R/chart.ACF.R

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

#' Create ACF chart or ACF with PACF two-panel chart
#' 
#' Creates an ACF chart or a two-panel plot with the ACF and PACF set to some
#' specific defaults.
#' 
#' 
#' @aliases chart.ACF chart.ACFplus
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param maxlag the number of lags to calculate for, optional
#' @param elementcolor the color to use for chart elements, defaults to "gray"
#' @param main title of the plot; uses the column name by default.
#' @param \dots any other passthru parameters
#' @note Inspired by the website:
#' http://www.stat.pitt.edu/stoffer/tsa2/Rcode/acf2.R "...here's an R
#' function that will plot the ACF and PACF of a time series at the same time
#' on the SAME SCALE, and it leaves out the zero lag in the ACF: acf2.R. If
#' your time series is in x and you want the ACF and PACF of x to lag 50, the
#' call to the function is acf2(x,50). The number of lags is optional, so
#' acf2(x) will use a default number of lags [sqrt(n) + 10, where n is the
#' number of observations]."
#' 
#' That description made a lot of sense, so it's implemented here for both the
#' ACF alone and the ACF with the PACF.
#' @author Peter Carl
#' @seealso \code{\link{plot}}
###keywords ts multivariate distribution models hplot
#' @examples
#' 
#' data(edhec)
#' chart.ACFplus(edhec[,1,drop=FALSE])
#' 
#' @export
chart.ACF <- function(R, maxlag = NULL, elementcolor = "gray", main = NULL, ...)
{ # @author David Stoffer and Robert Shumway
    # @modifiedby Peter Carl

    # DESCRIPTION:

    # Inspired by the same charts as chart.ACFplus.R

    # From the website: http://www.stat.pitt.edu/stoffer/tsa2/Rcode/acf2.R
    # "...here's an R function that will plot the ACF and PACF of a time series 
    # at the same time on the SAME SCALE, and it leaves out the zero lag in the 
    # ACF: acf2.R. If your time series is in x and you want the ACF and PACF of 
    # x to lag 50, the call to the function is acf2(x,50). The number of lags 
    # is optional, so acf2(x) will use a default number of lags [\sqrt n + 10, where 
    # n is the number of observations]."

    # This function uses those same defaults to print just the ACF chart.

    R = checkData(R)
    data = checkData(R[,1], method="vector", na.rm = TRUE)

    columns = ncol(R)
    rows = nrow(R)
    columnnames = colnames(R)

    if(is.null(main))
        main = columnnames[1]

    num = length(data)
    if (is.null(maxlag)) 
        maxlag = ceiling(10 + sqrt(num))
    ACF = acf(data, maxlag, plot = FALSE)$acf[-1]
    Lag = 1:length(ACF)/frequency(data)
    minA = min(ACF)
    U = 2/sqrt(num)
    L = -U
    minu = min(minA, L) - .01

    plot(Lag, ACF, type = "h", ylim = c(minu,1), main = main, axes = FALSE, ...)
    box(col=elementcolor)
    axis(2, col = elementcolor, cex.axis = 0.8)
    axis(1, col = elementcolor, cex.axis = 0.8)
    abline(h=c(0,L,U), lty=c(1,2,2), col=c(1,4,4))

}

###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2020 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################