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Type 'q()' to quit R. > x <- c(7.3,7.6,7.5,7.6,7.9,7.9,8.1,8.2,8,7.5,6.8,6.5,6.6,7.6,8,8.1,7.7,7.5,7.6,7.8,7.8,7.8,7.5,7.5,7.1,7.5,7.5,7.6,7.7,7.7,7.9,8.1,8.2,8.2,8.2,7.9,7.3,6.9,6.6,6.7,6.9,7,7.1,7.2,7.1,6.9,7,6.8,6.4,6.7,6.6,6.4,6.3,6.2,6.5,6.8,6.8,6.4,6.1,5.8,6.1,7.2,7.3,6.9,6.1,5.8,6.2,7.1,7.7,7.9,7.7,7.4,7.5) > par9 = '1' > par8 = '2' > par7 = '1' > par6 = '3' > par5 = '12' > par4 = '0' > par3 = '1' > par2 = '-0.3' > 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] [,5] [,6] [,7] [1,] 0.5968187 -0.2392673 -0.3699419 -0.09308135 0.2129019 0.1525442 0.3499989 [2,] 0.5917523 -0.2373115 -0.3727699 -0.08051944 0.0000000 0.2872496 0.5516702 [3,] 0.5297438 -0.1928507 -0.4030135 0.00000000 0.0000000 0.3062340 0.5505775 [4,] 0.4154477 0.0000000 -0.5110233 0.00000000 0.0000000 0.2577625 0.5717437 [5,] 0.3850672 0.0000000 -0.4883030 0.00000000 0.0000000 0.0000000 0.5275187 [6,] NA NA NA NA NA NA NA [7,] NA NA NA 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 [[2]] [,1] [,2] [,3] [,4] [,5] [,6] [,7] [1,] 0.01935 0.24616 0.02037 0.73946 0.80848 0.76354 0.68655 [2,] 0.01992 0.25123 0.01955 0.77310 NA 0.14235 0.00002 [3,] 0.00002 0.12695 0.00035 NA NA 0.09638 0.00001 [4,] 0.00001 NA 0.00000 NA NA 0.15654 0.00001 [5,] 0.00005 NA 0.00000 NA NA NA 0.00003 [6,] NA NA NA NA NA NA NA [7,] NA NA NA 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 0.5968 -0.2393 -0.3699 -0.0931 0.2129 0.1525 0.3500 s.e. 0.2488 0.2045 0.1556 0.2787 0.8748 0.5049 0.8634 sigma^2 estimated as 2.792e-05: log likelihood = 272.6, aic = -529.21 [[3]][[2]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0.5968 -0.2393 -0.3699 -0.0931 0.2129 0.1525 0.3500 s.e. 0.2488 0.2045 0.1556 0.2787 0.8748 0.5049 0.8634 sigma^2 estimated as 2.792e-05: log likelihood = 272.6, aic = -529.21 [[3]][[3]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0.5918 -0.2373 -0.3728 -0.0805 0 0.2872 0.5517 s.e. 0.2480 0.2050 0.1558 0.2781 0 0.1935 0.1184 sigma^2 estimated as 2.793e-05: log likelihood = 272.58, aic = -531.17 [[3]][[4]] Call: arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, fixed = last.arma$next.vector, method = "ML") Coefficients: ar1 ar2 ar3 ma1 sar1 sar2 sma1 0.5297 -0.1929 -0.4030 0 0 0.3062 0.5506 s.e. 0.1158 0.1248 0.1069 0 0 0.1816 0.1175 sigma^2 estimated as 2.789e-05: log likelihood = 272.54, aic = -533.09 [[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 0.4154 0 -0.5110 0 0 0.2578 0.5717 s.e. 0.0870 0 0.0825 0 0 0.1799 0.1200 sigma^2 estimated as 2.893e-05: log likelihood = 271.34, aic = -532.69 [[3]][[6]] NULL [[3]][[7]] NULL $aic [1] -529.2094 -531.1693 -533.0853 -532.6854 -532.6820 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 > postscript(file="/var/www/html/rcomp/tmp/1qxos1259953059.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 = 73 Frequency = 1 [1] 0.0005508110 -0.0042834300 0.0033967315 -0.0037264924 -0.0072698916 [6] 0.0034856612 -0.0040988644 -0.0028339463 0.0034751907 0.0056204332 [11] 0.0089440046 0.0034502783 -0.0008962786 -0.0123160640 0.0022946022 [16] 0.0013612765 0.0017204550 -0.0053133039 -0.0021225957 0.0027856423 [21] 0.0013446918 -0.0048680432 -0.0017898172 -0.0042716023 0.0093918218 [26] -0.0017479530 0.0010235382 0.0022864242 -0.0045779714 0.0029562941 [31] -0.0027282563 -0.0040674782 -0.0022872011 -0.0002755020 -0.0038499098 [36] 0.0066613388 0.0051654579 0.0086671989 0.0047001406 -0.0004276689 [41] 0.0042890030 0.0026647671 0.0001670535 -0.0017747788 0.0023475701 [46] 0.0030488758 -0.0044764478 0.0039401572 0.0054582296 -0.0158323395 [51] 0.0046369802 0.0090884457 -0.0044116349 0.0011975372 -0.0053414144 [56] -0.0010122332 0.0033339029 0.0047595706 0.0031913139 0.0018728623 [61] -0.0130687537 -0.0122646673 0.0095903154 0.0003809129 0.0050743629 [66] -0.0026556096 -0.0068299740 -0.0058339249 -0.0016864398 -0.0079724698 [71] -0.0062840128 -0.0049398194 -0.0023266138 > postscript(file="/var/www/html/rcomp/tmp/2g19j1259953059.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/3n9lk1259953059.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/4rdz41259953059.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/5sxox1259953059.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/6a0cs1259953059.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/7pdy51259953059.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/8r8d61259953059.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/9eato1259953059.tab") > system("convert tmp/1qxos1259953059.ps tmp/1qxos1259953059.png") > system("convert tmp/2g19j1259953059.ps tmp/2g19j1259953059.png") > system("convert tmp/3n9lk1259953059.ps tmp/3n9lk1259953059.png") > system("convert tmp/4rdz41259953059.ps tmp/4rdz41259953059.png") > system("convert tmp/5sxox1259953059.ps tmp/5sxox1259953059.png") > system("convert tmp/6a0cs1259953059.ps tmp/6a0cs1259953059.png") > system("convert tmp/7pdy51259953059.ps tmp/7pdy51259953059.png") > > > proc.time() user system elapsed 4.757 1.473 5.732