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(1.38,1.96,1.36,1.24,1.35,1.23,1.09,1.08,1.33,1.35,1.38,1.5,1.47,2.09,1.52,1.29,1.52,1.27,1.35,1.29,1.41,1.39,1.45,1.53,1.45,2.11,1.53,1.38,1.54,1.35,1.29,1.33,1.47,1.47,1.54,1.59,1.5,2,1.51,1.4,1.62,1.44,1.29,1.28,1.4,1.39,1.46,1.49,1.45,2.05,1.59,1.42,1.73,1.39,1.23,1.37,1.51,1.47,1.5,1.54,1.54,2.15,1.62,1.4,1.65,1.49,1.45,1.45,1.51,1.48,1.56,1.57,1.57,2.28,1.7,1.56,1.8,1.56,1.51,1.46,1.51,1.55,1.57,1.64,1.58,2.16,1.77,1.54,1.64,1.53,1.49,1.43,1.52,1.56,1.59,1.64) > par8 = '' > par7 = '0.95' > par6 = 'White Noise' > par5 = '12' > par4 = '1' > par3 = '0' > par2 = '1' > par1 = '48' > par8 <- '' > par7 <- '0.95' > par6 <- 'White Noise' > par5 <- '12' > par4 <- '1' > 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/1klfc1413728645.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/29u0z1413728645.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/303yi1413728645.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 0.451381134 0.215583888 0.148404312 0.108260521 [6] 0.163905708 0.156090943 0.098162261 0.064450885 0.090713191 [11] 0.048104460 -0.050589042 -0.312145410 -0.175304482 -0.091798588 [16] -0.003745812 0.099322480 0.061977527 -0.091907081 -0.191867425 [21] -0.039284265 -0.012413089 -0.131317142 -0.102177435 -0.096037295 [26] -0.078927678 -0.079249416 -0.166757389 -0.306971887 -0.348333418 [31] -0.262009046 -0.145987538 -0.126403160 -0.108213290 0.017059112 [36] -0.112843881 -0.078263627 0.044750064 0.039753777 0.050156005 [41] 0.089342065 0.147432552 0.187973838 0.168502161 0.099142438 [46] 0.035832131 0.056752096 0.158789238 0.146722204 > (mypacf <- c(rpacf$acf)) [1] 0.4513811338 0.0148683015 0.0575688850 0.0235991327 0.1220115341 [6] 0.0385261643 -0.0101430337 -0.0009549143 0.0594914676 -0.0396953546 [11] -0.1124553817 -0.3509641436 0.1106780448 -0.0120362113 0.0957081930 [16] 0.1268359450 0.0835426922 -0.1429111319 -0.1669492028 0.1387190937 [21] 0.0346903865 -0.2247816164 -0.0129848249 -0.1482275246 0.0061808099 [26] -0.1073637534 -0.0326089124 -0.0945699516 -0.1322462310 -0.1277641542 [31] -0.0450629596 0.0750456365 0.0735255897 0.1204385987 -0.0998616748 [36] -0.0502152961 0.1176165761 0.0277221597 0.0608617406 -0.0745724051 [41] -0.0750491643 0.0181633859 0.0043325445 0.0743497948 0.0071793836 [46] 0.1269447899 -0.0442492639 -0.0614519183 > 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/4gz2o1413728645.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/5i7r61413728645.tab") > > try(system("convert tmp/1klfc1413728645.ps tmp/1klfc1413728645.png",intern=TRUE)) character(0) > try(system("convert tmp/29u0z1413728645.ps tmp/29u0z1413728645.png",intern=TRUE)) character(0) > try(system("convert tmp/303yi1413728645.ps tmp/303yi1413728645.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.172 0.179 1.364