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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,17 +1,11 @@ | ||
| Box.test.2 = function(x, nlag,type=c("Box-Pierce","Ljung-Box"), fitdf = 0, decim=8) | ||
| { | ||
|
|
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| Box.test.inv = function(lag1,x,type = c("Box-Pierce", "Ljung-Box"), fitdf = 0) | ||
| { | ||
| # fonction Box.test mais avec ses arguments inversés pour pouvoir faire un apply | ||
| #lag1=3 | ||
| Box.test(x,lag1, type = c("Box-Pierce", "Ljung-Box"), fitdf = 0)$p.value | ||
| } | ||
|
|
||
| x=as.vector(x) | ||
| nlag = as.matrix(nlag) | ||
| aa= round(apply(nlag,1,Box.test.inv,x), digits=decim) | ||
| bb = cbind(as.integer(nlag),as.matrix(aa)) | ||
| colnames(bb) = c("Retard", "p-value") | ||
| bb | ||
| Box.test.2 <- function(x, nlag, type = c("Box-Pierce", "Ljung-Box"), fitdf = 0, decim=8) { | ||
| Box.test.inv = function(lag1, x, type = c("Box-Pierce", "Ljung-Box"), fitdf = 0) { | ||
| stats::Box.test(x, lag1, type = c("Box-Pierce", "Ljung-Box"), fitdf = fitdf)$p.value | ||
| } | ||
| x <- as.vector(x) | ||
| nlag <- as.matrix(nlag) | ||
| aa <- round(apply(nlag, 1, Box.test.inv, x), digits = decim) | ||
| bb <- cbind(as.integer(nlag), as.matrix(aa)) | ||
| colnames(bb) <- c("Retard", "p-value") | ||
| bb | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,41 +1,47 @@ | ||
| acf2y <- function(y, lag.max=40, numer=TRUE) | ||
| { | ||
| # fonction de Shumway modifiée | ||
| num <- length(y) | ||
| ACF1 <- stats::acf(as.vector(y), lag.max, plot=FALSE)$acf[-1,1,1] | ||
| PACF <- stats::pacf(as.vector(y), lag.max, plot=FALSE)$acf[,1,1] | ||
| LAG <- 1:lag.max | ||
| minA <- min(ACF1); minP <- min(PACF) | ||
| maxA <- max(ACF1); maxP <- max(PACF) | ||
| U <- 2/sqrt(num) | ||
| L <- -U | ||
| minu <- max(-1, min(minA, minP, L)-.01) ; maxu <- min(1, max(maxA, maxP) + 0.05) | ||
|
|
||
| ############### paramètres graphiques | ||
| mai.n = c(0, 0.8, 0.4, 0.1) # marges en pouces | ||
| mai.s = c(0.9, mai.n[2], 0, 0.1) | ||
| lar = 7 ; hau=7; # largeur et hauteur totales en pouces | ||
| a = lar-mai.n[2] # largeur de chaque graphique | ||
| b = (hau-mai.s[1]-mai.n[3])/2 # hauteur de chaque graphique | ||
| # figure du haut | ||
| (fig.n = c(0, 1, (mai.s[1]+b)/hau, 1)) | ||
| # figures du bas | ||
| (fig.s = c(0, 1, 0, (mai.s[1]+b)/hau)) | ||
| ############# figure du haut | ||
| op1 = par(fig=fig.n,mai=mai.n) | ||
| plot(LAG, ACF1, type="h", ylim=c(minu,maxu), xlab="", xaxt="n", ylab="ACF", | ||
| main=paste("Time series: ", deparse(substitute(y))), cex=.8, las=1, | ||
| cex.lab=0.9, cex.axis=.8) | ||
| abline(h=0) | ||
| abline(h=L, lty="dashed", col="blue") | ||
| abline(h=U, lty="dashed", col="blue") | ||
| # ############ figure du bas | ||
| op2 = par(new=TRUE, fig=fig.s ,mai=mai.s) | ||
| plot(LAG, PACF, type="h", ylim=c(minu,maxu), xlab="Lag", ylab="PACF", cex=.8, las=1, cex.lab=0.9, cex.axis=.8) | ||
| abline(h=0) | ||
| abline(h=L, lty="dashed", col="blue") | ||
| abline(h=U, lty="dashed", col="blue") | ||
| par(op2) | ||
| par(op1) | ||
| if(numer) return(cbind(LAG, ACF1, PACF)) | ||
| } | ||
| acf2y <- function(y, lag.max=40, numer=TRUE) { | ||
| # Shumway function modified | ||
| num <- length(y) | ||
| ACF1 <- stats::acf(as.vector(y), lag.max, plot=FALSE)$acf[-1,1,1] | ||
| PACF <- stats::pacf(as.vector(y), lag.max, plot=FALSE)$acf[,1,1] | ||
| LAG <- 1:lag.max | ||
| minA <- min(ACF1) | ||
| minP <- min(PACF) | ||
| maxA <- max(ACF1) | ||
| maxP <- max(PACF) | ||
| U <- 2/sqrt(num) | ||
| L <- -U | ||
| minu <- max(-1, min(minA, minP, L) - .01) | ||
| maxu <- min(1, max(maxA, maxP) + 0.05) | ||
|
|
||
| ############### graphical parameters | ||
| mai.n <- c(0, 0.8, 0.4, 0.1) | ||
| mai.s <- c(0.9, mai.n[2], 0, 0.1) | ||
| lar <- 7 | ||
| hau <- 7 | ||
| a <- lar - mai.n[2] | ||
| b <- (hau - mai.s[1] - mai.n[3]) / 2 | ||
| fig.n <- c(0, 1, (mai.s[1] + b) / hau, 1) | ||
| fig.s <- c(0, 1, 0, (mai.s[1] + b) / hau) | ||
|
|
||
| ############# 1st figure | ||
| op1 <- par(fig = fig.n, mai = mai.n) | ||
| plot(LAG, ACF1, type = "h", ylim = c(minu, maxu), xlab = "", | ||
| xaxt = "n", ylab = "ACF", main = paste("Time series: ", deparse(substitute(y))), | ||
| cex = .8, las = 1, cex.lab = 0.9, cex.axis = .8) | ||
| abline(h = 0) | ||
| abline(h = L, lty = "dashed", col = "blue") | ||
| abline(h = U, lty = "dashed", col = "blue") | ||
|
|
||
| # ############ 2nd figure | ||
| op2 <- par(new = TRUE, fig = fig.s, mai = mai.s) | ||
| plot(LAG, PACF, type = "h", ylim = c(minu, maxu), xlab = "Lag", | ||
| ylab = "PACF", cex = .8, las = 1, cex.lab = 0.9, cex.axis = .8) | ||
| abline(h = 0) | ||
| abline(h = L, lty = "dashed", col = "blue") | ||
| abline(h = U, lty = "dashed", col = "blue") | ||
| par(op2) | ||
| par(op1) | ||
| # return result | ||
| if (numer) | ||
| return(cbind(LAG, ACF1, PACF)) | ||
| } |
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