R version 3.0.2 (2013-09-25) -- "Frisbee Sailing" Copyright (C) 2013 The R Foundation for Statistical Computing Platform: x86_64-pc-linux-gnu (64-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(564410,658506,574787,611567,565210,638288,524970,505151,605350,517957,510879,622942,459903,486911,545974,481494,492324,609265,573243,524622,540071,564556,465319,458048,492603,606596,776475,749810,832426,895273,643875,348031,301771,411429,350941,425245,447041,449723,514318,445044,532552,469484,442289,532681,524463,590857,487590,612157,598030,577042,755394,697253,476835,510995,527816,482667,531528,628748,472131,445430,551715,561949,769474,583410,480271,576444,550457,534892,541769,741041,482062,586176) > 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/1zvqh1413379245.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/2kclh1413379245.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/3u3qj1413379245.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 0.529275552 0.240849894 0.104093339 -0.141652345 [6] -0.264087068 -0.207096463 -0.132331732 -0.164068976 -0.067808456 [11] -0.069421710 -0.057071757 0.005653910 -0.184786154 -0.207284912 [16] -0.116624700 -0.148392636 -0.084803838 0.043164541 0.052318771 [21] 0.064219793 0.222015909 0.242890347 0.110704692 0.178949311 [26] 0.082382657 -0.017199004 -0.020010436 -0.045246617 -0.095013156 [31] -0.169385391 -0.152769430 -0.055627723 0.038170617 0.004276419 [36] -0.052462889 0.022348792 -0.059924910 -0.137507283 -0.002624632 [41] 0.053978489 -0.014198535 0.043571311 0.059456847 0.006004700 [46] 0.029209772 0.029461972 -0.022070759 0.019000487 > (mypacf <- c(rpacf$acf)) [1] 0.529275552 -0.054569378 -0.002029566 -0.258870768 -0.112602655 [6] 0.027183008 0.031253071 -0.152225761 0.026367416 -0.128430191 [11] 0.029378561 0.006046621 -0.344303014 -0.041692337 0.019390373 [16] -0.120797797 -0.002190787 -0.073464514 -0.101795710 0.065632159 [21] 0.117731272 0.034309090 -0.154052119 0.119681786 0.004500499 [26] 0.006893284 -0.059272788 -0.017180345 -0.062278412 -0.130672306 [31] -0.004503777 0.140332195 -0.029066591 -0.083959751 -0.051719903 [36] 0.047308951 -0.005967302 -0.093194341 0.049505596 0.038181798 [41] -0.082311332 0.041751395 -0.161481581 -0.081385062 0.073212893 [46] -0.059399703 -0.034098601 -0.026148076 > 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/4ke8o1413379245.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/53km21413379245.tab") > > try(system("convert tmp/1zvqh1413379245.ps tmp/1zvqh1413379245.png",intern=TRUE)) character(0) > try(system("convert tmp/2kclh1413379245.ps tmp/2kclh1413379245.png",intern=TRUE)) character(0) > try(system("convert tmp/3u3qj1413379245.ps tmp/3u3qj1413379245.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.212 0.192 1.418