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(31.5,31.29,31.3,31.06,31.09,31.11,31.13,31.1,31.03,30.74,30.83,30.82,30.8,30.74,30.71,30.58,30.71,30.7,30.7,30.72,30.68,30.78,30.84,30.8,30.8,30.88,30.87,30.92,30.82,30.75,30.75,30.75,30.63,30.52,30.58,30.6,30.6,30.63,30.56,30.61,30.53,30.6,30.6,30.63,30.66,30.34,30.32,30.3,30.3,30.08,29.96,29.91,29.83,29.89,29.85,30.06,29.83,29.95,30.02,30.03,30.03,29.96,29.85,30.12,29.91,29.9,29.92,29.89,29.96,29.72,29.6,29.54) > 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/1oxjd1352718665.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/2y5k31352718665.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/3gzlp1352718665.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] 1.000000000 0.907585372 0.842710338 0.776941499 0.743396388 [6] 0.700838306 0.647464807 0.587422257 0.536828826 0.498965262 [11] 0.466258327 0.437767482 0.411130265 0.387326522 0.366997865 [16] 0.343926969 0.322962634 0.304948971 0.267942126 0.237985589 [21] 0.194830400 0.153151289 0.104447088 0.058773668 0.030577297 [26] -0.003119872 -0.042172456 -0.078863317 -0.097951772 -0.110605569 [31] -0.121482140 -0.132986229 -0.151195713 -0.160400385 -0.165469074 [36] -0.169442203 -0.171998594 -0.184568573 -0.207674332 -0.232015842 [41] -0.254485181 -0.260631629 -0.279726018 -0.305422700 -0.328530684 [46] -0.349868859 -0.352393355 -0.350537091 -0.361763766 > (mypacf <- c(rpacf$acf)) [1] 0.9075853718 0.1077727668 -0.0187960608 0.1497768053 -0.0212607324 [6] -0.0903256352 -0.0587962708 -0.0009302675 0.0317448107 0.0167000035 [11] 0.0332373863 0.0268179086 0.0098303169 0.0084558481 -0.0270149739 [16] -0.0064880807 0.0103180007 -0.1239697271 -0.0058495096 -0.0824332056 [21] -0.0720349918 -0.0662775966 -0.0414134955 0.0744651779 -0.0403955973 [26] -0.0681968111 -0.0017929968 0.0465150826 0.0023322774 -0.0117663335 [31] 0.0103283316 -0.0422066068 -0.0011338448 0.0081511816 0.0017875370 [36] 0.0196205759 -0.0340221589 -0.0924111718 -0.0343044596 -0.0326352822 [41] 0.0381328620 -0.0621844351 -0.0709040518 -0.0007673278 -0.0718619378 [46] 0.0467301093 0.0320072074 -0.1040546258 > 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/4qyjl1352718665.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/5cu0s1352718665.tab") > > try(system("convert tmp/1oxjd1352718665.ps tmp/1oxjd1352718665.png",intern=TRUE)) character(0) > try(system("convert tmp/2y5k31352718665.ps tmp/2y5k31352718665.png",intern=TRUE)) character(0) > try(system("convert tmp/3gzlp1352718665.ps tmp/3gzlp1352718665.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 2.192 0.353 2.506