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Type 'q()' to quit R. > x <- c(92.09,93.77,94.44,94.91,94.78,94.51,94.36,96.6,96.72,96.71,97.44,97.83,98.92,97.98,98.76,99.76,99.87,100.09,100.07,99.46,100.4,101.25,102.29,102.1,105.91,108.95,110.07,109.92,109.87,110.54,110.79,110.32,110.76,110.24,110.27,110.11,110.39,111.05,110.85,110.24,108.7,109.93,109.53,109.83,107.86,104.61,103.61,103.11,102.59,102.91,101.94,101.8,102.25,102.6,102.49,102.13,100.76,100.86,101.12,100.74,99.99,99.39,99.52,99.21,99.38,99.37,99.38,99.26,99.36,99.2,98.53,98.65,99.15,100.17,99.98,100.07,99.94,100.05,99.13,98.74,98.64,98.44,98.81,98.88,99.63,100.08,100.07,100.55,99.98,99.89,99.86,99.61,100.12,100.24,100.1,99.86,97.99,97.57,98.28,97.97,97.99,97.84,97.33,96.7,96.79,96.76,96.23,96.29) > 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/1knuz1445517916.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/24zv51445517916.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/3z47a1445517916.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 0.96096068 0.91713414 0.87239280 0.82688104 0.77638615 [7] 0.71857333 0.65753396 0.60456142 0.55048750 0.49508176 0.43559539 [13] 0.37456528 0.31903831 0.25783983 0.19670632 0.13797558 0.07847680 [19] 0.01453686 -0.05040521 -0.11486823 -0.16772170 -0.21411421 -0.25565250 [25] -0.29902756 -0.32701343 -0.34318156 -0.35397181 -0.36512246 -0.37412665 [31] -0.37854850 -0.37667815 -0.37442421 -0.36814545 -0.36170791 -0.35440332 [37] -0.34696110 -0.33802793 -0.32294864 -0.30230811 -0.28013295 -0.26441837 [43] -0.24287069 -0.22100937 -0.19605490 -0.17525442 -0.16388436 -0.15675857 [49] -0.15053974 > (mypacf <- c(rpacf$acf)) [1] 0.9609606779 -0.0824416519 -0.0311983433 -0.0328653273 -0.0894054940 [6] -0.1182730557 -0.0672360292 0.0761287338 -0.0541801486 -0.0420057536 [11] -0.0797627961 -0.0635023139 0.0174262629 -0.1311091057 -0.0210802198 [16] -0.0117268918 -0.0681280098 -0.1285218914 -0.0710268990 -0.0443939961 [21] 0.0676321121 0.0269341984 0.0160244593 -0.0846324417 0.1376139940 [26] 0.0571589944 0.0068272423 -0.0203089336 -0.0131674198 -0.0062774289 [31] -0.0022745148 -0.0243483398 0.0481882867 -0.0395405400 -0.0441160278 [36] -0.0680725815 0.0096251810 0.0271179754 0.0165068081 -0.0003500215 [41] -0.1120102422 0.0456662697 -0.0507008113 -0.0058323933 -0.0133107139 [46] -0.1036892719 -0.0389437932 -0.0840354736 > 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/48pi81445517916.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/5ndl21445517916.tab") > > try(system("convert tmp/1knuz1445517916.ps tmp/1knuz1445517916.png",intern=TRUE)) character(0) > try(system("convert tmp/24zv51445517916.ps tmp/24zv51445517916.png",intern=TRUE)) character(0) > try(system("convert tmp/3z47a1445517916.ps tmp/3z47a1445517916.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.152 0.172 1.335