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Type 'q()' to quit R. > x <- c(239050,238600,236980,236050,234870,233060,231370,230300,228340,226760,223550,221460,220560,220350,219500,218800,218130,217150,216430,215310,213780,213040,211940,212270,212540,213790,214400,215520,216690,217630,218710,219360,219800,221110,221320,225230,227340,228930,230340,231270,231830,232450,233220,233520,234520,234860,236560,238310,239690,240700,241330,241580,241670,241970,241690,241410,242130,242130,243320,242030,242740,243050,243360,243940,244270,244350,244260,244230,245130,246740,247910,249590,251610,253430,255290,256710,257190,257820,257460,257970,259520,261340,263150) > 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/1fq8s1413462540.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/2ndtp1413462541.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/3097i1413462541.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 0.969481092 0.936480570 0.901673151 0.865436527 [6] 0.826456693 0.783504227 0.738624748 0.691526978 0.644196039 [11] 0.597474016 0.551947098 0.507768137 0.464304253 0.421509885 [16] 0.380714588 0.341522664 0.302349230 0.263354090 0.225008835 [21] 0.187912596 0.152776221 0.118736320 0.085942899 0.054629765 [26] 0.021673183 -0.008635066 -0.038105459 -0.065445378 -0.092688744 [31] -0.119680427 -0.145471018 -0.170579538 -0.195011127 -0.218867212 [36] -0.241273485 -0.262909937 -0.282265364 -0.299365917 -0.316500910 [41] -0.332397278 -0.348125088 -0.362711330 -0.376631193 -0.389959922 [46] -0.402663868 -0.413827846 -0.423363702 -0.430208163 > (mypacf <- c(rpacf$acf)) [1] 0.9694810918 -0.0567829228 -0.0455715587 -0.0399626958 -0.0629086892 [6] -0.0838599170 -0.0501138453 -0.0575176701 -0.0253726287 -0.0117337979 [11] -0.0030546368 -0.0023590914 -0.0148365613 -0.0196130504 0.0001090518 [16] -0.0098344115 -0.0375934856 -0.0338791354 -0.0263881563 -0.0171401313 [21] -0.0032707889 -0.0163538302 -0.0129126006 -0.0084618872 -0.0636964642 [26] 0.0083084217 -0.0244513422 -0.0036206961 -0.0346640827 -0.0294678269 [31] -0.0176398241 -0.0247244539 -0.0280429238 -0.0261565428 -0.0120419212 [36] -0.0239757670 0.0028387119 0.0019141256 -0.0399195175 -0.0171449834 [41] -0.0345119848 -0.0215161196 -0.0291900157 -0.0306865401 -0.0291781151 [46] -0.0079187700 -0.0088230468 0.0113536792 > 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/46x6i1413462541.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/57vju1413462541.tab") > > try(system("convert tmp/1fq8s1413462540.ps tmp/1fq8s1413462540.png",intern=TRUE)) character(0) > try(system("convert tmp/2ndtp1413462541.ps tmp/2ndtp1413462541.png",intern=TRUE)) character(0) > try(system("convert tmp/3097i1413462541.ps tmp/3097i1413462541.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.172 0.249 1.431