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(79.58,80.08,80.41,80.34,80.32,80.39,81.01,81.54,82.48,84.68,88.26,90.6,92.46,93.31,93.58,93.92,93.92,93.67,93.76,93.95,93.89,94.07,93.93,93.35,93.58,93.55,93.44,93.38,93.17,92.95,93.37,94.13,94.07,94,94.47,94.81,94.18,94.14,93.96,93.23,93.13,92.51,92.49,92.73,92.75,92.83,92.85,93.27,93.98,94.34,94.57,94.62,94.82,95.07,95.72,96.06,96.54,96.38,96.8,97.02,97.29,97.45,97.95,97.69,97.63,97.35,97.38,98.06,98.34,98.53,98.79,98.77,99.2,99.76,99.84,99.83,99.88,99.48,99.66,99.58,99.89,100.7,101.19,100.99,101.52,101.75,101.56,102.57,102.66,102.62,102.76,102.73,102.26,101.72,101.48,100.93) > 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/115p71445541522.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/2mi081445541522.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/3esev1445541522.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] 1.0000000000 0.6799297183 0.4740235179 0.3397170884 0.1254589862 [6] 0.0172588537 -0.0032602323 -0.1019535648 -0.0931862824 -0.0215374833 [11] -0.0743303505 -0.0705792665 -0.0585935315 -0.0737568584 -0.0366428699 [16] -0.0654310748 -0.0671137165 -0.0766044510 -0.0203820386 -0.0009784951 [21] 0.0314698433 0.0137105921 -0.0016861828 -0.0132139812 0.0081605503 [26] -0.0236843040 -0.1347436108 -0.1406230497 -0.1496535108 -0.1620428544 [31] -0.1613615147 -0.1616827523 -0.0963475870 -0.0479421477 -0.0430122337 [36] -0.0218938780 0.0336655179 0.0513316719 0.0840254996 0.0329349520 [41] 0.0001903217 0.0035467565 0.0271678682 0.0258299047 0.0301834985 [46] -0.0050515455 0.0029580466 0.0242458817 0.0144602892 > (mypacf <- c(rpacf$acf)) [1] 0.6799297183 0.0217950390 0.0178995112 -0.2181711582 0.0007680703 [6] 0.0615533061 -0.1325225346 0.0603846112 0.0864945522 -0.1277965182 [11] -0.0121411321 -0.0334639998 0.0322739624 0.0343905563 -0.1372480078 [16] 0.0653062939 -0.0799264339 0.1236038197 -0.0179879070 0.0189996127 [21] -0.0618770870 -0.0321938803 -0.0113486015 0.0908091282 -0.0982231214 [26] -0.1907721861 0.0325898120 -0.0102379778 0.0043769527 -0.1143647505 [31] -0.0037103102 0.1115296153 -0.0670316365 -0.0851854744 0.0882301296 [36] 0.0621852627 0.0100882706 -0.0701209220 -0.1010553280 0.0891816406 [41] -0.0428758573 0.0899607114 -0.0597101823 -0.0039297372 -0.0805127690 [46] 0.0733906997 0.0394483382 -0.0085685326 > 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/4v3nb1445541522.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/56hau1445541522.tab") > > try(system("convert tmp/115p71445541522.ps tmp/115p71445541522.png",intern=TRUE)) character(0) > try(system("convert tmp/2mi081445541522.ps tmp/2mi081445541522.png",intern=TRUE)) character(0) > try(system("convert tmp/3esev1445541522.ps tmp/3esev1445541522.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.229 0.195 1.430