Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 29 »

*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: Tue, 29 Dec 2009 04:03:45 -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/29/t12620846979mzn2rcb95lbrtu.htm/, Retrieved Tue, 29 Dec 2009 12:05:03 +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/29/t12620846979mzn2rcb95lbrtu.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 «

8 8,1 7,7 7,5 7,6 7,8 7,8 7,8 7,5 7,5 7,1 7,5 7,5 7,6 7,7 7,7 7,9 8,1 8,2 8,2 8,2 7,9 7,3 6,9 6,6 6,7 6,9 7 7,1 7,2 7,1 6,9 7 6,8 6,4 6,7 6,6 6,4 6,3 6,2 6,5 6,8 6,8 6,4 6,1 5,8 6,1 7,2 7,3 6,9 6,1 5,8 6,2 7,1 7,7 7,9 7,7 7,4 7,5 8 8,1

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	5 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Structural Time Series Model
t	Observed	Level	Slope	Seasonal	Stand. Residuals
1	8	8	0	0	0
2	8.1	8.0992534482645	0.099315146768711	0.000746551735494343	0.312144661532379
3	7.7	7.71033729004476	-0.378431686426799	-0.0103372900447557	-1.51214927172144
4	7.5	7.49518144618358	-0.219599500213875	0.00481855381641875	0.497206469501047
5	7.6	7.59543379667154	0.0916915119177725	0.00456620332845658	0.974888938016866
6	7.8	7.79997542952185	0.201528226306382	2.45704781487947e-05	0.343976132170661
7	7.8	7.8047055047012	0.00998749078310632	-0.00470550470120262	-0.599848918670261
8	7.8	7.79990695798508	-0.00440352846728825	9.30420149202435e-05	-0.0450684147140476
9	7.5	7.50581770169191	-0.286350290163513	-0.00581770169191252	-0.88297384336456
10	7.5	7.49414521701395	-0.0190105117436494	0.00585478298605043	0.837229093239738
11	7.1	7.10858667133196	-0.37576619516409	-0.00858667133196044	-1.11725325390524
12	7.5	7.484997974067	0.356316841173229	0.0150020259329987	2.2926674822242
13	7.5	7.50864261038258	0.032587076773531	-0.00864261038258466	-1.01407990410654
14	7.6	7.58491489562795	0.0751181182763844	0.0150851043720510	0.133567918038366
15	7.7	7.7084760605823	0.121471978101266	-0.00847606058229988	0.146272311098007
16	7.7	7.70545524508715	0.00261434002097083	-0.00545524508714855	-0.371955138449220
17	7.9	7.89464456833885	0.180749508662983	0.00535543166115181	0.557902812678462
18	8.1	8.09489680165998	0.199372469606793	0.00510319834001557	0.0583215090833516
19	8.2	8.21219543390285	0.121001741196476	-0.0121954339028472	-0.245434002944632
20	8.2	8.1909994410428	-0.0147791354599226	0.009000558957195	-0.425225530166752
21	8.2	8.21852473280732	0.0256162848724262	-0.0185247328073169	0.126506505635344
22	7.9	7.88249894272392	-0.319706625173862	0.0175010572760754	-1.08144919353469
23	7.3	7.33869729193712	-0.533690185774264	-0.0386972919371166	-0.670133269467272
24	6.9	6.87140224212641	-0.470291519574783	0.028597757873589	0.198546043256021
25	6.6	6.60311922778425	-0.277433260941253	-0.00311922778424517	0.604149594912838
26	6.7	6.6797710450136	0.0608008977403762	0.0202289549863973	1.06092958645746
27	6.9	6.89514738117445	0.206784535759022	0.0048526188255462	0.459307752845182
28	7	7.01767499004384	0.127210418477692	-0.0176749900438427	-0.249046153952195
29	7.1	7.09884793220702	0.0837509293643512	0.00115206779297903	-0.136111223030652
30	7.2	7.19318721825769	0.0937482246273258	0.00681278174231	0.0313085411199649
31	7.1	7.1100720075795	-0.07324315511923	-0.0100720075795037	-0.52296789058124
32	6.9	6.9055879594375	-0.197156910422666	-0.00558795943749705	-0.38806121776312
33	7	6.99642175712162	0.0747549074142069	0.00357824287837512	0.85154738176011
34	6.8	6.78424673668332	-0.196156010514188	0.0157532633166833	-0.848412853688194
35	6.4	6.44173983614233	-0.334337351626327	-0.041739836142333	-0.432743423377657
36	6.7	6.64964151052286	0.177618078097179	0.0503584894771431	1.60329587906902
37	6.6	6.62624203274371	-0.0121423223956272	-0.0262420327437118	-0.594487171643204
38	6.4	6.39927632215368	-0.215023499150526	0.000723677846320193	-0.635800922086482
39	6.3	6.28504196179206	-0.120512429444735	0.0149580382079447	0.296796859166133
40	6.2	6.21239006778479	-0.0755941333569787	-0.0123900677847891	0.140618085687078
41	6.5	6.49161311656742	0.25718047654175	0.0083868834325828	1.04216848423040
42	6.8	6.7862481165473	0.292315279718560	0.0137518834527053	0.110032561872672
43	6.8	6.80639498936865	0.0369978373522829	-0.0063949893686552	-0.799578495942069
44	6.4	6.44677828751598	-0.335055756823133	-0.0467782875159820	-1.16516196744487
45	6.1	6.08224180870059	-0.362710690296217	0.0177581912994072	-0.0866070734016949
46	5.8	5.75679966834911	-0.327750061018043	0.0432003316508939	0.109486350054354
47	6.1	6.14911730473386	0.347731453096235	-0.0491173047338628	2.11541274740739
48	7.2	7.12316501016608	0.93523583883227	0.076834989833919	1.83989654065104
49	7.3	7.34662678923473	0.267642099046376	-0.0466267892347286	-2.09154344595480
50	6.9	6.93040979468902	-0.373894943904836	-0.0304097946890245	-2.00952585364868
51	6.1	6.09048338595636	-0.809120969827583	0.00951661404364303	-1.36527912941267
52	5.8	5.80665831083743	-0.31803189808199	-0.00665831083743158	1.53770947365362
53	6.2	6.17444559647432	0.322660083497355	0.0255544035256774	2.0063694962774
54	7.1	7.06253399377584	0.850975541906616	0.0374660062241608	1.65455577486633
55	7.7	7.69946956489358	0.650976480496868	0.00053043510642342	-0.626336834773619
56	7.9	7.96149209663143	0.287541529634192	-0.0614920966314265	-1.13817113772244
57	7.7	7.68002448200592	-0.244131220656649	0.0199755179940838	-1.66504180735822
58	7.4	7.38064957142924	-0.295750353071808	0.0193504285707568	-0.161655880159988
59	7.5	7.58745451312257	0.173834195968218	-0.0874545131225718	1.47060399206747
60	8	7.89896132520757	0.302465200781383	0.101038674792426	0.402838373145633
61	8.1	8.12341871212448	0.229583418603231	-0.0234187121244858	-0.228334511141484

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/1kw1j1262084620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/1kw1j1262084620.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/2z0un1262084620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/2z0un1262084620.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/3avih1262084620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/3avih1262084620.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/45ufx1262084620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/45ufx1262084620.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/5401g1262084620.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/29/t12620846979mzn2rcb95lbrtu/5401g1262084620.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

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.

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