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(0.9,0.9,0.9,0.9,0.9,0.91,0.91,0.91,0.91,0.91,0.92,0.92,0.92,0.92,0.92,0.93,0.93,0.93,0.93,0.93,0.92,0.93,0.93,0.93,0.94,0.95,0.95,0.96,0.97,0.97,0.97,0.98,0.98,0.98,0.98,0.98,0.98,1,1.01,1.01,1.02,1.02,1.02,1.02,1.03,1.03,1.03,1.03,1.03,1.04,1.05,1.05,1.05,1.05,1.06,1.06,1.06,1.06,1.06,1.06,1.06,1.07,1.08,1.09,1.09,1.09,1.09,1.09,1.09,1.09,1.09,1.09) > 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/1kgzv1352718004.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/2t6g91352718004.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/38wys1352718004.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 0.96681675 0.93167782 0.89556105 0.85748860 0.81811236 [7] 0.78110377 0.74181354 0.70089359 0.65997363 0.62027145 0.58448062 [13] 0.55088541 0.51435668 0.47456849 0.43347650 0.39507810 0.35439808 [19] 0.31241427 0.27295202 0.23186003 0.18742257 0.14502680 0.10384880 [25] 0.06356263 0.02531815 -0.01186247 -0.05067283 -0.08744149 -0.11866906 [31] -0.15054853 -0.18307988 -0.21291765 -0.24055981 -0.26917980 -0.29560418 [37] -0.31698545 -0.33901860 -0.35566458 -0.36994292 -0.38552505 -0.39873953 [43] -0.40878057 -0.41882160 -0.42853669 -0.43271068 -0.43403716 -0.43568959 [49] -0.43449452 > (mypacf <- c(rpacf$acf)) [1] 0.9668167505 -0.0468366042 -0.0323527028 -0.0483011804 -0.0388014204 [6] 0.0165980526 -0.0566648715 -0.0457611317 -0.0236999221 -0.0047418019 [11] 0.0391778371 0.0060827961 -0.0722897974 -0.0761136388 -0.0459439521 [16] 0.0211328903 -0.0623954143 -0.0564858890 0.0052186367 -0.0511919202 [21] -0.0712037069 -0.0058976757 -0.0260476006 -0.0253559583 -0.0116769595 [26] -0.0204772734 -0.0586274646 -0.0145653850 0.0467517649 -0.0486004431 [31] -0.0581535159 -0.0083209379 0.0035273844 -0.0397123576 -0.0167470146 [36] 0.0282114040 -0.0461053557 0.0464983253 0.0007214614 -0.0534453573 [41] -0.0077443413 -0.0016823574 -0.0214395956 -0.0279407509 0.0340095481 [46] 0.0203264246 -0.0218897116 0.0068554304 > 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/4vh2c1352718004.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/5lf6b1352718004.tab") > > try(system("convert tmp/1kgzv1352718004.ps tmp/1kgzv1352718004.png",intern=TRUE)) character(0) > try(system("convert tmp/2t6g91352718004.ps tmp/2t6g91352718004.png",intern=TRUE)) character(0) > try(system("convert tmp/38wys1352718004.ps tmp/38wys1352718004.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 7.095 1.263 8.304