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(89.56,89.84,89.97,90.65,91.17,91.35,91.41,91.55,91.63,91.54,91.74,91.87,92.13,92.14,92.05,92,92.51,92.67,92.68,92.77,92.85,92.71,92.73,92.28,92.49,92.46,92.55,92.24,92.41,92.83,92.85,93.04,93.04,92.83,92.96,92.83,93.01,93.21,93.58,94.07,94.57,95.03,95.21,95.89,96.43,96.35,96.71,96.32,97.23,97.88,98.2,98.56,99.31,99.69,99.77,101.06,101.77,101.91,102.52,102.09,102.22,102.74,103.56,104.4,104.76,104.86,104.84,104.96,104.83,104.58,104.8,104.17) > par8 = '' > par7 = '0.95' > par6 = 'White Noise' > par5 = '12' > par4 = '0' > par3 = '0' > par2 = '1' > par1 = '36' > par8 <- '' > par7 <- '0.95' > par6 <- 'White Noise' > par5 <- '12' > par4 <- '0' > par3 <- '0' > par2 <- '1' > par1 <- '36' > #'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/13h2k1445605723.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/2btfy1445605723.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/3c8yv1445605723.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 0.9640447404 0.9230241328 0.8807407228 0.8371349204 [6] 0.7929843175 0.7477572068 0.7002385141 0.6511149113 0.6021228816 [11] 0.5546912037 0.5101222767 0.4673883509 0.4229650202 0.3748719703 [16] 0.3273865825 0.2788367153 0.2356773437 0.1986486813 0.1612391980 [21] 0.1252426534 0.0926752403 0.0606600027 0.0295124333 -0.0004866018 [26] -0.0268439009 -0.0555236153 -0.0829891872 -0.1127439228 -0.1390520170 [31] -0.1603474448 -0.1804981816 -0.1977079194 -0.2129079046 -0.2271048285 [36] -0.2395590359 -0.2518083688 > (mypacf <- c(rpacf$acf)) [1] 0.964044740 -0.090035858 -0.034469711 -0.039315932 -0.028987228 [6] -0.038746385 -0.056437499 -0.046559040 -0.024246647 -0.007202063 [11] 0.008803916 -0.007738330 -0.056687993 -0.081950799 -0.020804998 [16] -0.053382761 0.040458232 0.043396832 -0.046038178 -0.009957818 [21] 0.015411814 -0.031063286 -0.030115277 -0.030305907 0.013960831 [26] -0.068550474 -0.006473779 -0.064087558 0.020096405 0.022300047 [31] -0.027208298 0.008322645 -0.010061012 -0.011276052 -0.004628917 [36] -0.038859176 > 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/49z9o1445605723.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/5n2gt1445605723.tab") > > try(system("convert tmp/13h2k1445605723.ps tmp/13h2k1445605723.png",intern=TRUE)) character(0) > try(system("convert tmp/2btfy1445605723.ps tmp/2btfy1445605723.png",intern=TRUE)) character(0) > try(system("convert tmp/3c8yv1445605723.ps tmp/3c8yv1445605723.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.169 0.222 1.395