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workshop 9,10

*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: Fri, 04 Dec 2009 12:09:52 -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/04/t1259953848783lfbjnx1b8rbw.htm/, Retrieved Fri, 04 Dec 2009 20:10:55 +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/04/t1259953848783lfbjnx1b8rbw.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 «

611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478 528 534 518 506 502 516 528 533 536 537 524 536 587 597 581 564

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Structural Time Series Model
t	Observed	Level	Slope	Seasonal	Stand. Residuals
1	611	611	0	0	0
2	594	600.890077038808	-10.6793508169096	-6.89007703880759	-1.80337200823213
3	595	590.132927178394	-10.7287539157575	4.86707282160587	-0.00662790276498473
4	591	587.158585444541	-5.60199786449456	3.84141455545852	0.726000183754626
5	589	587.457975751064	-1.69943344110081	1.54202424893557	0.511064434697025
6	584	584.803314038063	-2.31867121307166	-0.803314038063031	-0.0815642560340103
7	573	575.350598766063	-6.95407530653793	-2.35059876606268	-0.61357948024576
8	567	566.489146759818	-8.19676503485951	0.510853240182474	-0.164174374038259
9	569	565.534716887839	-3.47681636595968	3.46528311216105	0.623424007260352
10	621	604.691572368577	24.3028961776941	16.3084276314227	3.66959521756889
11	629	632.643610965884	26.6800781232648	-3.64361096588364	0.314007345084002
12	628	636.946347509351	12.1041838444222	-8.94634750935132	-1.92534927868203
13	612	621.097434092153	-6.03681289967139	-9.0974340921529	-2.40571170016917
14	595	603.606889533705	-13.5044740366100	-8.60688953370532	-1.00268674995515
15	597	593.01700511195	-11.6530326347927	3.98299488804976	0.242380254418430
16	593	589.156891698458	-6.78014554592905	3.84310830154209	0.652622413957651
17	590	586.671446486108	-4.05973271065301	3.32855351389225	0.362119643211553
18	580	577.986920095679	-6.97311072452429	2.01307990432117	-0.383179200641831
19	574	571.375675431364	-6.74639635331833	2.62432456863605	0.0299279349434804
20	573	572.198857688032	-1.99651815394783	0.801142311967944	0.627993866454083
21	573	582.487594692808	5.72430331283231	-9.48759469280824	1.01987751759528
22	620	602.531346757473	14.7253285851444	17.4686532425272	1.18895941486567
23	626	621.878653766024	17.6290793822401	4.12134623397598	0.383580524407892
24	620	625.018412447934	8.53716456531325	-5.01841244793429	-1.20159962401871
25	588	603.737412064846	-10.1792332084258	-15.7374120648462	-2.48023872115726
26	566	579.452771640999	-19.0451485994616	-13.4527716409988	-1.17316184100839
27	557	556.82416849091	-21.2798320097198	0.175831509090555	-0.294269186980529
28	561	551.368612128642	-11.4706762728539	9.63138787135847	1.30011571574711
29	549	542.393425817566	-9.91622776835232	6.60657418243421	0.206362142630146
30	532	529.288254389853	-11.9039195311071	2.71174561014708	-0.262304976459346
31	526	522.618612806552	-8.6533177311449	3.38138719344779	0.428682137665396
32	511	515.556765228615	-7.665603441677	-4.55676522861529	0.130480696135232
33	499	514.103692140889	-3.80543566060573	-15.1036921408887	0.50998956029736
34	555	533.071905389263	10.3514803171635	21.9280946107371	1.87003509218902
35	565	553.518652141476	16.6247065606166	11.4813478585239	0.828747654724153
36	542	545.598171244354	1.37722427140755	-3.59817124435393	-2.01574839720102
37	527	538.121887572847	-4.12699430766737	-11.1218875728465	-0.728236534754263
38	510	525.831915535641	-9.20089463108307	-15.8319155356407	-0.670173352040899
39	514	518.723581025135	-7.9054367041488	-4.72358102513545	0.170862476894353
40	517	508.634588800205	-9.25358500588118	8.36541119979469	-0.178331662818988
41	508	499.04894074898	-9.459058272588	8.95105925102045	-0.0272199956210121
42	493	490.103188803812	-9.14100879023855	2.89681119618788	0.0420227461999915
43	490	484.434930884789	-6.99301307028732	5.5650691152107	0.283393626137543
44	469	477.544575803353	-6.929596250581	-8.54457580335258	0.00837278519233984
45	478	494.662129782279	7.92914139846875	-16.6621297822793	1.96284999813464
46	528	509.310426295123	12.0824501569133	18.6895737048765	0.548708235659699
47	534	515.861085967564	8.66307980401113	18.1389140324358	-0.451836215151636
48	518	519.545868562684	5.58517408378212	-1.54586856268413	-0.406891413221724
49	506	517.308678089081	0.74611671266553	-11.3086780890814	-0.639668806212862
50	502	518.16316039228	0.813111570403526	-16.1631603922797	0.00884537791369302
51	516	519.560922603432	1.17366170584363	-3.5609226034325	0.0475832440995858
52	528	519.309888431825	0.296342492002157	8.69011156817484	-0.115981796338448
53	533	521.891002776105	1.70505954399034	11.1089972238949	0.186430479481245
54	536	530.262588780124	5.82028612150667	5.73741121987565	0.543911552792706
55	537	533.744018937197	4.37767695226750	3.25598106280276	-0.190418594400508
56	524	541.210542431268	6.28048378321375	-17.2105424312678	0.251181019527817
57	536	553.619350396144	10.0542087786444	-17.6193503961439	0.498433497753699
58	587	566.070868832024	11.5306554981274	20.9291311679761	0.195082946548739
59	597	577.047604199732	11.1894186441874	19.9523958002677	-0.0451001588481676
60	581	581.969889261719	7.3268804338397	-0.969889261718967	-0.510572477883051
61	564	578.890299039776	0.911103941072681	-14.8902990397762	-0.847732019687734

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/1qssk1259953789.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/1qssk1259953789.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/2e0y71259953789.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/2e0y71259953789.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/37nqw1259953790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/37nqw1259953790.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/4neqc1259953790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/4neqc1259953790.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/5buv41259953790.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259953848783lfbjnx1b8rbw/5buv41259953790.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')

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

Software written by Ed van Stee & Patrick Wessa

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