R/xy.acfb.r

In caschrono: Series Temporelles Avec R

xy.acfb=function(y, lag.max = 40, numer = TRUE) {
  num <- length(y)
  mp1 <- lag.max + 1
  
  ACF1 <- stats::acf(y, lag.max, plot = FALSE)$acf[2:mp1]
  PACF <- stats::pacf(y, lag.max, plot = FALSE)$acf
  
  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)
  
  op <- par(fig = c(0, 1, 0.6, 1), mar = c(1, 5, 3, 2))
  plot(y, xlab = "", cex = .8, cex.lab = 0.9, ylab = names(y))
  par(new = TRUE, fig = c(0, 1, 0.32, 0.55), mar = c(0, 5, 0, 2))
  plot(LAG, ACF1, type = "h", ylim = c(minu, maxu), xlab = "", xaxt = "n",
       cex = .8, cex.lab = 0.9, las = 1, ylab = "ACF")
  abline(h = 0)
  abline(h = L, lty = "dashed", col = "blue")
  abline(h = U, lty = "dashed", col = "blue")
  legend("topright", legend = paste("Time Series:", deparse(substitute(y))),
         bty = "n", cex = .9)

  par(new = TRUE, fig = c(0, 1, 0, 0.32), mar = c(3, 5, 0, 2))
  plot(LAG, PACF, type = "h", ylim = c(minu, maxu), xlab = "", cex = .8, las = 1,
       cex.lab = 0.9, ylab = "PACF")
  abline(h = 0)
  abline(h = L, lty = "dashed", col = "blue")
  abline(h = U, lty = "dashed", col = "blue")
  if(numer)   
    return(cbind(LAG, ACF1, PACF))
  par(op)  
}