R version 3.2.2 (2015-08-14) -- "Fire Safety" Copyright (C) 2015 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(92.51,92.51,92.51,92.51,92.51,92.51,92.51,92.51,92.51,96.67,96.67,96.67,96.67,96.67,96.67,96.67,96.67,96.67,96.67,96.67,96.67,96.19,96.19,96.19,96.19,96.19,96.19,96.19,96.19,96.19,96.19,96.19,96.19,99.13,99.13,99.13,99.13,99.13,99.13,99.13,99.13,99.13,99.13,99.13,99.13,99.58,99.58,99.58,99.58,99.58,99.58,99.58,99.58,99.58,99.58,99.58,99.58,101.27,101.27,101.27,101.25,101.25,101.25,101.25,101.25,101.25,101.25,101.25,101.25,102.55,102.55,102.55) > 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/1q0ex1445441707.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/25fuu1445441707.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/3cnuz1445441707.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 0.927841525 0.855683051 0.783524576 0.721930435 [6] 0.660336295 0.598742155 0.537148014 0.475553874 0.413959733 [11] 0.392552227 0.371144720 0.349737214 0.326627343 0.303517473 [16] 0.280407602 0.270969666 0.261531729 0.252093792 0.242655855 [21] 0.233217919 0.223779982 0.209710423 0.195640865 0.181571307 [26] 0.136478289 0.091385272 0.046292255 0.004939297 -0.036413662 [31] -0.077766620 -0.119119578 -0.160472536 -0.201825494 -0.214809770 [36] -0.227794046 -0.240778322 -0.262385170 -0.283992018 -0.305598866 [41] -0.303466004 -0.301333143 -0.299200281 -0.297067419 -0.294934558 [46] -0.292801696 -0.286326689 -0.279851683 -0.273376676 > (mypacf <- c(rpacf$acf)) [1] 0.927841525 -0.037429671 -0.038885129 0.035705599 -0.036204026 [6] -0.037563993 -0.033432401 -0.040162579 -0.041843106 0.248939051 [11] -0.025162736 -0.025812242 0.006705689 -0.025468370 -0.026133960 [16] 0.089356615 -0.021846581 -0.022334514 0.085244403 -0.018825825 [21] -0.019187037 -0.029486931 -0.020352950 -0.020775799 -0.199000422 [26] -0.031098882 -0.032097065 -0.010450578 -0.032775016 -0.033885618 [31] -0.055036512 -0.037832746 -0.039320343 0.070979270 -0.034108423 [36] -0.035312889 -0.072659261 -0.040846580 -0.042586076 0.114998278 [41] -0.033801622 -0.034984143 0.074290056 -0.030145647 -0.031082654 [46] 0.026723437 -0.029464623 -0.030359143 > 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/4tpmw1445441707.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/5w7mq1445441707.tab") > > try(system("convert tmp/1q0ex1445441707.ps tmp/1q0ex1445441707.png",intern=TRUE)) character(0) > try(system("convert tmp/25fuu1445441707.ps tmp/25fuu1445441707.png",intern=TRUE)) character(0) > try(system("convert tmp/3cnuz1445441707.ps tmp/3cnuz1445441707.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.299 0.208 1.520