R version 2.15.2 (2012-10-26) -- "Trick or Treat" Copyright (C) 2012 The R Foundation for Statistical Computing ISBN 3-900051-07-0 Platform: i686-pc-linux-gnu (32-bit) R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > x <- c(20.89,21.04,21.07,21.12,21.25,21.24,21.24,21.22,21.29,21.25,21.15,21.16,21.16,21.52,21.59,21.6,21.68,21.67,21.67,21.65,21.74,21.72,21.84,21.94,21.94,21.95,21.96,22.1,22.13,22.18,22.18,22.27,22.3,22.04,22.05,22.06,22.06,22.06,21.97,22.03,22.08,22.13,22.13,22.4,22.4,22.12,22.22,22.14,22.14,22.19,22.29,22.24,22.26,22.29,22.29,22.29,22.29,22.35,22.39,22.43,22.43,22.11,22.12,22.05,22.05,22.08,22.08,22.09,22.09,22.24,22.25,22.24) > par8 = '' > par7 = '0.95' > par6 = 'White Noise' > par5 = '12' > par4 = '0' > par3 = '0' > par2 = '1' > par1 = '48' > par8 <- '' > par7 <- '0.95' > par6 <- 'White Noise' > par5 <- '12' > par4 <- '0' > par3 <- '0' > par2 <- '1' > par1 <- '48' > #'GNU S' R Code compiled by R2WASP v. 1.2.291 () > #Author: root > #To cite this work: Wessa P., (2012), (Partial) Autocorrelation Function (v1.0.11) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_autocorrelation.wasp/ > #Source of accompanying publication: > # > 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) > postscript(file="/var/wessaorg/rcomp/tmp/1vqik1352710660.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > 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() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/2vw9u1352710660.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) > dev.off() null device 1 > postscript(file="/var/wessaorg/rcomp/tmp/354rb1352710660.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) > dev.off() null device 1 > (myacf <- c(racf$acf)) [1] 1.00000000 0.92491914 0.86164335 0.80295661 0.74853873 0.70833539 [7] 0.66812383 0.63375735 0.59032361 0.55965956 0.51373838 0.45989927 [13] 0.40039159 0.32765040 0.28975799 0.24958748 0.21017634 0.16547836 [19] 0.12318983 0.08461194 0.03929005 0.01178661 -0.02269891 -0.04008431 [25] -0.05667750 -0.07037279 -0.07986077 -0.09532928 -0.11220159 -0.13918374 [31] -0.15150396 -0.17347839 -0.18345073 -0.17700432 -0.19145076 -0.20041334 [37] -0.21347650 -0.22532468 -0.23922930 -0.26046490 -0.28427823 -0.30564517 [43] -0.31609365 -0.33332307 -0.32521837 -0.31530350 -0.32646209 -0.33146775 [49] -0.34180541 > (mypacf <- c(rpacf$acf)) [1] 0.9249191377 0.0426774492 0.0037764854 0.0021420789 0.0731653917 [6] -0.0071518711 0.0249566340 -0.0715114559 0.0670918300 -0.1146214190 [11] -0.0874197152 -0.0970413831 -0.1368904787 0.1561118145 -0.0325369758 [16] -0.0440864808 -0.0684812954 -0.0011024392 -0.0050297767 -0.0575448865 [21] 0.0603838529 -0.0086610223 0.0770312167 -0.0179273954 0.0036718760 [26] -0.0136843210 0.0183392195 -0.0485489891 -0.0776622877 0.0259572551 [31] -0.0832688962 0.0409875818 0.0473215453 -0.1224412579 -0.0308482669 [36] -0.0071011508 -0.0289197782 -0.0239345876 -0.0963801267 -0.0610657158 [41] 0.0007820007 -0.0378825085 -0.0307758401 0.1234496561 0.0635424887 [46] -0.1008505552 -0.0365881633 -0.0379820978 > lengthx <- length(x) > sqrtn <- sqrt(lengthx) > > #Note: the /var/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/wessaorg/rcomp/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('http://www.xycoon.com/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="/var/wessaorg/rcomp/tmp/4kt7i1352710660.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('http://www.xycoon.com/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="/var/wessaorg/rcomp/tmp/51uba1352710660.tab") > > try(system("convert tmp/1vqik1352710660.ps tmp/1vqik1352710660.png",intern=TRUE)) character(0) > try(system("convert tmp/2vw9u1352710660.ps tmp/2vw9u1352710660.png",intern=TRUE)) character(0) > try(system("convert tmp/354rb1352710660.ps tmp/354rb1352710660.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.869 0.426 2.273