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(19.31,19.47,19.7,19.76,19.9,19.97,20.1,20.26,20.44,20.43,20.57,20.6,20.69,20.93,20.98,21.11,21.14,21.16,21.32,21.32,21.48,21.58,21.74,21.75,21.81,21.89,22.21,22.37,22.47,22.51,22.55,22.61,22.58,22.85,22.93,22.98,23.01,23.11,23.18,23.18,23.21,23.22,23.12,23.15,23.16,23.21,23.21,23.22,23.25,23.39,23.41,23.45,23.46,23.44,23.54,23.62,23.86,24.07,24.13,24.12,24.17,24.23,24.28,24.12,24.14,24.17,24.2,24.36,24.34,24.38,24.46,24.6,24.63,24.75,24.64,24.69,24.7,24.74,24.87,24.92,24.94,24.98,25.13,25.15) > 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/1i5we1384972738.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/2ybr41384972738.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/3wyao1384972738.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 0.956310548 0.913301119 0.873534977 0.833507058 [6] 0.794217679 0.754494570 0.716372301 0.679524523 0.644092070 [11] 0.607553474 0.570620987 0.533267064 0.496024949 0.462482527 [16] 0.429373890 0.397505801 0.364422085 0.332235823 0.301563235 [21] 0.269908629 0.239611107 0.207572990 0.177243973 0.146018091 [26] 0.114846356 0.083566182 0.057102968 0.034452424 0.015037513 [31] -0.003887952 -0.022084622 -0.040727038 -0.060767746 -0.076831465 [36] -0.092347419 -0.106241473 -0.120211691 -0.132909120 -0.145147621 [41] -0.157543310 -0.169912944 -0.182466569 -0.198612970 -0.215023019 [46] -0.232072639 -0.249332804 -0.266619214 -0.283654671 > (mypacf <- c(rpacf$acf)) [1] 0.956310548 -0.014376322 0.015534243 -0.023776772 -0.011869185 [6] -0.027069755 -0.003267281 -0.007493347 -0.003766670 -0.033587471 [11] -0.026045855 -0.029475087 -0.022819745 0.018388236 -0.016554884 [16] -0.005745637 -0.037380522 -0.013022246 -0.008173331 -0.032880774 [21] -0.007114968 -0.043754961 -0.006241245 -0.038662177 -0.025572953 [26] -0.030521700 0.030859285 0.018310657 0.020753363 -0.015786666 [31] -0.008932330 -0.027649218 -0.037196919 0.025785228 -0.014008081 [36] 0.004318872 -0.024498575 -0.005469145 -0.019489515 -0.017585780 [41] -0.015792630 -0.017449674 -0.063981810 -0.028853257 -0.036496754 [46] -0.031594997 -0.025139115 -0.027631954 > 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/463up1384972738.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/5nhlc1384972738.tab") > > try(system("convert tmp/1i5we1384972738.ps tmp/1i5we1384972738.png",intern=TRUE)) character(0) > try(system("convert tmp/2ybr41384972738.ps tmp/2ybr41384972738.png",intern=TRUE)) character(0) > try(system("convert tmp/3wyao1384972738.ps tmp/3wyao1384972738.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.775 0.377 2.135