R version 3.0.2 (2013-09-25) -- "Frisbee Sailing" Copyright (C) 2013 The R Foundation for Statistical Computing 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(99.42,99.42,99.42,99.42,99.42,109.26,110,110,109.26,100.07,100.07,100.05,100.05,100.05,100.05,100.05,100.05,108.77,111.32,111.6,108.52,103.13,102.87,102.75,102.75,102.75,102.75,102.75,102.75,115.22,115.53,115.4,111.99,107.93,107.43,106.98,106.98,106.98,106.98,106.98,106.98,113.71,118.77,118.54,116.16,110.52,110.06,109.9,109.9,110.72,110.09,110.07,112.45,113.06,119.83,119.84,113.73,110.5,110.12,109.86,110.36,110.36,110.59,112.52,112.1,115.9,122.96,121.26,114.55,111.57,110.65,109.77,112.38,112.35,112.2,114.46,116.26,119.57,127.77,126.59,120.45,116.38,116.3,115.05) > 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/1aqx11384774217.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/2litb1384774217.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/30z921384774217.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 0.849475201 0.628067245 0.433370924 0.292564262 [6] 0.229257261 0.210613900 0.206603198 0.224756414 0.312950201 [11] 0.437913943 0.583481582 0.658510182 0.547111396 0.359754689 [16] 0.194963102 0.086476320 0.034019079 0.016621008 0.021289600 [21] 0.044275642 0.113550330 0.214120505 0.328908325 0.376417648 [26] 0.282703023 0.120224764 -0.025879725 -0.108920379 -0.149257410 [31] -0.143802199 -0.122121442 -0.093997979 -0.040623353 0.047218531 [36] 0.130128310 0.163794627 0.097258296 -0.048111085 -0.176651540 [41] -0.247489719 -0.275863751 -0.278566920 -0.248201425 -0.206379010 [46] -0.159600935 -0.087419089 -0.020043461 -0.002886614 > (mypacf <- c(rpacf$acf)) [1] 0.8494752006 -0.3360043051 0.0243080008 0.0198601009 0.1278299411 [6] 0.0156752594 0.0186206798 0.1085174345 0.3138088729 0.1715616519 [11] 0.2854466927 -0.0267963582 -0.4344889041 -0.0606680809 0.0356946786 [16] 0.0075121897 -0.0731879607 -0.0796658601 0.0649050429 0.0114485993 [21] -0.0227570974 -0.0065110609 0.0425891743 -0.0300718857 -0.1033022390 [26] -0.0473899485 -0.0095773422 0.0400458858 -0.0695270024 0.0743076703 [31] -0.0259040383 -0.0353560866 -0.0422823829 0.0665529825 -0.0958624852 [36] 0.0529710610 -0.0165355712 -0.0888423084 -0.0062865305 -0.0176704789 [41] -0.0114693015 -0.1153052313 0.0486085479 0.0523301060 -0.0769548941 [46] -0.0383454819 0.0007323051 -0.0421295539 > 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/4ion91384774217.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/58fu31384774217.tab") > > try(system("convert tmp/1aqx11384774217.ps tmp/1aqx11384774217.png",intern=TRUE)) character(0) > try(system("convert tmp/2litb1384774217.ps tmp/2litb1384774217.png",intern=TRUE)) character(0) > try(system("convert tmp/30z921384774217.ps tmp/30z921384774217.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 3.171 0.590 3.733