev.off() null device 1 > ncols <- length(selection[[1]][1,]) > nrows <- length(selection[[2]][,1])-1 > 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/8g9hk1200410367.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/9qjnx1200410367.tab") > > system("convert tmp/1xfz11200410367.ps tmp/1xfz11200410367.png") > system("convert tmp/21kcw1200410367.ps tmp/21kcw1200410367.png") > system("convert tmp/3dqlj1200410367.ps tmp/3dqlj1200410367.png") > system("convert tmp/4y1vo1200410367.ps tmp/4y1vo1200410367.png") > system("convert tmp/5qzkd1200410367.ps tmp/5qzkd1200410367.png") > system("convert tmp/6cfzc1200410367.ps tmp/6cfzc1200410367.png") > system("convert tmp/78hm81200410367.ps tmp/78hm81200410367.png") > > > proc.time() user system elapsed 8.781 1.257 9.317