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(376,376,377,380,380,381,385,385,386,386,385,384,382,379,376,375,370,367,369,366,363,359,355,350,349,351,351,352,352,354,355,356,354,349,350,349,350,352,370,370,371,372,373,373,375,381,383,386,390,394,397,401,403,405,407,406,406,407,406,404,405,404,402,401,401,398,401,399,390,391,390,387) > 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/1aky81413552241.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/2mzgj1413552241.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/3t9bc1413552241.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] 1.00000000 0.98269056 0.95504580 0.92007179 0.87633175 0.82377633 [7] 0.77086337 0.71474477 0.64996711 0.58294168 0.50923834 0.43101229 [13] 0.34959334 0.26585789 0.17866291 0.09432712 0.01560440 -0.05974195 [19] -0.12799853 -0.18962986 -0.24748571 -0.30284322 -0.35147349 -0.39438704 [25] -0.43135882 -0.46052409 -0.48217331 -0.49804983 -0.50504223 -0.50841713 [31] -0.50630980 -0.49418476 -0.47774932 -0.46023794 -0.43875152 -0.40786879 [37] -0.37826488 -0.34798249 -0.31582261 -0.28076639 -0.24824842 -0.21636736 [43] -0.18452621 -0.15484027 -0.12552794 -0.09779764 -0.07304460 -0.05135031 [49] -0.03122530 > (mypacf <- c(rpacf$acf)) [1] 0.982690562 -0.309882632 -0.153215271 -0.202945121 -0.179796124 [6] 0.121279129 -0.078775534 -0.250472300 0.010194073 -0.263096041 [11] -0.029641840 -0.030746526 -0.160794112 -0.077608132 0.075249086 [16] 0.065971311 0.069766992 0.091841082 -0.010881347 -0.040035773 [21] -0.033210390 0.039989571 0.042338448 0.024860489 -0.018674074 [26] -0.024147676 -0.062625794 0.081170678 -0.198773237 0.040832150 [31] 0.183277224 -0.152880727 -0.019052985 -0.008248497 0.115052435 [36] -0.080729533 -0.114326849 -0.098361241 0.120566428 -0.071933111 [41] -0.034285885 -0.039044516 -0.055842247 -0.004313561 0.062804886 [46] -0.101993793 0.023266940 -0.020896400 > 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/4cpo51413552241.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/5uib71413552241.tab") > > try(system("convert tmp/1aky81413552241.ps tmp/1aky81413552241.png",intern=TRUE)) character(0) > try(system("convert tmp/2mzgj1413552241.ps tmp/2mzgj1413552241.png",intern=TRUE)) character(0) > try(system("convert tmp/3t9bc1413552241.ps tmp/3t9bc1413552241.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.222 0.178 1.409