ggplot.acf.r

# Reference: https://rh8liuqy.github.io/ACF_PACF_by_ggplot2.html
# This function using ggplot2 package to better visualize ACF & PACF plots

ggplot.acf <- function(data, lag.max = 24, ci = 0.95, large.sample.size = TRUE, horizontal = TRUE,...) {
  
  require(ggplot2)
  require(dplyr)
  require(cowplot)
  
  if(horizontal == TRUE) {numofrow <- 1} else {numofrow <- 2}
  
  list.acf <- acf(data, lag.max = lag.max, type = "correlation", plot = FALSE)
  N <- as.numeric(list.acf$n.used)
  df1 <- data.frame(lag = list.acf$lag, acf = list.acf$acf)
  df1$lag.acf <- dplyr::lag(df1$acf, default = 0)
  df1$lag.acf[2] <- 0
  df1$lag.acf.cumsum <- cumsum((df1$lag.acf)^2)
  df1$acfstd <- sqrt(1/N * (1 + 2 * df1$lag.acf.cumsum))
  df1$acfstd[1] <- 0
  df1 <- select(df1, lag, acf, acfstd)
  
  list.pacf <- acf(sunspot.year, lag.max = lag.max, type = "partial", plot = FALSE)
  df2 <- data.frame(lag = list.pacf$lag,pacf = list.pacf$acf)
  df2$pacfstd <- sqrt(1/N)
  
  if(large.sample.size == TRUE) {
    plot.acf <- ggplot(data = df1, aes( x = lag, y = acf)) +
    geom_area(aes(x = lag, y = qnorm((1+ci)/2)*acfstd), fill = "#B9CFE7") +
    geom_area(aes(x = lag, y = -qnorm((1+ci)/2)*acfstd), fill = "#B9CFE7") +
    geom_col(fill = "#00ab4e", width = 0.7) +
    scale_x_continuous(breaks = seq(0,max(df1$lag),6)) +
    scale_y_continuous(name = element_blank(), 
                       limits = c(min(df1$acf,df2$pacf),1)) +
    ggtitle("ACF") +
    theme_bw()
    
    plot.pacf <- ggplot(data = df2, aes(x = lag, y = pacf)) +
    geom_area(aes(x = lag, y = qnorm((1+ci)/2)*pacfstd), fill = "#B9CFE7") +
    geom_area(aes(x = lag, y = -qnorm((1+ci)/2)*pacfstd), fill = "#B9CFE7") +
    geom_col(fill = "#00ab4e", width = 0.7) +
    scale_x_continuous(breaks = seq(0,max(df2$lag, na.rm = TRUE),6)) +
    scale_y_continuous(name = element_blank(),
                       limits = c(min(df1$acf,df2$pacf),1)) +
    ggtitle("PACF") +
    theme_bw()
  }
  else {
    plot.acf <- ggplot(data = df1, aes( x = lag, y = acf)) +
    geom_col(fill = "#00ab4e", width = 0.7) +
    geom_hline(yintercept = qnorm((1+ci)/2)/sqrt(N), 
               colour = "sandybrown",
               linetype = "dashed") + 
    geom_hline(yintercept = - qnorm((1+ci)/2)/sqrt(N), 
               colour = "sandybrown",
               linetype = "dashed") + 
    scale_x_continuous(breaks = seq(0,max(df1$lag),6)) +
    scale_y_continuous(name = element_blank(), 
                       limits = c(min(df1$acf,df2$pacf),1)) +
    ggtitle("ACF") +
    theme_bw()
    
    plot.pacf <- ggplot(data = df2, aes(x = lag, y = pacf)) +
    geom_col(fill = "#00ab4e", width = 0.7) +
    geom_hline(yintercept = qnorm((1+ci)/2)/sqrt(N), 
               colour = "sandybrown",
               linetype = "dashed") + 
    geom_hline(yintercept = - qnorm((1+ci)/2)/sqrt(N), 
               colour = "sandybrown",
               linetype = "dashed") + 
    scale_x_continuous(breaks = seq(0,max(df2$lag, na.rm = TRUE),6)) +
    scale_y_continuous(name = element_blank(),
                       limits = c(min(df1$acf,df2$pacf),1)) +
    ggtitle("ACF") +
    theme_bw()
  }
  cowplot::plot_grid(plot.acf, plot.pacf, nrow = numofrow)
}