SHW WS9

*The author of this computation has been verified*

R Software Module: /rwasp_structuraltimeseries.wasp (opens new window with default values)

Title produced by software: Structural Time Series Models

Date of computation: Thu, 03 Dec 2009 11:46:26 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh.htm/, Retrieved Thu, 03 Dec 2009 19:50:45 +0100

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh.htm/}, year = {2009}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2009}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1.59 1.26 1.13 1.92 2.61 2.26 2.41 2.26 2.03 2.86 2.55 2.27 2.26 2.57 3.07 2.76 2.51 2.87 3.14 3.11 3.16 2.47 2.57 2.89 2.63 2.38 1.69 1.96 2.19 1.87 1.6 1.63 1.22 1.21 1.49 1.64 1.66 1.77 1.82 1.78 1.28 1.29 1.37 1.12 1.51 2.24 2.94 3.09 3.46 3.64 4.39 4.15 5.21 5.8 5.91 5.39 5.46 4.72 3.14 2.63

Output produced by software:

Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Structural Time Series Model t Observed Level Slope Seasonal Stand. Residuals 1 1.59 1.59 0 0 0 2 1.26 1.27664147880926 -0.0266130193168101 -0.0166414788092608 -0.468949884678013 3 1.13 1.14658931093672 -0.0426786025786395 -0.0165893109367155 -0.240877315287619 4 1.92 1.93692502223450 0.124687571458184 -0.016925022234496 1.88692291413097 5 2.61 2.62710072633706 0.254193854788040 -0.0171007263370595 1.25832718603289 6 2.26 2.27695902627387 0.105907435734632 -0.0169590262738673 -1.3305436525685 7 2.41 2.42696673419582 0.117134248415217 -0.016966734195819 0.0965066188707478 8 2.26 2.27693216297358 0.0477619711295369 -0.0169321629735759 -0.582691676530388 9 2.03 2.04690565090215 -0.0251393727433627 -0.0169056509021519 -0.60473942082146 10 2.86 2.87696572779066 0.200585771877503 -0.0169657277906597 1.85989902742832 11 2.55 2.56693935484482 0.0653946804138398 -0.0169393548448212 -1.10989283844115 12 2.27 2.28692624597294 -0.0262094864032349 -0.0169262459729372 -0.750582012439315 13 2.26 2.12697237175659 -0.0604611290668771 0.133027628243410 -0.337207095851677 14 2.57 2.57083166378842 0.0668687993113224 -0.000831663788421312 0.915813897078617 15 3.07 3.07136231291933 0.182262255291627 -0.0013623129193256 0.940473964105364 16 2.76 2.76091970240126 0.0512710137581165 -0.000919702401255461 -1.06909787240323 17 2.51 2.51072085498038 -0.0288460150357446 -0.000720854980381655 -0.654378010343151 18 2.87 2.87090927715949 0.0745241277695391 -0.00090927715949085 0.844648798105718 19 3.14 3.14097882258534 0.126479413233335 -0.000978822585340527 0.424625741548868 20 3.11 3.11093794648578 0.084893123708108 -0.000937946485777381 -0.339921207557084 21 3.16 3.16093125384634 0.0756203577080185 -0.000931253846337647 -0.0757992934482249 22 2.47 2.47082342847113 -0.127835522174789 -0.000823428471132048 -1.66318697082964 23 2.57 2.57084698879969 -0.0672914854001537 -0.000846988799694827 0.49493740251833 24 2.89 2.89087639585848 0.0356248234542288 -0.000876395858482492 0.841332090342454 25 2.63 2.66853365759167 -0.0318862069520319 -0.0385336575916663 -0.605076419511567 26 2.38 2.38017806480123 -0.0978198912733993 -0.000178064801229533 -0.500868009326136 27 1.69 1.68969848223087 -0.255486137837755 0.000301517769133157 -1.28597155724411 28 1.96 1.9600108479324 -0.115702053423195 -1.08479324012053e-05 1.14132477664591 29 2.19 2.19016170671847 -0.0237865087705708 -0.000161706718473785 0.750909991695025 30 1.87 1.87006680349765 -0.102523516395460 -6.68034976481764e-05 -0.643444668015577 31 1.6 1.60002740683248 -0.147034481757993 -2.74068324820226e-05 -0.363807147339418 32 1.63 1.63005798453742 -0.0999868016240103 -5.7984537419313e-05 0.384575132893068 33 1.22 1.22001866802329 -0.182370793751421 -1.86680232879242e-05 -0.673452115812668 34 1.21 1.2100347193065 -0.136565382413136 -3.47193064986828e-05 0.374448371751139 35 1.49 1.49006320208605 -0.0258695840351746 -6.32020860464097e-05 0.904924553515611 36 1.64 1.64007203174743 0.0208647354352649 -7.20317474337113e-05 0.382050202633907 37 1.66 1.65939566259889 0.0204592618845721 0.000604337401109234 -0.00352566004978326 38 1.77 1.76911046655366 0.0436077395985069 0.000889533446344546 0.179722773294015 39 1.82 1.81911429879570 0.0453088050520883 0.00088570120430393 0.0138826226222192 40 1.78 1.77907674501953 0.0226220372923013 0.000923254980471246 -0.185294770867888 41 1.28 1.27890784215043 -0.116312834470783 0.00109215784956788 -1.13523332962454 42 1.29 1.2889378142139 -0.0827400520468216 0.00106218578610103 0.274384797902431 43 1.37 1.36896616726506 -0.0394897462397275 0.00103383273494092 0.353520971912539 44 1.12 1.11893923805590 -0.0954324765261785 0.00106076194410383 -0.457297039205401 45 1.51 1.50898483428363 0.0335664555475019 0.00101516571636777 1.05452368023678 46 2.24 2.23903286643814 0.218633843757157 0.000967133561857926 1.51289389130264 47 2.94 2.93905724351461 0.346548984982855 0.000942756485394306 1.04569499849202 48 3.09 3.08904993496336 0.294319571179134 0.000950065036642202 -0.426973238420458 49 3.46 3.46321742823383 0.315381996492675 -0.00321742823383147 0.180367079065923 50 3.64 3.64086174585341 0.279476808837663 -0.000861745853407672 -0.282076803703573 51 4.39 4.39108571751962 0.40465218755776 -0.00108571751961551 1.02193085032645 52 4.15 4.15086045070918 0.233242722801421 -0.00086045070917501 -1.40025567161983 53 5.21 5.21107255667473 0.453010561917699 -0.00107255667472807 1.79590027974623 54 5.8 5.80109836079765 0.489419394679731 -0.00109836079764991 0.297579700584806 55 5.91 5.91104588468307 0.388586234884432 -0.00104588468306820 -0.824218253167346 56 5.39 5.39095361576778 0.147134300326672 -0.000953615767782762 -1.97375093812424 57 5.46 5.4609478641808 0.126636763850534 -0.000947864180795105 -0.167562034670224 58 4.72 4.72090041484098 -0.103658824080971 -0.00090041484098577 -1.88263533275908 59 3.14 3.14084106305233 -0.495971386420688 -0.000841063052330742 -3.20712861751377 60 2.63 2.63084064894165 -0.49969923791476 -0.000840648941646655 -0.0304750686363817

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/1e44x1259865983.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/1e44x1259865983.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/2xqvi1259865983.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/2xqvi1259865983.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/3kdee1259865983.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/3kdee1259865983.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/471ak1259865983.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/471ak1259865983.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/59toq1259865983.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/03/t1259866238yjqnw1ht40f15mh/59toq1259865983.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 12 ;

R code (references can be found in the software module):

par1 <- as.numeric(par1) nx <- length(x) x <- ts(x,frequency=par1) m <- StructTS(x,type='BSM') m$coef m$fitted m$resid mylevel <- as.numeric(m$fitted[,'level']) myslope <- as.numeric(m$fitted[,'slope']) myseas <- as.numeric(m$fitted[,'sea']) myresid <- as.numeric(m$resid) myfit <- mylevel+myseas mylagmax <- nx/2 bitmap(file='test2.png') op <- par(mfrow = c(2,2)) acf(as.numeric(x),lag.max = mylagmax,main='Observed') acf(mylevel,na.action=na.pass,lag.max = mylagmax,main='Level') acf(myseas,na.action=na.pass,lag.max = mylagmax,main='Seasonal') acf(myresid,na.action=na.pass,lag.max = mylagmax,main='Standardized Residals') par(op) dev.off() bitmap(file='test3.png') op <- par(mfrow = c(2,2)) spectrum(as.numeric(x),main='Observed') spectrum(mylevel,main='Level') spectrum(myseas,main='Seasonal') spectrum(myresid,main='Standardized Residals') par(op) dev.off() bitmap(file='test4.png') op <- par(mfrow = c(2,2)) cpgram(as.numeric(x),main='Observed') cpgram(mylevel,main='Level') cpgram(myseas,main='Seasonal') cpgram(myresid,main='Standardized Residals') par(op) dev.off() bitmap(file='test1.png') plot(as.numeric(m$resid),main='Standardized Residuals',ylab='Residuals',xlab='time',type='b') grid() dev.off() bitmap(file='test5.png') op <- par(mfrow = c(2,2)) hist(m$resid,main='Residual Histogram') plot(density(m$resid),main='Residual Kernel Density') qqnorm(m$resid,main='Residual Normal QQ Plot') qqline(m$resid) plot(m$resid^2, myfit^2,main='Sq.Resid vs. Sq.Fit',xlab='Squared residuals',ylab='Squared Fit') par(op) dev.off() load(file='createtable') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Structural Time Series Model',6,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'t',header=TRUE) a<-table.element(a,'Observed',header=TRUE) a<-table.element(a,'Level',header=TRUE) a<-table.element(a,'Slope',header=TRUE) a<-table.element(a,'Seasonal',header=TRUE) a<-table.element(a,'Stand. Residuals',header=TRUE) a<-table.row.end(a) for (i in 1:nx) { a<-table.row.start(a) a<-table.element(a,i,header=TRUE) a<-table.element(a,x[i]) a<-table.element(a,mylevel[i]) a<-table.element(a,myslope[i]) a<-table.element(a,myseas[i]) a<-table.element(a,myresid[i]) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

Privacy Policy

We may request personal information to be submitted to our servers in order to be able to:

• personalize online software applications according to your needs
• enforce strict security rules with respect to the data that you upload (e.g. statistical data)
• manage user sessions of online applications
• alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by