WSvraag5

*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, 10 Dec 2010 13:55:58 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48.htm/, Retrieved Fri, 10 Dec 2010 14:56:58 +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/2010/Dec/10/t1291989418nbs8cv00xl53l48.htm/}, year = {2010}, } @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 = {2010}, 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 «

13328 12873 14000 13477 14237 13674 13529 14058 12975 14326 14008 16193 14483 14011 15057 14884 15414 14440 14900 15074 14442 15307 14938 17193 15528 14765 15838 15723 16150 15486 15986 15983 15692 16490 15686 18897 16316 15636 17163 16534 16518 16375 16290 16352 15943 16362 16393 19051 16747 16320 17910 16961 17480 17049 16879 17473 16998 17307 17418 20169 17871 17226 19062 17804 19100 18522 18060 18869 18127 18871 18890 21263 19547 18450 20254 19240 20216 19420 19415 20018 18652 19978 19509 21971

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 3 seconds R Server 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Structural Time Series Model t Observed Level Slope Seasonal Stand. Residuals 1 13328 13328 0 0 0 2 12873 13200.6094372576 3.82152215418458 -327.60943725757 -1.30910910455104 3 14000 13460.2527133782 21.9988103836074 539.747286621803 1.31766718817925 4 13477 13535.9869368475 26.2778514725775 -58.9869368475091 0.3119018951803 5 14237 13789.3806876074 42.1621864062807 447.619312392624 1.58143678363955 6 13674 13834.0785468328 42.304813576799 -160.078546832798 0.0192401175127454 7 13529 13756.1941745728 36.7695778352094 -227.194174572758 -0.93687477922123 8 14058 13824.1080929226 38.0413651349866 233.891907077372 0.243932780905403 9 12975 13582.4984397516 27.0308655431981 -607.498439751644 -2.18563522321182 10 14326 13729.7470794416 31.8415148666767 596.252920558447 0.935635145334216 11 14008 13869.9950067205 36.3416212726261 138.004993279452 0.83989232790268 12 16193 14657.7510264205 68.7545235229206 1535.24897357951 5.79778333316117 13 14483 14940.9680163699 73.3764539119965 -457.968016369885 1.70441853624671 14 14011 14973.3046882258 72.3101107570872 -962.304688225774 -0.329014378964596 15 15057 14910.2035272358 66.739967786076 146.796472764226 -1.01366319307546 16 14884 14966.7659653310 66.2089827983878 -82.7659653309797 -0.0721838684600287 17 15414 14983.3845969918 63.3965754736545 430.615403008248 -0.352180429765533 18 14440 14841.9012627879 51.7595341466996 -401.901262787872 -1.49386554764302 19 14900 14877.5720564015 50.8778982616844 22.4279435984515 -0.119893630636551 20 15074 14855.2826272591 47.0432538657153 218.717372740914 -0.550703589224719 21 14442 14996.1384405196 51.7709122935584 -554.1384405196 0.707320665841406 22 15307 15086.8738753966 53.6729327269379 220.126124603381 0.29317698821905 23 14938 15227.8675540081 57.8168114646312 -289.867554008074 0.655223717116413 24 17193 15465.1878777777 66.1186128352358 1727.81212222226 1.34613900460798 25 15528 15699.3568542632 73.7849643858837 -171.356854263205 1.26383314497992 26 14765 15768.8968999814 73.5864325978395 -1003.89689998135 -0.0318767913317064 27 15838 15770.2250992424 70.0227966170759 67.7749007576431 -0.53598968203871 28 15723 15767.7940083264 66.2585553298344 -44.794008326355 -0.529666835606198 29 16150 15725.5497829904 60.4284412968454 424.450217009605 -0.78914526021634 30 15486 15780.1551270154 60.111468623206 -294.155127015362 -0.0425722754290249 31 15986 15877.2286372816 62.1175757953697 108.771362718440 0.272499822725137 32 15983 15928.5477713487 61.5386762271114 54.4522286513501 -0.0800430636830513 33 15692 16100.191460463 67.3471799287255 -408.191460463015 0.816985506429388 34 16490 16281.8355610457 73.2823838806303 208.164438954255 0.846804441462566 35 15686 16325.1009876591 71.7432917911031 -639.100987659145 -0.222069430077944 36 18897 16660.8620174335 85.1830508029185 2236.13798256650 1.95350170875901 37 16316 16722.8204669242 84.000666347788 -406.820466924182 -0.172016459264779 38 15636 16713.576603162 79.2163022303728 -1077.57660316201 -0.690270569590547 39 17163 16831.7752724910 81.242312767349 331.224727508973 0.287597218590611 40 16534 16796.0358076532 75.0806559430563 -262.035807653178 -0.859203182183173 41 16518 16595.7632142207 60.4294612260057 -77.763214220708 -2.01772361813529 42 16375 16599.693468089 57.407487084985 -224.693468089016 -0.414444134280058 43 16290 16513.5740559767 49.7272941782886 -223.574055976672 -1.05580442807704 44 16352 16484.4588334822 45.5216189412185 -132.458833482220 -0.581264011985356 45 15943 16491.1324007676 43.4599349205430 -548.132400767599 -0.286540543738518 46 16362 16429.6654830839 37.9219342010331 -67.6654830839178 -0.773357579733872 47 16393 16668.1805407113 48.4616659078146 -275.180540711343 1.47741432595823 48 19051 16787.4626057314 52.1734880458952 2263.53739426862 0.521644691090645 49 16747 16927.7722858374 56.792677707048 -180.772285837419 0.649525131657709 50 16320 17113.1041709358 63.5441761274461 -793.104170935786 0.947301688069572 51 17910 17270.6207288139 68.4977148282845 639.37927118609 0.691872668321675 52 16961 17247.865414159 63.6692206290222 -286.865414158987 -0.67085706019038 53 17480 17325.0680271422 64.387494933109 154.931972857768 0.0993994143963147 54 17049 17312.0277700904 60.2709331837657 -263.027770090449 -0.568790491786287 55 16879 17242.3233036095 53.3581514597171 -363.323303609512 -0.955697068414683 56 17473 17351.4634175885 56.3226004544241 121.536582411467 0.410502924565005 57 16998 17478.6719499631 60.0840640137906 -480.671949963101 0.521762688225939 58 17307 17568.3842365943 61.6535247190075 -261.384236594274 0.21801502975952 59 17418 17693.2389687566 64.9964281204076 -275.238968756617 0.464906342198786 60 20169 17860.1592058931 70.3827072212431 2308.8407941069 0.749748252953783 61 17871 18029.5453045586 75.6140177325728 -158.545304558606 0.728434546245092 62 17226 18110.4401782058 75.8932174272593 -884.44017820575 0.0388587135122467 63 19062 18234.4700924258 78.4407947006641 827.529907574154 0.354115600480104 64 17804 18242.0991811425 74.6889953333371 -438.099181142517 -0.5206638162686 65 19100 18466.8231526109 82.6455779130433 633.17684738915 1.10276967932766 66 18522 18650.0223960451 87.9810633800512 -128.022396045076 0.739082059332285 67 18060 18689.5254785853 85.4083722329187 -629.525478585296 -0.356426798586708 68 18869 18776.5956209151 85.4965441245846 92.4043790848557 0.0122216771278885 69 18127 18804.5205746809 82.4431636156105 -677.520574680931 -0.423455696205232 70 18871 18980.9130448494 87.4232641499781 -109.913044849424 0.690945687987493 71 18890 19161.2263215723 92.3448685963206 -271.226321572337 0.683059514657614 72 21263 19208.3400094435 89.9491158256927 2054.65999055652 -0.332598175819422 73 19547 19420.0261666712 96.3966483906145 126.973833328821 0.895250386793068 74 18450 19505.2332207222 95.8039317238105 -1055.23322072221 -0.0822934402494889 75 20254 19548.7933697156 93.0357655513966 705.206630284366 -0.384200720802587 76 19240 19679.9058509455 95.0539453246925 -439.905850945503 0.279969699295708 77 20216 19740.4698601584 93.2253639804314 475.530139841585 -0.253560638247648 78 19420 19722.5541414544 87.3318635868154 -302.554141454413 -0.817063950179949 79 19415 19854.6259641145 89.7044383627577 -439.625964114513 0.328941624394363 80 20018 19957.1130735495 90.3822767657258 60.8869264504966 0.0939926577936619 81 18652 19856.4044426176 80.250344656764 -1204.40444261761 -1.40517312873333 82 19978 19952.8812924082 81.110564210887 25.1187075918029 0.119315648765566 83 19509 19964.5283450925 77.428629017943 -455.52834509247 -0.510744834039157 84 21971 20006.5733932436 75.5533064547859 1964.42660675644 -0.260161365412173

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/1q4d71291989353.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/1q4d71291989353.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/2q4d71291989353.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/2q4d71291989353.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/3jvda1291989353.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/3jvda1291989353.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/4unuc1291989353.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/4unuc1291989353.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/5unuc1291989353.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/10/t1291989418nbs8cv00xl53l48/5unuc1291989353.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$resid) myfit <- mylevel+myseas bitmap(file='test1.png') plot(as.numeric(m$resid),main='Standardized Residuals',ylab='Residuals',xlab='time') grid() dev.off() 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='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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