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(126.81,125.8,123.07,119.52,118.03,117.27,117.27,116.69,115.38,114.31,113.33,111.79,111.79,110.92,109.37,107.04,104.72,104.14,104.14,102.95,102.13,101.01,100.07,99.4,99.4,99.34,97.72,96.26,95.77,95.04,95.04,94.55,94,93.14,91.21,90.3,90.3,89.74,89.07,89.06,88.97,88.78,88.78,88.23,87.91,87.79,87.89,88,88,87.08,85.75,84.29,84.39,83.72,83.72,81.76,81.53,80.55,79.83,78.98,78.98,78.27,77.41,76.75,76.38,74.96,74.96,74.46,74.04,73.22,72.97,72.91) > 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/fisher/rcomp/tmp/1l9bg1352729285.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/fisher/rcomp/tmp/2lgxi1352729285.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/fisher/rcomp/tmp/3p7s01352729285.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 0.94687409 0.89236658 0.84137454 0.79717207 0.75440879 [7] 0.71138768 0.66531482 0.61976938 0.57505286 0.53190147 0.49006714 [13] 0.45016095 0.40731082 0.36507111 0.32514738 0.29000105 0.25845378 [19] 0.22910259 0.19761065 0.16780227 0.13814179 0.11165415 0.08777031 [25] 0.06495192 0.04016251 0.01391423 -0.01015951 -0.03206389 -0.05372829 [31] -0.07440717 -0.09656908 -0.11891596 -0.14132375 -0.16299002 -0.18082563 [37] -0.19732846 -0.21516036 -0.23129428 -0.24410779 -0.25673295 -0.26958897 [43] -0.28249032 -0.29662983 -0.30945581 -0.32172451 -0.33242793 -0.34226902 [49] -0.35365604 > (mypacf <- c(rpacf$acf)) [1] 0.9468740896 -0.0406456451 0.0054054549 0.0371468379 -0.0115570894 [6] -0.0235018013 -0.0501023977 -0.0201254337 -0.0216286214 -0.0162696198 [11] -0.0154021190 -0.0080977256 -0.0538809964 -0.0211205175 -0.0077991670 [16] 0.0127698403 0.0067484198 -0.0015174409 -0.0378228856 -0.0045574242 [21] -0.0245596871 0.0008421478 -0.0009859876 -0.0141238307 -0.0364315782 [26] -0.0357273336 -0.0044942230 -0.0110528062 -0.0265398682 -0.0139532108 [31] -0.0332582499 -0.0255419243 -0.0269816725 -0.0247092843 0.0068887391 [36] -0.0157325864 -0.0333746957 -0.0031571686 0.0073608835 -0.0277873289 [41] -0.0279684997 -0.0245647217 -0.0357175544 -0.0150699363 -0.0255462311 [46] -0.0147212832 -0.0225845376 -0.0451337305 > lengthx <- length(x) > sqrtn <- sqrt(lengthx) > > #Note: the /var/fisher/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/fisher/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/fisher/rcomp/tmp/4jhfu1352729285.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/fisher/rcomp/tmp/513b51352729285.tab") > > try(system("convert tmp/1l9bg1352729285.ps tmp/1l9bg1352729285.png",intern=TRUE)) character(0) > try(system("convert tmp/2lgxi1352729285.ps tmp/2lgxi1352729285.png",intern=TRUE)) character(0) > try(system("convert tmp/3p7s01352729285.ps tmp/3p7s01352729285.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.758 0.393 2.143