R version 3.0.3 (2014-03-06) -- "Warm Puppy" Copyright (C) 2014 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(28.33,28.67,28.81,28.99,29.16,29.25,29.25,29.38,29.48,29.65,29.69,29.73,29.81,30.05,30.29,30.37,30.50,30.67,30.72,30.73,30.76,30.82,30.84,30.86,30.92,30.95,30.97,30.99,31.09,31.18,31.19,31.20,31.31,31.34,31.35,31.36,31.37,31.37,31.39,31.39,31.42,31.47,31.48,31.51,31.54,31.55,31.55,31.57,31.66,31.68,31.70,31.70,31.73,31.74,31.75,31.78,31.80,31.82,31.82,31.90) > par8 = '' > par7 = '0.95' > par6 = 'White Noise' > par5 = '12' > par4 = '0' > par3 = '1' > par2 = '1' > par1 = '48' > par8 <- '' > par7 <- '0.95' > par6 <- 'White Noise' > par5 <- '12' > par4 <- '0' > par3 <- '1' > 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/1eu5k1395086653.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/2x0bt1395086653.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/3xu911395086653.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 0.472785685 0.295529944 0.302554131 0.342953274 [6] 0.180121114 0.193009258 0.170322735 0.224731190 0.121886427 [11] 0.144845405 0.221851972 0.358950962 0.265214294 0.120493298 [16] 0.210978212 0.170769837 -0.054576180 -0.071550452 0.014750923 [21] 0.003284686 -0.103195147 -0.158760669 -0.082512623 -0.067453940 [26] -0.084807473 -0.131784195 -0.006944083 -0.048441945 -0.151409238 [31] -0.145388633 -0.022870764 -0.142513866 -0.183259040 -0.139008941 [36] -0.135707345 -0.180892789 -0.195527313 -0.192569968 -0.130366244 [41] -0.146996264 -0.182904404 -0.180944808 -0.145691943 -0.162146919 [46] -0.120201559 -0.079370643 -0.037816213 -0.106235760 > (mypacf <- c(rpacf$acf)) [1] 0.472785685 0.092731589 0.171404103 0.175686314 -0.094280003 [6] 0.089250881 -0.011330505 0.115133148 -0.058351197 0.051122120 [11] 0.134641179 0.222384671 0.028665938 -0.160783495 0.111016949 [16] -0.117107742 -0.235543869 -0.067978207 -0.012916207 0.012653884 [21] -0.089137460 -0.120926833 -0.044403313 -0.072277565 -0.010212989 [26] -0.086650971 0.110635617 -0.040725542 0.031945329 0.081274665 [31] 0.048726022 -0.062038774 0.006213729 0.086953094 -0.099485015 [36] 0.003408242 -0.012172593 -0.049193250 -0.033768492 -0.100267589 [41] -0.009185429 -0.106314993 -0.116671388 -0.005745493 0.108746441 [46] -0.014229027 0.065643857 0.062847439 > 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/4qqy81395086653.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/5l3qt1395086653.tab") > > try(system("convert tmp/1eu5k1395086653.ps tmp/1eu5k1395086653.png",intern=TRUE)) character(0) > try(system("convert tmp/2x0bt1395086653.ps tmp/2x0bt1395086653.png",intern=TRUE)) character(0) > try(system("convert tmp/3xu911395086653.ps tmp/3xu911395086653.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 3.016 0.592 3.591