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: Fri, 04 Dec 2009 13:18:41 -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/t12599580125otdf9e2q0azfa9.htm/, Retrieved Fri, 04 Dec 2009 21:20:18 +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/t12599580125otdf9e2q0azfa9.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 «

14,3 14,2 15,9 15,3 15,5 15,1 15 12,1 15,8 16,9 15,1 13,7 14,8 14,7 16 15,4 15 15,5 15,1 11,7 16,3 16,7 15 14,9 14,6 15,3 17,9 16,4 15,4 17,9 15,9 13,9 17,8 17,9 17,4 16,7 16 16,6 19,1 17,8 17,2 18,6 16,3 15,1 19,2 17,7 19,1 18 17,5 17,8 21,1 17,2 19,4 19,8 17,6 16,2 19,5 19,9 20 17,3

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 4 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Structural Time Series Model t Observed Level Slope Seasonal Stand. Residuals 1 14.3 14.3 0 0 0 2 14.2 14.2950077468344 0.0016661721550155 -0.0780265031164082 -0.135206814530930 3 15.9 14.7116131078678 0.0490581531599838 0.991909141254442 1.81090677204527 4 15.3 15.0755008788308 0.0868600394767477 0.118197520801480 1.11331515010707 5 15.5 15.3100318510466 0.102913073084110 0.133530814546456 0.589314249027969 6 15.1 15.3563275075830 0.0975760865211123 -0.230424389718164 -0.261606018765814 7 15 15.3196747023397 0.0867515390937438 -0.249454491585662 -0.68982583395243 8 12.1 14.6750570502635 0.0360034328797377 -2.15769139885873 -4.02461137081414 9 15.8 14.6703439741972 0.0335291248136388 1.15418490005985 -0.233744802012717 10 16.9 15.1071856524621 0.0554830683677146 1.54157002985212 2.37637421446372 11 15.1 15.2848508932190 0.061573077470008 -0.262571162429353 0.731624844678089 12 13.7 15.067035457687 0.0485841922323457 -1.18693530095794 -1.69016311865968 13 14.8 15.0418926311270 0.0483022663226904 -0.188765019917626 -0.506042089126555 14 14.7 15.1030278530681 0.0484603741658385 -0.411868938439442 0.0844505345182671 15 16 15.1766778135291 0.0492083361093919 0.807872597213215 0.150091107778446 16 15.4 15.2482462914235 0.0501226134186181 0.13912167790673 0.125101567369744 17 15 15.1783295632088 0.0446357383812894 -0.112223283305054 -0.662065917375712 18 15.5 15.2070173512803 0.0438968034082572 0.301871067890596 -0.0892618039525464 19 15.1 15.1606179730318 0.0398709689973782 -0.00892349253284508 -0.518005837561388 20 11.7 14.9522493924744 0.0295240195103816 -3.10606746351644 -1.45888694819494 21 16.3 14.9946467787721 0.0300173015236785 1.29758723028116 0.0771677660447492 22 16.7 15.0477189551846 0.0308187663278044 1.63810465617110 0.140291329473701 23 15 15.0690457484297 0.0305249247535039 -0.0631196386936098 -0.0584266714262434 24 14.9 15.2584889663350 0.0347497255643355 -0.459089932224338 0.98853549968283 25 14.6 15.2590795141442 0.0340283265649276 -0.63708080911465 -0.215639816957508 26 15.3 15.3505854351663 0.0352321631711392 -0.0873936592130896 0.360837901617910 27 17.9 15.6952680275738 0.0426583300539371 2.01118306693364 1.90381119753072 28 16.4 15.9090859634408 0.0473660362714403 0.38647366039374 1.03256540511006 29 15.4 15.9133313214178 0.0460712169734231 -0.48739942557148 -0.257517508509476 30 17.9 16.2076229354361 0.0538192169545017 1.54348962929948 1.48215975139601 31 15.9 16.2432691393372 0.053251914131949 -0.332304975172251 -0.109196623808679 32 13.9 16.4249015654222 0.0571470498617714 -2.60311932434909 0.778266781918136 33 17.8 16.5395863929238 0.0588089437294889 1.22498605080323 0.35191211740369 34 17.9 16.5756735338209 0.0581934928275664 1.33845175324218 -0.140042297330697 35 17.4 16.8087784477888 0.0625918283103238 0.481606914919802 1.08478235226376 36 16.7 17.0030953045543 0.0656582305251482 -0.386172679368081 0.820927596171908 37 16 17.0902117353923 0.0661268667354803 -1.10379913840598 0.134125794935218 38 16.6 17.1563820783511 0.0661278025753503 -0.556409569217355 0.000271328430303025 39 19.1 17.2398122083880 0.0665116068812848 1.84931555325480 0.107395871153424 40 17.8 17.3524817226194 0.0675851596603464 0.418738355986728 0.284717613202098 41 17.2 17.5316946522821 0.0702922184361049 -0.400892840359318 0.685651408141149 42 18.6 17.5581362422092 0.0692016503672748 1.06898720970759 -0.269051621832577 43 16.3 17.4694975128457 0.0652520213595037 -1.07174745728954 -0.97004230462107 44 15.1 17.53285474132 0.0652051385182 -2.43167721929837 -0.0116829235977194 45 19.2 17.6838235949886 0.0672745608794762 1.46264082189809 0.530821575783378 46 17.7 17.5787807352037 0.0632580110904904 0.2292646579917 -1.07041315944125 47 19.1 17.7800839975238 0.0663531453731534 1.23302237853707 0.860146087810786 48 18 17.9928678456436 0.0695181798509990 -0.0853100803674719 0.91443624558341 49 17.5 18.2111426918897 0.0726485578419924 -0.805199507071602 0.929980344330664 50 17.8 18.3559678714986 0.0741523140731951 -0.601592522962833 0.451050971789584 51 21.1 18.6092635846217 0.0779077250159875 2.37770551672387 1.11768105353519 52 17.2 18.4213693425908 0.0722486600696717 -1.05408961133033 -1.65490189898993 53 19.4 18.6143614565411 0.0748626193260183 0.709814612091021 0.75054699514837 54 19.8 18.7154442016736 0.0754370068253858 1.06810739195392 0.162888033306992 55 17.6 18.7861370083915 0.0753326760074915 -1.18316011444552 -0.0294863541080765 56 16.2 18.8332203302173 0.0747143352158588 -2.61547145295293 -0.175796358356960 57 19.5 18.7460665736553 0.0712137008835889 0.855825510628639 -1.00895861596640 58 19.9 18.9590857296578 0.0742284171813015 0.851469732935928 0.885385781614835 59 20 19.0773190988247 0.0751462222975807 0.894873404541586 0.275155117591189 60 17.3 18.8941547915706 0.0698533142828176 -1.43069437521422 -1.61691627781329

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/1pldg1259957917.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/1pldg1259957917.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/2dw9l1259957917.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/2dw9l1259957917.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/358ih1259957917.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/358ih1259957917.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/4aen01259957917.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/4aen01259957917.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/544k21259957917.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/04/t12599580125otdf9e2q0azfa9/544k21259957917.ps (open in new window)

Parameters (Session):

par1 = 0.2 ; par2 = 1 ; par3 = 1 ; par4 = 12 ;

Parameters (R input):

par1 = 12 ; par2 = 1 ; par3 = 1 ; par4 = 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

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