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VRM

*The author of this computation has been verified*

R Software Module: /rwasp_variancereduction.wasp (opens new window with default values)

Title produced by software: Variance Reduction Matrix

Date of computation: Wed, 29 Dec 2010 13:18:22 +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/29/t1293628577y5mip0k3l5u8pp4.htm/, Retrieved Wed, 29 Dec 2010 14:16:17 +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/29/t1293628577y5mip0k3l5u8pp4.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 «

621 587 655 517 646 657 382 345 625 654 606 510 614 647 580 614 636 388 356 639 753 611 639 630 586 695 552 619 681 421 307 754 690 644 643 608 651 691 627 634 731 475 337 803 722 590 724 627 696 825 677 656 785 412 352 839 729 696 641 695 638 762 635 721 854 418 367 824 687 601 676 740 691 683 594 729 731 386 331 706 715 657 653 642 643 718 654 632 731 392 344 792 852 649 629 685 617 715 715 629 916 531 357 917 828 708 858 775 785 1006 789 734 906 532 387 991 841 892 782 813 793 978 775 797 946 594 438 1022 868 795

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Variance Reduction Matrix
V(Y[t],d=0,D=0)	23940.8997614788	Range	715	Trim Var.	14693.3495502249
V(Y[t],d=1,D=0)	36713.5570494186	Range	1040	Trim Var.	16097.2140350877
V(Y[t],d=2,D=0)	93348.8591904528	Range	1503	Trim Var.	52673.6845986648
V(Y[t],d=3,D=0)	264503.488313961	Range	2458	Trim Var.	150283.484355247
V(Y[t],d=0,D=1)	6253.20527306968	Range	563	Trim Var.	2862.33180592992
V(Y[t],d=1,D=1)	10647.5411140584	Range	580	Trim Var.	6463.35622710623
V(Y[t],d=2,D=1)	30151.221814093	Range	988	Trim Var.	18382.6956684093
V(Y[t],d=3,D=1)	95479.9958810069	Range	1468	Trim Var.	61938.2122596611
V(Y[t],d=0,D=2)	13583.5893081761	Range	621	Trim Var.	7315.6175932281
V(Y[t],d=1,D=2)	22814.7133699634	Range	749	Trim Var.	14273.8564749883
V(Y[t],d=2,D=2)	64631.9746079164	Range	1255	Trim Var.	41512.7935977066
V(Y[t],d=3,D=2)	209033.147344375	Range	2245	Trim Var.	134159.185347985

Charts produced by software:

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 12 ;

R code (references can be found in the software module):

par1 <- as.numeric(par1)

n <- length(x)

sx <- sort(x)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Variance Reduction Matrix',6,TRUE)

a<-table.row.end(a)

for (bigd in 0:2) {

for (smalld in 0:3) {

mylabel <- 'V(Y[t],d='

mylabel <- paste(mylabel,as.character(smalld),sep='')

mylabel <- paste(mylabel,',D=',sep='')

mylabel <- paste(mylabel,as.character(bigd),sep='')

mylabel <- paste(mylabel,')',sep='')

a<-table.row.start(a)

a<-table.element(a,mylabel,header=TRUE)

myx <- x

if (smalld > 0) myx <- diff(x,lag=1,differences=smalld)

if (bigd > 0) myx <- diff(myx,lag=par1,differences=bigd)

a<-table.element(a,var(myx))

a<-table.element(a,'Range',header=TRUE)

a<-table.element(a,max(myx)-min(myx))

a<-table.element(a,'Trim Var.',header=TRUE)

smyx <- sort(myx)

sn <- length(smyx)

a<-table.element(a,var(smyx[smyx>quantile(smyx,0.05) & smyx<quantile(smyx,0.95)]))

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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