R/ac.R

In KevinKotze/tsm: Time Series Modelling

#' Autocorrelation and partial autocorrealtion function.
#'
#' @param series A numeric, time series, or xts variable.
#' @param max.lag A number that represents the maximum lag order for the ACF and PACF.
#' @param main Plot title.
#' @return The respective ACF and PACF functions.
#' @examples
#' ac(rnorm(100), max.lag = 20, main = "Persistence")


ac  <- function(series,max.lag=18,main=NULL){
   num=length(series)
   if (num > 49 & is.null(max.lag)) max.lag=ceiling(10+sqrt(num))
   if (num < 50 & is.null(max.lag))  max.lag=floor(5*log10(num))
   if (max.lag > (num-1)) stop("Number of lags exceeds number of observations")
   ACF=acf(series, max.lag, plot=FALSE)$acf[-1]
   PACF=as.numeric(pacf(series, max.lag, plot=FALSE)$acf)
   LAG=1:max.lag/frequency(series)
   minA=min(ACF)
   minP=min(PACF)
   U=2/sqrt(num)
   L=-U
   minu=min(minA,minP,L)-.01
   old.par <- par(no.readonly = TRUE)
   par(mfrow=c(1,2), mar = c(2.5,2.5,0.9,1),
       oma = c(1,1.2,1,1), mgp = c(1.5,0.6,0))

   old.par <- par(no.readonly = TRUE)
   par(mfrow=c(1,2), mar = c(3,3.2,0.9,1),
       oma = c(1,1.2,1,1), mgp = c(2,0.6,0), cex=0.75)
   barplot(ACF, ylab='ACF', xlab='LAG', ylim=c(minu,1), col='#f23500ff', border=NA, names.arg=LAG)
    box()
    abline(h=c(0,L,U), lty=c(1,3,3), lwd = 2.5, col="darkgrey")
   barplot(PACF, ylab='PACF', xlab='LAG', ylim=c(minu,1), col='#f23500ff', border=NA, names.arg=LAG)
    box()
    abline(h=c(0,L,U), lty=c(1,3,3), lwd = 2.5, col="darkgrey")

   if (is.null(main)){ }else{
     mtext(main, outer=TRUE,font=2)}

   on.exit(par(old.par))
#   ACF<-round(ACF,2); PACF<-round(PACF,2)
   res=(cbind(ACF, PACF))
   #return(res)
   }

#ac(rnorm(100))