R version 2.9.0 (2009-04-17)
Copyright (C) 2009 The R Foundation for Statistical Computing
ISBN 3-900051-07-0

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> x <- c(2849.27,2921.44,2981.85,3080.58,3106.22,3119.31,3061.26,3097.31,3161.69,3257.16,3277.01,3295.32,3363.99,3494.17,3667.03,3813.06,3917.96,3895.51,3801.06,3570.12,3701.61,3862.27,3970.1,4138.52,4199.75,4290.89,4443.91,4502.64,4356.98,4591.27,4696.96,4621.4,4562.84,4202.52,4296.49,4435.23,4105.18,4116.68,3844.49,3720.98,3674.4,3857.62,3801.06,3504.37,3032.6,3047.03,2962.34,2197.82,2014.45,1862.83,1905.41,1810.99,1670.07,1864.44,2052.02,2029.6,2070.83,2293.41,2443.27,2513.17)
> par9 = '0'
> par8 = '0'
> par7 = '1'
> par6 = '2'
> par5 = '12'
> par4 = '0'
> par3 = '1'
> par2 = '1'
> par1 = 'FALSE'
> #'GNU S' R Code compiled by R2WASP v. 1.0.44 ()
> #Author: Prof. Dr. P. Wessa
> #To cite this work: AUTHOR(S), (YEAR), YOUR SOFTWARE TITLE (vNUMBER) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_YOURPAGE.wasp/
> #Source of accompanying publication: Office for Research, Development, and Education
> #Technical description: Write here your technical program description (don't use hard returns!)
> library(lattice)
> if (par1 == 'TRUE') par1 <- TRUE
> if (par1 == 'FALSE') par1 <- FALSE
> par2 <- as.numeric(par2) #Box-Cox lambda transformation parameter
> par3 <- as.numeric(par3) #degree of non-seasonal differencing
> par4 <- as.numeric(par4) #degree of seasonal differencing
> par5 <- as.numeric(par5) #seasonal period
> par6 <- as.numeric(par6) #degree (p) of the non-seasonal AR(p) polynomial
> par7 <- as.numeric(par7) #degree (q) of the non-seasonal MA(q) polynomial
> par8 <- as.numeric(par8) #degree (P) of the seasonal AR(P) polynomial
> par9 <- as.numeric(par9) #degree (Q) of the seasonal MA(Q) polynomial
> armaGR <- function(arima.out, names, n){
+ try1 <- arima.out$coef
+ try2 <- sqrt(diag(arima.out$var.coef))
+ try.data.frame  <- data.frame(matrix(NA,ncol=4,nrow=length(names)))
+ dimnames(try.data.frame) <- list(names,c('coef','std','tstat','pv'))
+ try.data.frame[,1] <- try1
+ for(i in 1:length(try2)) try.data.frame[which(rownames(try.data.frame)==names(try2)[i]),2] <- try2[i]
+ try.data.frame[,3] <- try.data.frame[,1] / try.data.frame[,2]
+ try.data.frame[,4] <- round((1-pt(abs(try.data.frame[,3]),df=n-(length(try2)+1)))*2,5)
+ vector <- rep(NA,length(names))
+ vector[is.na(try.data.frame[,4])] <- 0
+ maxi <- which.max(try.data.frame[,4])
+ continue <- max(try.data.frame[,4],na.rm=TRUE) > .05
+ vector[maxi] <- 0
+ list(summary=try.data.frame,next.vector=vector,continue=continue)
+ }
> arimaSelect <- function(series, order=c(13,0,0), seasonal=list(order=c(2,0,0),period=12), include.mean=F){
+ nrc <- order[1]+order[3]+seasonal$order[1]+seasonal$order[3]
+ coeff <- matrix(NA, nrow=nrc*2, ncol=nrc)
+ pval <- matrix(NA, nrow=nrc*2, ncol=nrc)
+ mylist <- rep(list(NULL), nrc)
+ names  <- NULL
+ if(order[1] > 0) names <- paste('ar',1:order[1],sep='')
+ if(order[3] > 0) names <- c( names , paste('ma',1:order[3],sep='') )
+ if(seasonal$order[1] > 0) names <- c(names, paste('sar',1:seasonal$order[1],sep=''))
+ if(seasonal$order[3] > 0) names <- c(names, paste('sma',1:seasonal$order[3],sep=''))
+ arima.out <- arima(series, order=order, seasonal=seasonal, include.mean=include.mean, method='ML')
+ mylist[[1]] <- arima.out
+ last.arma <- armaGR(arima.out, names, length(series))
+ mystop <- FALSE
+ i <- 1
+ coeff[i,] <- last.arma[[1]][,1]
+ pval [i,] <- last.arma[[1]][,4]
+ i <- 2
+ aic <- arima.out$aic
+ while(!mystop){
+ mylist[[i]] <- arima.out
+ arima.out <- arima(series, order=order, seasonal=seasonal, include.mean=include.mean, method='ML', fixed=last.arma$next.vector)
+ aic <- c(aic, arima.out$aic)
+ last.arma <- armaGR(arima.out, names, length(series))
+ mystop <- !last.arma$continue
+ coeff[i,] <- last.arma[[1]][,1]
+ pval [i,] <- last.arma[[1]][,4]
+ i <- i+1
+ }
+ list(coeff, pval, mylist, aic=aic)
+ }
> arimaSelectplot <- function(arimaSelect.out,noms,choix){
+ noms <- names(arimaSelect.out[[3]][[1]]$coef)
+ coeff <- arimaSelect.out[[1]]
+ k <- min(which(is.na(coeff[,1])))-1
+ coeff <- coeff[1:k,]
+ pval  <- arimaSelect.out[[2]][1:k,]
+ aic   <- arimaSelect.out$aic[1:k]
+ coeff[coeff==0] <- NA
+ n <- ncol(coeff)
+ if(missing(choix)) choix <- k
+ layout(matrix(c(1,1,1,2,
+ 3,3,3,2,
+ 3,3,3,4,
+ 5,6,7,7),nr=4),
+ widths=c(10,35,45,15),
+ heights=c(30,30,15,15))
+ couleurs <- rainbow(75)[1:50]#(50)
+ ticks <- pretty(coeff)
+ par(mar=c(1,1,3,1))
+ plot(aic,k:1-.5,type='o',pch=21,bg='blue',cex=2,axes=F,lty=2,xpd=NA)
+ points(aic[choix],k-choix+.5,pch=21,cex=4,bg=2,xpd=NA)
+ title('aic',line=2)
+ par(mar=c(3,0,0,0))
+ plot(0,axes=F,xlab='',ylab='',xlim=range(ticks),ylim=c(.1,1))
+ rect(xleft  = min(ticks) + (0:49)/50*(max(ticks)-min(ticks)),
+ xright = min(ticks) + (1:50)/50*(max(ticks)-min(ticks)),
+ ytop   = rep(1,50),
+ ybottom= rep(0,50),col=couleurs,border=NA)
+ axis(1,ticks)
+ rect(xleft=min(ticks),xright=max(ticks),ytop=1,ybottom=0)
+ text(mean(coeff,na.rm=T),.5,'coefficients',cex=2,font=2)
+ par(mar=c(1,1,3,1))
+ image(1:n,1:k,t(coeff[k:1,]),axes=F,col=couleurs,zlim=range(ticks))
+ for(i in 1:n) for(j in 1:k) if(!is.na(coeff[j,i])) {
+ if(pval[j,i]<.01)                            symb = 'green'
+ else if( (pval[j,i]<.05) & (pval[j,i]>=.01)) symb = 'orange'
+ else if( (pval[j,i]<.1)  & (pval[j,i]>=.05)) symb = 'red'
+ else                                         symb = 'black'
+ polygon(c(i+.5   ,i+.2   ,i+.5   ,i+.5),
+ c(k-j+0.5,k-j+0.5,k-j+0.8,k-j+0.5),
+ col=symb)
+ if(j==choix)  {
+ rect(xleft=i-.5,
+ xright=i+.5,
+ ybottom=k-j+1.5,
+ ytop=k-j+.5,
+ lwd=4)
+ text(i,
+ k-j+1,
+ round(coeff[j,i],2),
+ cex=1.2,
+ font=2)
+ }
+ else{
+ rect(xleft=i-.5,xright=i+.5,ybottom=k-j+1.5,ytop=k-j+.5)
+ text(i,k-j+1,round(coeff[j,i],2),cex=1.2,font=1)
+ }
+ }
+ axis(3,1:n,noms)
+ par(mar=c(0.5,0,0,0.5))
+ plot(0,axes=F,xlab='',ylab='',type='n',xlim=c(0,8),ylim=c(-.2,.8))
+ cols <- c('green','orange','red','black')
+ niv  <- c('0','0.01','0.05','0.1')
+ for(i in 0:3){
+ polygon(c(1+2*i   ,1+2*i   ,1+2*i-.5   ,1+2*i),
+ c(.4      ,.7      , .4        , .4),
+ col=cols[i+1])
+ text(2*i,0.5,niv[i+1],cex=1.5)
+ }
+ text(8,.5,1,cex=1.5)
+ text(4,0,'p-value',cex=2)
+ box()
+ residus <- arimaSelect.out[[3]][[choix]]$res
+ par(mar=c(1,2,4,1))
+ acf(residus,main='')
+ title('acf',line=.5)
+ par(mar=c(1,2,4,1))
+ pacf(residus,main='')
+ title('pacf',line=.5)
+ par(mar=c(2,2,4,1))
+ qqnorm(residus,main='')
+ title('qq-norm',line=.5)
+ qqline(residus)
+ residus
+ }
> if (par2 == 0) x <- log(x)
> if (par2 != 0) x <- x^par2
> (selection <- arimaSelect(x, order=c(par6,par3,par7), seasonal=list(order=c(par8,par4,par9), period=par5)))
[[1]]
           [,1]     [,2]      [,3]
[1,] -0.5834140 0.178496 0.9548768
[2,] -0.6514767 0.000000 0.9172028
[3,]         NA       NA        NA
[4,]         NA       NA        NA
[5,]         NA       NA        NA
[6,]         NA       NA        NA

[[2]]
        [,1]    [,2] [,3]
[1,] 0.00018 0.19799    0
[2,] 0.00015      NA    0
[3,]      NA      NA   NA
[4,]      NA      NA   NA
[5,]      NA      NA   NA
[6,]      NA      NA   NA

[[3]]
[[3]][[1]]

Call:
arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, 
    method = "ML")

Coefficients:
          ar1     ar2     ma1
      -0.5834  0.1785  0.9549
s.e.   0.1457  0.1370  0.0768

sigma^2 estimated as 28271:  log likelihood = -386.4,  aic = 780.81

[[3]][[2]]

Call:
arima(x = series, order = order, seasonal = seasonal, include.mean = include.mean, 
    method = "ML")

Coefficients:
          ar1     ar2     ma1
      -0.5834  0.1785  0.9549
s.e.   0.1457  0.1370  0.0768

sigma^2 estimated as 28271:  log likelihood = -386.4,  aic = 780.81

[[3]][[3]]
NULL


$aic
[1] 780.8091 780.5143

Warning message:
In arima(series, order = order, seasonal = seasonal, include.mean = include.mean,  :
  some AR parameters were fixed: setting transform.pars = FALSE
> postscript(file="/var/www/html/rcomp/tmp/1hjw31261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> resid <- arimaSelectplot(selection)
> dev.off()
null device 
          1 
> resid
Time Series:
Start = 1 
End = 60 
Frequency = 1 
 [1]    2.849268   67.074032   38.118444   83.644797   -5.381765   15.173213
 [7]  -68.091339   62.897716   36.109469   91.505073  -22.102771   33.436003
[13]   43.812369  124.563916  117.698532  111.330245   53.277212  -37.735265
[19]  -90.019606 -195.679781  199.019730   88.944377   93.160727  113.653317
[25]   31.927062   66.242149  131.886104    6.039567 -144.229880  275.912407
[31]    5.300032  -60.698103  -63.548892 -320.057964  199.327031   67.665537
[37] -330.184544  109.146911 -310.519411   11.950010  -81.413809  255.666745
[43] -185.284215 -185.471779 -457.568896  228.838005 -210.438449 -615.453529
[49]  -26.757467  -96.571112   79.029572 -117.940074  -90.993693  215.847592
[55]  120.039207  -62.275497   54.118754  198.943803   82.402565   38.920766
> postscript(file="/var/www/html/rcomp/tmp/240ix1261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> acf(resid,length(resid)/2, main='Residual Autocorrelation Function')
> dev.off()
null device 
          1 
> postscript(file="/var/www/html/rcomp/tmp/3bjlw1261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> pacf(resid,length(resid)/2, main='Residual Partial Autocorrelation Function')
> dev.off()
null device 
          1 
> postscript(file="/var/www/html/rcomp/tmp/4jcxd1261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> cpgram(resid, main='Residual Cumulative Periodogram')
> dev.off()
null device 
          1 
> postscript(file="/var/www/html/rcomp/tmp/5rkxd1261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> hist(resid, main='Residual Histogram', xlab='values of Residuals')
> dev.off()
null device 
          1 
> postscript(file="/var/www/html/rcomp/tmp/6i5xj1261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> densityplot(~resid,col='black',main='Residual Density Plot', xlab='values of Residuals')
> dev.off()
null device 
          1 
> postscript(file="/var/www/html/rcomp/tmp/7x2xl1261349594.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) 
> qqnorm(resid, main='Residual Normal Q-Q Plot')
> qqline(resid)
> dev.off()
null device 
          1 
> ncols <- length(selection[[1]][1,])
> nrows <- length(selection[[2]][,1])-1
> 
> #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab
> load(file="/var/www/html/rcomp/createtable")
> 
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a,'ARIMA Parameter Estimation and Backward Selection', ncols+1,TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a,'Iteration', header=TRUE)
> for (i in 1:ncols) {
+ a<-table.element(a,names(selection[[3]][[1]]$coef)[i],header=TRUE)
+ }
> a<-table.row.end(a)
> for (j in 1:nrows) {
+ a<-table.row.start(a)
+ mydum <- 'Estimates ('
+ mydum <- paste(mydum,j)
+ mydum <- paste(mydum,')')
+ a<-table.element(a,mydum, header=TRUE)
+ for (i in 1:ncols) {
+ a<-table.element(a,round(selection[[1]][j,i],4))
+ }
+ a<-table.row.end(a)
+ a<-table.row.start(a)
+ a<-table.element(a,'(p-val)', header=TRUE)
+ for (i in 1:ncols) {
+ mydum <- '('
+ mydum <- paste(mydum,round(selection[[2]][j,i],4),sep='')
+ mydum <- paste(mydum,')')
+ a<-table.element(a,mydum)
+ }
+ a<-table.row.end(a)
+ }
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/8vnmz1261349594.tab") 
> a<-table.start()
> a<-table.row.start(a)
> a<-table.element(a,'Estimated ARIMA Residuals', 1,TRUE)
> a<-table.row.end(a)
> a<-table.row.start(a)
> a<-table.element(a,'Value', 1,TRUE)
> a<-table.row.end(a)
> for (i in (par4*par5+par3):length(resid)) {
+ a<-table.row.start(a)
+ a<-table.element(a,resid[i])
+ a<-table.row.end(a)
+ }
> a<-table.end(a)
> table.save(a,file="/var/www/html/rcomp/tmp/9g2on1261349594.tab") 
> try(system("convert tmp/1hjw31261349594.ps tmp/1hjw31261349594.png",intern=TRUE))
character(0)
> try(system("convert tmp/240ix1261349594.ps tmp/240ix1261349594.png",intern=TRUE))
character(0)
> try(system("convert tmp/3bjlw1261349594.ps tmp/3bjlw1261349594.png",intern=TRUE))
character(0)
> try(system("convert tmp/4jcxd1261349594.ps tmp/4jcxd1261349594.png",intern=TRUE))
character(0)
> try(system("convert tmp/5rkxd1261349594.ps tmp/5rkxd1261349594.png",intern=TRUE))
character(0)
> try(system("convert tmp/6i5xj1261349594.ps tmp/6i5xj1261349594.png",intern=TRUE))
character(0)
> try(system("convert tmp/7x2xl1261349594.ps tmp/7x2xl1261349594.png",intern=TRUE))
character(0)
> 
> 
> proc.time()
   user  system elapsed 
  1.527   1.021   1.844