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Type 'q()' to quit R. > x <- c(100.05,100.05,100.05,100.05,100.05,108.77,111.32,111.6,108.52,103.13,102.87,102.75,102.75,102.75,102.75,102.75,102.75,115.22,115.53,115.4,111.99,107.93,107.43,106.98,106.98,106.98,106.98,106.98,106.98,113.71,118.77,118.54,116.16,110.52,110.06,109.9,109.9,110.72,110.09,110.07,112.45,113.06,119.83,119.84,113.73,110.5,110.12,109.86,110.36,110.36,110.59,112.52,112.1,115.9,122.96,121.26,114.55,111.57,110.65,109.77,112.38,112.35,112.2,114.46,116.26,119.57,127.77,126.59,120.45,116.38,116.3,115.05,115.05,115.22,115.19,116.07,120.42,121.88,130.74,130.74,124.64,120.5,120.1,119.62) > par8 = '' > par7 = '0.95' > par6 = 'White Noise' > par5 = '12' > par4 = '0' > par3 = '1' > par2 = '1' > par1 = '48' > par8 <- '' > par7 <- '0.95' > par6 <- 'White Noise' > par5 <- '12' > par4 <- '0' > par3 <- '1' > 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/1xk8b1425299812.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/23atb1425299812.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/338nr1425299812.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 0.30397962 -0.12046170 -0.26071127 -0.28901483 -0.11250440 [7] -0.01952354 -0.10979878 -0.22742715 -0.24336903 -0.09288443 0.28111565 [13] 0.74325179 0.33589828 -0.12319810 -0.23629881 -0.22605794 -0.08099870 [19] -0.01557504 -0.07870522 -0.16131023 -0.20724133 -0.08143671 0.25069705 [25] 0.51035742 0.34070590 -0.10340412 -0.26207419 -0.17527263 -0.05630994 [31] -0.03154214 -0.04750351 -0.10053267 -0.16141367 -0.01243530 0.19932245 [37] 0.38888636 0.28128316 -0.08781052 -0.25865974 -0.14294128 -0.03910522 [43] -0.05015977 -0.02218578 -0.07438342 -0.14420159 0.02467694 0.18250227 [49] 0.27571740 > (mypacf <- c(rpacf$acf)) [1] 0.303979620 -0.234537418 -0.168141884 -0.205175267 -0.036155091 [6] -0.109670275 -0.238923187 -0.324256556 -0.378295605 -0.421307216 [11] -0.239117789 0.432420080 -0.020366926 -0.168592516 -0.045156851 [16] 0.051433147 0.013505788 -0.066061252 0.017542104 0.081274459 [21] 0.036132484 0.013977890 0.069732524 -0.089199863 0.122633623 [26] 0.002543918 -0.083296158 -0.021829929 0.004984558 -0.101009405 [31] -0.088317005 -0.036135274 -0.071653528 0.058922107 -0.089233675 [36] 0.026965558 -0.058879650 -0.011789463 0.006839229 0.025991358 [41] 0.011324065 -0.027682159 0.077000040 -0.013425240 -0.075360649 [46] -0.013744677 0.051346016 -0.135298456 > 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/4ou1u1425299812.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/5jrco1425299812.tab") > > try(system("convert tmp/1xk8b1425299812.ps tmp/1xk8b1425299812.png",intern=TRUE)) character(0) > try(system("convert tmp/23atb1425299812.ps tmp/23atb1425299812.png",intern=TRUE)) character(0) > try(system("convert tmp/338nr1425299812.ps tmp/338nr1425299812.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.202 0.228 1.442