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(412,406,398,397,385,390,413,413,401,397,397,409,419,424,428,430,424,433,456,459,446,441,439,454,460,457,451,444,437,443,471,469,454,444,436,442,446,442,438,433,428,426,452,455,439,434,431,435,450,449,442,437,431,433,460,465,451,447,446,449,460,457,454,453,449,451,482,486,476,472,471,479) > 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/1jmr51413728948.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/23o7o1413728948.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/3bflx1413728948.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 0.959785834 0.900873607 0.828063900 0.743484702 [6] 0.662674027 0.575223893 0.481346090 0.383061031 0.279148401 [11] 0.168915678 0.058773723 -0.036879085 -0.114630566 -0.180182252 [16] -0.237383347 -0.296786390 -0.354959031 -0.406996477 -0.448420873 [21] -0.475867108 -0.494532448 -0.494405598 -0.482055420 -0.468868166 [26] -0.443289496 -0.424323392 -0.404530296 -0.371757479 -0.331693023 [31] -0.289423258 -0.247909887 -0.210215466 -0.178854584 -0.146807905 [36] -0.118059104 -0.096262405 -0.069359205 -0.041074326 -0.016036899 [41] 0.004781531 0.022718940 0.037217277 0.057541529 0.075714260 [46] 0.096741118 0.111901720 0.122846686 0.128348977 > (mypacf <- c(rpacf$acf)) [1] 0.95978583 -0.25777113 -0.16388093 -0.13800586 0.07272045 -0.14373052 [7] -0.12595519 -0.10493913 -0.09216333 -0.15596968 -0.06923341 0.12794925 [13] 0.11417669 -0.03920784 -0.07548630 -0.15265668 -0.06788171 -0.03429803 [19] 0.03029804 0.01310148 -0.09370332 0.09247154 0.04239278 -0.07800446 [25] 0.12141887 -0.16272869 -0.08791291 0.02991158 0.05440543 -0.08948338 [31] -0.06536831 -0.02558914 -0.04103458 0.05125537 -0.03009952 -0.07389550 [37] 0.04224716 -0.04634817 -0.03676773 -0.03861239 0.09816666 -0.01731947 [43] 0.08003614 -0.08713968 0.04798931 -0.06182587 -0.02360623 -0.13482682 > 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/4h5cu1413728948.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/5xdue1413728948.tab") > > try(system("convert tmp/1jmr51413728948.ps tmp/1jmr51413728948.png",intern=TRUE)) character(0) > try(system("convert tmp/23o7o1413728948.ps tmp/23o7o1413728948.png",intern=TRUE)) character(0) > try(system("convert tmp/3bflx1413728948.ps tmp/3bflx1413728948.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.192 0.135 1.337