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workshop 8

*The author of this computation has been verified*
R Software Module: /rwasp_exponentialsmoothing.wasp (opens new window with default values)
Title produced by software: Exponential Smoothing
Date of computation: Sun, 19 Dec 2010 23:02:46 +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/20/t1292799646w9q7loujsqqgn7t.htm/, Retrieved Mon, 20 Dec 2010 00:00:51 +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/20/t1292799646w9q7loujsqqgn7t.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 «
40,7819 39,5915 38,8859 39,9068 41,47 41,5613 41,6005 41,4113 41,84 42,2892 43,1521 43,5998 43,116 42,4185 42,3687 42,2975 42,8528 43,535 44,7265 45,7293 45,7585 46,1685 46,5075 46,527 46,601 46,4607 46,7135 46,4113 45,55 44,6081 44,4395 44,9847 45,7558 45,3942 45,697 45,5664 46,0205 45,9195 45,8005 45,535 45,4977 45,5782 45,7697 45,2445 45,0615 45,2865 44,791 44,7625 44,7644 44,9973 44,7265 45,1465 44,7465 45,1795 45,6515 45,492 45,2775 45,2115 45,411 45,4005 44,7692 44,8913 45,032 44,879 44,833 44,8257 44,7815 44,479 44,6317 44,5043 44,3217 44,1005 44,047 43,6835 43,7864 44,1807 43,9595 43,937 43,991 43,865 43,671 43,93 43,863 43,7095 43,9435 43,736 43,6295 43,598 43,8726 43,8935 43,5957 43,7155 43,528 43,3415 43,3374 43,332 43,3869 43,5016 43,4875 43,6023 43,3886 43,3105 43,4455 43,5185 43,5755 43,6217 43,644 43,5789 43,5215 43,5033 43,632 43,263 43,3717 43,2745 43,2647 43,324 43,4455 43,409 etc...
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time9 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Estimated Parameters of Exponential Smoothing
ParameterValue
alpha1
beta0.267907409590564
gammaFALSE


Interpolation Forecasts of Exponential Smoothing
tObservedFittedResiduals
338.885938.40110.484799999999993
439.906837.82538151216952.08141848783049
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32139.273539.5665329746625-0.293032974662466
32239.143539.163027269496-0.0195272694960167
32339.174239.0277957693090.146404230691026
32439.202539.09771854750650.104781452493498
32539.394639.15409027501720.240509724982829
32639.502539.41062461241870.0918753875813394
32739.484539.5431387095107-0.0586387095107028
32839.3339.5094289647440-0.179428964743956
32939.29539.3068586155939-0.0118586155938871
33039.267539.2686816046088-0.0011816046088029
33139.253539.24086504397890.0126349560211096
33238.984539.2302500423168-0.245750042316807
33338.928538.89541178507290.0330882149270693
33438.859238.8482763630220.0109236369779779
33538.7738.7819028863081-0.0119028863080999
33638.7938.68951401487060.100485985129353
33738.820538.73643495484680.0840650451531957
33838.757738.7894566033309-0.0317566033309191
33938.83938.71814877399510.120851226004866
34038.7838.8318257128999-0.0518257128999338
34138.5438.7589412204067-0.218941220406734
34238.51138.46028524519500.0507147548050355
34338.61538.44487210378280.170127896217195
34438.89838.59445062775740.303549372242557
34538.869138.9587737537578-0.0896737537577934
34638.38438.9058494906803-0.521849490680282
34738.027738.280942145436-0.253242145435969
34837.7237.8567966982531-0.136796698253065
34937.732537.51244784918350.220052150816464
35037.62637.58390145088360.0420985491163819
35137.60337.48867996412490.114320035875103
35237.7837.49630714880050.283692851199497
35338.55937.74931056568470.809689434315274
35439.045938.7452323646050.30066763539503
35538.4539.3126834519514-0.862683451951376
35638.50538.48566416304240.0193358369575591
35738.288538.545844377034-0.257344377034009
35837.79538.2603999116101-0.46539991161012
35937.9237.6422158268670.277784173133021
36038.03437.84163626511630.192363734883692
36138.02938.00717193502820.0218280649718423
36238.06338.00801983537110.0549801646288586
36337.982838.0567494288557-0.0739494288557268
36437.74537.9567378289303-0.211737828930282
36537.96937.66221169566920.306788304330766
36638.00737.96840255557520.0385974444248234
36738.061538.01674309692780.0447569030721553
36838.091238.08323380289120.00796619710879298
36938.09138.1150680061229-0.0240680061229099
37038.43138.10842000894850.322579991051484
37138.4838.5348415787369-0.0548415787368626
37238.3538.5691491134396-0.219149113439606
37338.21438.3804374421439-0.166437442143938
37438.38438.19984761816030.184152381839723
37538.137538.4191834057489-0.281683405748886
37638.007538.0972183341901-0.08971833419006
37738.052437.94318212768440.109217872315583
37838.23538.01734240493750.217657595062526
37938.3138.25825448740840.0517455125916157
38038.261538.3471174936447-0.0856174936447474
38138.1338.2756799327067-0.145679932706742
38238.28238.10515119930600.176848800694039
38338.58138.30453030338910.276469696610917
38439.080138.67759858363840.402501416361588
38539.038739.2845316954524-0.245831695452381
38639.101539.1772715627285-0.0757715627284696
38739.150339.2197717996373-0.0694717996372631
38839.1439.2499597897569-0.10995978975685
38939.027539.210200747324-0.182700747323963
39038.766539.0487538633781-0.282253863378145
39138.69138.7121359619936-0.0211359619935720
39238.84938.63097348116670.218026518833319
39339.164438.84738440104940.317015598950647
39439.490739.2477152289640.242984771035971
39539.509539.6391126495422-0.129612649542224
39639.279539.6231884603532-0.343688460353206
39739.043739.3011117752338-0.257411775233805
39839.135538.99634925333280.139150746667191
39939.14339.1254287694150.0175712305849913
40039.18539.13763623228440.0473637677156518
40139.35539.19232533660150.162674663398491
40239.29739.4059070842786-0.108907084278606
40339.451439.31873006944350.132669930556538
40439.417339.5086733268694-0.0913733268694301
40539.430539.4500937355622-0.0195937355621609
40639.38439.4580444286235-0.0740444286235089
40739.326139.3917073775564-0.0656073775563684
40839.30139.3162306749852-0.0152306749852045
40939.3539.28705026430360.0629497356963924
41039.6439.35291496492840.287085035071563
41139.472339.7198271730067-0.247527173006681
41239.368539.4858128092832-0.117312809283185
41339.190639.3505838384363-0.159983838436325
41439.118339.1298229827045-0.0115229827045056
41539.132539.05443589025740.0780641097426198
41639.114439.08954984368050.0248501563194807
41739.161439.0781073846880.0832926153120042
41839.090839.1474220934943-0.056622093494255
41938.919939.0616526151006-0.141752615100621
42038.91338.85277603918630.0602239608136799
42138.965538.86201048452320.103489515476802
42239.02938.94223609253440.0867639074656381
42339.08939.02898078622940.060019213770552
42439.0739.1050603783164-0.0350603783163734
42539.004639.0766674431824-0.0720674431823696
42639.103838.99196004116360.111839958836427
42739.357239.12112279482420.236077205175846
42839.38839.4377696273262-0.0497696273261923
42939.38239.4552359753929-0.0732359753929472
43039.439839.42961551493660.0101844850634194
43139.253739.4901440139479-0.236444013947931
43239.230139.2406989106580-0.0105989106579543
43339.276339.21425938395910.0620406160409033
43439.28239.2770805246920.00491947530797887
43539.332539.28409848857830.0484015114216803
43639.55739.34756561212360.209434387876428
43740.139.62817463645870.471825363541264
43840.587540.29758014738420.289919852615796
43940.48540.8627518240874-0.377751824087376
44040.5540.659049311428-0.109049311428016
44140.795540.69483419288570.100665807114297
44241.45640.96730330850400.488696691495967
44341.355741.7587287731982-0.403028773198201
44441.37441.5504543785802-0.176454378580203
44541.223541.5214809431039-0.297980943103873
44641.1541.2911496405296-0.141149640529562
44741.372541.17983460597060.192665394029355
44841.692341.45395109260280.238348907397203
44941.841.8376065309623-0.0376065309623286
45041.804541.9352314626685-0.130731462668514
45141.6441.904707535153-0.264707535153008
45241.3641.6692904251111-0.309290425111065
45341.574541.30642922850840.268070771491608
45441.59341.59274737448570.000252625514349347
45541.57541.6113150547328-0.0363150547328033
45641.6841.58358598249020.096414017509801
45742.005541.71441601216950.291083987830532
45842.318842.11789956932240.200900430677571
45942.56542.48502228329090.0799777167091023
46042.357542.7526489061994-0.395148906199388
46142.2942.439285586337-0.149285586336973
46242.69542.33179087161220.36320912838778
46343.002842.83409728833820.168702711661759
46442.450743.1870939948104-0.736393994810449
46542.470542.43770858722270.0327914127772715
46642.287542.4662936496767-0.178793649676706
46742.317242.23539350614060.0818064938594247
46842.5542.28701007199810.262989928001858
46942.752342.59026702235750.162032977642475
47042.899342.8359768576660.0633231423340277
47143.155542.99994159669580.155558403304191
47243.188543.2978168455651-0.109316845565090
47343.4343.30153005264510.128469947354873
47443.3143.5774481034512-0.267448103451208
47542.81543.3857967748557-0.570796774855694
47642.701742.7378760895014-0.0361760895014456
47742.2842.614884247074-0.334884247074001
47841.92242.1034662759277-0.181466275927725
47942.1741.69685011601590.473149883984128
48042.196242.07161047578210.124589524217853
48142.321542.13118893247750.190311067522536
48242.317342.30747467759380.00982532240615797
48342.39142.30590695426810.0850930457319237
48442.46342.40240401172430.0605959882757219
48542.412542.4906381259748-0.0781381259748102
48642.30442.4192043430546-0.115204343054636
48741.81342.2798402459333-0.466840245933284
48841.65141.6637702849527-0.0127702849526798
48941.53941.49834903099130.0406509690087233
49041.157541.3972397267957-0.239739726795747
49140.954540.95151167761400.00298832238605229


Extrapolation Forecasts of Exponential Smoothing
tForecast95% Lower Bound95% Upper Bound
49240.749312271323440.161593241326341.3370313013205
49340.544124542646839.595074004232241.4931750810615
49440.338936813970339.029191227554241.6486824003864
49540.133749085293738.448754399652941.8187437709344
49639.928561356617137.849715187375242.007407525859
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292799646w9q7loujsqqgn7t/1keas1292799756.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292799646w9q7loujsqqgn7t/1keas1292799756.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/20/t1292799646w9q7loujsqqgn7t/2v5rd1292799756.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292799646w9q7loujsqqgn7t/2v5rd1292799756.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/20/t1292799646w9q7loujsqqgn7t/3v5rd1292799756.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/20/t1292799646w9q7loujsqqgn7t/3v5rd1292799756.ps (open in new window)


 
Parameters (Session):
par1 = 5 ; par2 = Double ; par3 = additive ;
 
Parameters (R input):
par1 = 5 ; par2 = Double ; par3 = additive ;
 
R code (references can be found in the software module):
par1 <- as.numeric(par1)
if (par2 == 'Single') K <- 1
if (par2 == 'Double') K <- 2
if (par2 == 'Triple') K <- par1
nx <- length(x)
nxmK <- nx - K
x <- ts(x, frequency = par1)
if (par2 == 'Single') fit <- HoltWinters(x, gamma=F, beta=F)
if (par2 == 'Double') fit <- HoltWinters(x, gamma=F)
if (par2 == 'Triple') fit <- HoltWinters(x, seasonal=par3)
fit
myresid <- x - fit$fitted[,'xhat']
bitmap(file='test1.png')
op <- par(mfrow=c(2,1))
plot(fit,ylab='Observed (black) / Fitted (red)',main='Interpolation Fit of Exponential Smoothing')
plot(myresid,ylab='Residuals',main='Interpolation Prediction Errors')
par(op)
dev.off()
bitmap(file='test2.png')
p <- predict(fit, par1, prediction.interval=TRUE)
np <- length(p[,1])
plot(fit,p,ylab='Observed (black) / Fitted (red)',main='Extrapolation Fit of Exponential Smoothing')
dev.off()
bitmap(file='test3.png')
op <- par(mfrow = c(2,2))
acf(as.numeric(myresid),lag.max = nx/2,main='Residual ACF')
spectrum(myresid,main='Residals Periodogram')
cpgram(myresid,main='Residal Cumulative Periodogram')
qqnorm(myresid,main='Residual Normal QQ Plot')
qqline(myresid)
par(op)
dev.off()
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Estimated Parameters of Exponential Smoothing',2,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Parameter',header=TRUE)
a<-table.element(a,'Value',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'alpha',header=TRUE)
a<-table.element(a,fit$alpha)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'beta',header=TRUE)
a<-table.element(a,fit$beta)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'gamma',header=TRUE)
a<-table.element(a,fit$gamma)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Interpolation Forecasts of Exponential Smoothing',4,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,'Fitted',header=TRUE)
a<-table.element(a,'Residuals',header=TRUE)
a<-table.row.end(a)
for (i in 1:nxmK) {
a<-table.row.start(a)
a<-table.element(a,i+K,header=TRUE)
a<-table.element(a,x[i+K])
a<-table.element(a,fit$fitted[i,'xhat'])
a<-table.element(a,myresid[i])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Extrapolation Forecasts of Exponential Smoothing',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'t',header=TRUE)
a<-table.element(a,'Forecast',header=TRUE)
a<-table.element(a,'95% Lower Bound',header=TRUE)
a<-table.element(a,'95% Upper Bound',header=TRUE)
a<-table.row.end(a)
for (i in 1:np) {
a<-table.row.start(a)
a<-table.element(a,nx+i,header=TRUE)
a<-table.element(a,p[i,'fit'])
a<-table.element(a,p[i,'lwr'])
a<-table.element(a,p[i,'upr'])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable2.tab')
 





Copyright

Creative Commons License

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Software written by Ed van Stee & Patrick Wessa


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