x <- c(85.73,85.73,85.74,86.32,87.59,87.81,87.87,87.94,87.96,88.01,88.01,88.01,88.01,88.01,88.59,89.43,89.63,89.73,89.88,89.89,89.9,89.91,89.86,90.07,90.17,90.17,90.28,90.87,92.05,92.1,92.16,92.22,92.25,92.29,92.29,92.29,92.29,92.29,91.95,91.82,92.16,92.31,92.33,92.4,92.54,92.49,92.54,92.58,92.58,92.39,92.33,93.59,95.51,95.99,96.22,97.2,98.54,99.64,100.23,100.17) 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$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_autocorrelation.wasp/ #Source of accompanying publication: # if (par1 == 'Default') { par1 = 10*log10(length(x)) } else { par1 <- as.numeric(par1) } par2 <- as.numeric(par2) par3 <- as.numeric(par3) par4 <- as.numeric(par4) par5 <- as.numeric(par5) if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma' par7 <- as.numeric(par7) if (par8 != '') par8 <- as.numeric(par8) ox <- x if (par8 == '') { if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } } else { x <- log(x,base=par8) } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) postscript(file="/var/wessaorg/rcomp/tmp/18czp1387734636.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) op <- par(mfrow=c(2,1)) plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value') if (par8=='') { mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } else { mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } plot(x,type='l', main=mytitle,xlab='time',ylab='value') par(op) dev.off() postscript(file="/var/wessaorg/rcomp/tmp/2gov81387734636.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) dev.off() postscript(file="/var/wessaorg/rcomp/tmp/3zruh1387734636.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) dev.off() (myacf <- c(racf$acf)) (mypacf <- c(rpacf$acf)) 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/4qrtm1387734636.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/5bxyk1387734636.tab") try(system("convert tmp/18czp1387734636.ps tmp/18czp1387734636.png",intern=TRUE)) try(system("convert tmp/2gov81387734636.ps tmp/2gov81387734636.png",intern=TRUE)) try(system("convert tmp/3zruh1387734636.ps tmp/3zruh1387734636.png",intern=TRUE))