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Description of Statistical Computation

Author's title

Author*The author of this computation has been verified*
R Software Modulerwasp_arimaforecasting.wasp
Title produced by softwareARIMA Forecasting
Date of computationWed, 16 Dec 2009 13:44:06 -0700
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2009/Dec/16/t12609963249mxwj7cldqbg1xr.htm/, Retrieved Tue, 30 Apr 2024 10:10:40 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=68596, Retrieved Tue, 30 Apr 2024 10:10:40 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact126

Tree of Dependent Computations

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Variance Reduction Matrix] [VRM - vaste rente...] [2008-12-12 10:51:08] [c5a66f1c8528a963efc2b82a8519f117]
- RM D  [Standard Deviation-Mean Plot] [SDMP inschrijving...] [2008-12-12 11:03:14] [c5a66f1c8528a963efc2b82a8519f117]
- RM      [Variance Reduction Matrix] [VRM - inschrijvin...] [2008-12-12 11:08:27] [c5a66f1c8528a963efc2b82a8519f117]
- RMP       [(Partial) Autocorrelation Function] [ACF - inschrijvin...] [2008-12-12 11:14:36] [c5a66f1c8528a963efc2b82a8519f117]
-   P         [(Partial) Autocorrelation Function] [ACF - inschrijvin...] [2008-12-12 11:32:48] [c5a66f1c8528a963efc2b82a8519f117]
-               [(Partial) Autocorrelation Function] [ACF - inschrijvin...] [2008-12-12 11:37:19] [c5a66f1c8528a963efc2b82a8519f117]
- RM              [ARIMA Backward Selection] [ARIMA backward se...] [2008-12-12 11:51:13] [c5a66f1c8528a963efc2b82a8519f117]
- RM                [ARIMA Forecasting] [ARIMA forecasting...] [2008-12-12 11:57:42] [c5a66f1c8528a963efc2b82a8519f117]
F                     [ARIMA Forecasting] [ARIMA forecasting...] [2008-12-12 12:06:55] [c5a66f1c8528a963efc2b82a8519f117]
-  MPD                    [ARIMA Forecasting] [ARIMA forecasting...] [2009-12-16 20:44:06] [557d56ec4b06cd0135c259898de8ce95] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
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
18,9
18,6
21,4
18,6
19,8
20,8
19,6
17,7
19,8
22,2
20,7
17,9
20,9
21,2
21,4
23
21,3
23,9
22,4
18,3
22,8
22,3
17,8
16,4
16
16,4
17,7
16,6
16,2
18,3
17,6
15,1

Tables (Output of Computation)





Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 4 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=68596&T=0

[TABLE]
[ROW][C]Summary of computational transaction[/C][/ROW]
[ROW][C]Raw Input[/C][C]view raw input (R code) [/C][/ROW]
[ROW][C]Raw Output[/C][C]view raw output of R engine [/C][/ROW]
[ROW][C]Computing time[/C][C]4 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=68596&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=68596&T=0

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time4 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135






Univariate ARIMA Extrapolation Forecast
timeY[t]F[t]95% LB95% UBp-value(H0: Y[t] = F[t])P(F[t]>Y[t-1])P(F[t]>Y[t-s])P(F[t]>Y[48])
3617.7-------
3719.8-------
3822.2-------
3920.7-------
4017.9-------
4120.9-------
4221.2-------
4321.4-------
4423-------
4521.3-------
4623.9-------
4722.4-------
4818.3-------
4922.823.444321.240726.190.32280.99990.99540.9999
5022.324.673422.240427.7420.06480.88430.94291
5117.822.920420.716125.68271e-040.67010.94240.9995
5216.421.099319.013923.7312e-040.9930.99140.9815
531622.447620.062525.517800.99990.83840.9959
5416.423.154320.511126.63131e-0410.86470.9969
5517.725.281521.998429.7965e-040.99990.9540.9988
5616.625.386322.009830.07161e-040.99930.84090.9985
5716.223.846620.765828.07482e-040.99960.88110.9949
5818.326.955322.934532.81090.00190.99980.84680.9981
5917.623.698520.496728.16890.00370.9910.71540.991
6015.119.677717.40422.680.00140.91250.81580.8158

\begin{tabular}{lllllllll}
\hline
Univariate ARIMA Extrapolation Forecast \tabularnewline
time & Y[t] & F[t] & 95% LB & 95% UB & p-value(H0: Y[t] = F[t]) & P(F[t]>Y[t-1]) & P(F[t]>Y[t-s]) & P(F[t]>Y[48]) \tabularnewline
36 & 17.7 & - & - & - & - & - & - & - \tabularnewline
37 & 19.8 & - & - & - & - & - & - & - \tabularnewline
38 & 22.2 & - & - & - & - & - & - & - \tabularnewline
39 & 20.7 & - & - & - & - & - & - & - \tabularnewline
40 & 17.9 & - & - & - & - & - & - & - \tabularnewline
41 & 20.9 & - & - & - & - & - & - & - \tabularnewline
42 & 21.2 & - & - & - & - & - & - & - \tabularnewline
43 & 21.4 & - & - & - & - & - & - & - \tabularnewline
44 & 23 & - & - & - & - & - & - & - \tabularnewline
45 & 21.3 & - & - & - & - & - & - & - \tabularnewline
46 & 23.9 & - & - & - & - & - & - & - \tabularnewline
47 & 22.4 & - & - & - & - & - & - & - \tabularnewline
48 & 18.3 & - & - & - & - & - & - & - \tabularnewline
49 & 22.8 & 23.4443 & 21.2407 & 26.19 & 0.3228 & 0.9999 & 0.9954 & 0.9999 \tabularnewline
50 & 22.3 & 24.6734 & 22.2404 & 27.742 & 0.0648 & 0.8843 & 0.9429 & 1 \tabularnewline
51 & 17.8 & 22.9204 & 20.7161 & 25.6827 & 1e-04 & 0.6701 & 0.9424 & 0.9995 \tabularnewline
52 & 16.4 & 21.0993 & 19.0139 & 23.731 & 2e-04 & 0.993 & 0.9914 & 0.9815 \tabularnewline
53 & 16 & 22.4476 & 20.0625 & 25.5178 & 0 & 0.9999 & 0.8384 & 0.9959 \tabularnewline
54 & 16.4 & 23.1543 & 20.5111 & 26.6313 & 1e-04 & 1 & 0.8647 & 0.9969 \tabularnewline
55 & 17.7 & 25.2815 & 21.9984 & 29.796 & 5e-04 & 0.9999 & 0.954 & 0.9988 \tabularnewline
56 & 16.6 & 25.3863 & 22.0098 & 30.0716 & 1e-04 & 0.9993 & 0.8409 & 0.9985 \tabularnewline
57 & 16.2 & 23.8466 & 20.7658 & 28.0748 & 2e-04 & 0.9996 & 0.8811 & 0.9949 \tabularnewline
58 & 18.3 & 26.9553 & 22.9345 & 32.8109 & 0.0019 & 0.9998 & 0.8468 & 0.9981 \tabularnewline
59 & 17.6 & 23.6985 & 20.4967 & 28.1689 & 0.0037 & 0.991 & 0.7154 & 0.991 \tabularnewline
60 & 15.1 & 19.6777 & 17.404 & 22.68 & 0.0014 & 0.9125 & 0.8158 & 0.8158 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=68596&T=1

[TABLE]
[ROW][C]Univariate ARIMA Extrapolation Forecast[/C][/ROW]
[ROW][C]time[/C][C]Y[t][/C][C]F[t][/C][C]95% LB[/C][C]95% UB[/C][C]p-value(H0: Y[t] = F[t])[/C][C]P(F[t]>Y[t-1])[/C][C]P(F[t]>Y[t-s])[/C][C]P(F[t]>Y[48])[/C][/ROW]
[ROW][C]36[/C][C]17.7[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]37[/C][C]19.8[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]38[/C][C]22.2[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]39[/C][C]20.7[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]40[/C][C]17.9[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]41[/C][C]20.9[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]42[/C][C]21.2[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]43[/C][C]21.4[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]44[/C][C]23[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]45[/C][C]21.3[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]46[/C][C]23.9[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]47[/C][C]22.4[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]48[/C][C]18.3[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][C]-[/C][/ROW]
[ROW][C]49[/C][C]22.8[/C][C]23.4443[/C][C]21.2407[/C][C]26.19[/C][C]0.3228[/C][C]0.9999[/C][C]0.9954[/C][C]0.9999[/C][/ROW]
[ROW][C]50[/C][C]22.3[/C][C]24.6734[/C][C]22.2404[/C][C]27.742[/C][C]0.0648[/C][C]0.8843[/C][C]0.9429[/C][C]1[/C][/ROW]
[ROW][C]51[/C][C]17.8[/C][C]22.9204[/C][C]20.7161[/C][C]25.6827[/C][C]1e-04[/C][C]0.6701[/C][C]0.9424[/C][C]0.9995[/C][/ROW]
[ROW][C]52[/C][C]16.4[/C][C]21.0993[/C][C]19.0139[/C][C]23.731[/C][C]2e-04[/C][C]0.993[/C][C]0.9914[/C][C]0.9815[/C][/ROW]
[ROW][C]53[/C][C]16[/C][C]22.4476[/C][C]20.0625[/C][C]25.5178[/C][C]0[/C][C]0.9999[/C][C]0.8384[/C][C]0.9959[/C][/ROW]
[ROW][C]54[/C][C]16.4[/C][C]23.1543[/C][C]20.5111[/C][C]26.6313[/C][C]1e-04[/C][C]1[/C][C]0.8647[/C][C]0.9969[/C][/ROW]
[ROW][C]55[/C][C]17.7[/C][C]25.2815[/C][C]21.9984[/C][C]29.796[/C][C]5e-04[/C][C]0.9999[/C][C]0.954[/C][C]0.9988[/C][/ROW]
[ROW][C]56[/C][C]16.6[/C][C]25.3863[/C][C]22.0098[/C][C]30.0716[/C][C]1e-04[/C][C]0.9993[/C][C]0.8409[/C][C]0.9985[/C][/ROW]
[ROW][C]57[/C][C]16.2[/C][C]23.8466[/C][C]20.7658[/C][C]28.0748[/C][C]2e-04[/C][C]0.9996[/C][C]0.8811[/C][C]0.9949[/C][/ROW]
[ROW][C]58[/C][C]18.3[/C][C]26.9553[/C][C]22.9345[/C][C]32.8109[/C][C]0.0019[/C][C]0.9998[/C][C]0.8468[/C][C]0.9981[/C][/ROW]
[ROW][C]59[/C][C]17.6[/C][C]23.6985[/C][C]20.4967[/C][C]28.1689[/C][C]0.0037[/C][C]0.991[/C][C]0.7154[/C][C]0.991[/C][/ROW]
[ROW][C]60[/C][C]15.1[/C][C]19.6777[/C][C]17.404[/C][C]22.68[/C][C]0.0014[/C][C]0.9125[/C][C]0.8158[/C][C]0.8158[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=68596&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=68596&T=1

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Univariate ARIMA Extrapolation Forecast
timeY[t]F[t]95% LB95% UBp-value(H0: Y[t] = F[t])P(F[t]>Y[t-1])P(F[t]>Y[t-s])P(F[t]>Y[48])
3617.7-------
3719.8-------
3822.2-------
3920.7-------
4017.9-------
4120.9-------
4221.2-------
4321.4-------
4423-------
4521.3-------
4623.9-------
4722.4-------
4818.3-------
4922.823.444321.240726.190.32280.99990.99540.9999
5022.324.673422.240427.7420.06480.88430.94291
5117.822.920420.716125.68271e-040.67010.94240.9995
5216.421.099319.013923.7312e-040.9930.99140.9815
531622.447620.062525.517800.99990.83840.9959
5416.423.154320.511126.63131e-0410.86470.9969
5517.725.281521.998429.7965e-040.99990.9540.9988
5616.625.386322.009830.07161e-040.99930.84090.9985
5716.223.846620.765828.07482e-040.99960.88110.9949
5818.326.955322.934532.81090.00190.99980.84680.9981
5917.623.698520.496728.16890.00370.9910.71540.991
6015.119.677717.40422.680.00140.91250.81580.8158






Univariate ARIMA Extrapolation Forecast Performance
time% S.E.PEMAPESq.EMSERMSE
490.0598-0.02750.00230.41510.03460.186
500.0635-0.09620.0085.63320.46940.6851
510.0615-0.22340.018626.21892.18491.4781
520.0636-0.22270.018622.08341.84031.3566
530.0698-0.28720.023941.57133.46431.8613
540.0766-0.29170.024345.62123.80181.9498
550.0911-0.29990.02557.47924.78992.1886
560.0942-0.34610.028877.19866.43322.5364
570.0905-0.32070.026758.47054.87252.2074
580.1108-0.32110.026874.91466.24292.4986
590.0962-0.25730.021437.19183.09931.7605
600.0778-0.23260.019420.95521.74631.3215

\begin{tabular}{lllllllll}
\hline
Univariate ARIMA Extrapolation Forecast Performance \tabularnewline
time & % S.E. & PE & MAPE & Sq.E & MSE & RMSE \tabularnewline
49 & 0.0598 & -0.0275 & 0.0023 & 0.4151 & 0.0346 & 0.186 \tabularnewline
50 & 0.0635 & -0.0962 & 0.008 & 5.6332 & 0.4694 & 0.6851 \tabularnewline
51 & 0.0615 & -0.2234 & 0.0186 & 26.2189 & 2.1849 & 1.4781 \tabularnewline
52 & 0.0636 & -0.2227 & 0.0186 & 22.0834 & 1.8403 & 1.3566 \tabularnewline
53 & 0.0698 & -0.2872 & 0.0239 & 41.5713 & 3.4643 & 1.8613 \tabularnewline
54 & 0.0766 & -0.2917 & 0.0243 & 45.6212 & 3.8018 & 1.9498 \tabularnewline
55 & 0.0911 & -0.2999 & 0.025 & 57.4792 & 4.7899 & 2.1886 \tabularnewline
56 & 0.0942 & -0.3461 & 0.0288 & 77.1986 & 6.4332 & 2.5364 \tabularnewline
57 & 0.0905 & -0.3207 & 0.0267 & 58.4705 & 4.8725 & 2.2074 \tabularnewline
58 & 0.1108 & -0.3211 & 0.0268 & 74.9146 & 6.2429 & 2.4986 \tabularnewline
59 & 0.0962 & -0.2573 & 0.0214 & 37.1918 & 3.0993 & 1.7605 \tabularnewline
60 & 0.0778 & -0.2326 & 0.0194 & 20.9552 & 1.7463 & 1.3215 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=68596&T=2

[TABLE]
[ROW][C]Univariate ARIMA Extrapolation Forecast Performance[/C][/ROW]
[ROW][C]time[/C][C]% S.E.[/C][C]PE[/C][C]MAPE[/C][C]Sq.E[/C][C]MSE[/C][C]RMSE[/C][/ROW]
[ROW][C]49[/C][C]0.0598[/C][C]-0.0275[/C][C]0.0023[/C][C]0.4151[/C][C]0.0346[/C][C]0.186[/C][/ROW]
[ROW][C]50[/C][C]0.0635[/C][C]-0.0962[/C][C]0.008[/C][C]5.6332[/C][C]0.4694[/C][C]0.6851[/C][/ROW]
[ROW][C]51[/C][C]0.0615[/C][C]-0.2234[/C][C]0.0186[/C][C]26.2189[/C][C]2.1849[/C][C]1.4781[/C][/ROW]
[ROW][C]52[/C][C]0.0636[/C][C]-0.2227[/C][C]0.0186[/C][C]22.0834[/C][C]1.8403[/C][C]1.3566[/C][/ROW]
[ROW][C]53[/C][C]0.0698[/C][C]-0.2872[/C][C]0.0239[/C][C]41.5713[/C][C]3.4643[/C][C]1.8613[/C][/ROW]
[ROW][C]54[/C][C]0.0766[/C][C]-0.2917[/C][C]0.0243[/C][C]45.6212[/C][C]3.8018[/C][C]1.9498[/C][/ROW]
[ROW][C]55[/C][C]0.0911[/C][C]-0.2999[/C][C]0.025[/C][C]57.4792[/C][C]4.7899[/C][C]2.1886[/C][/ROW]
[ROW][C]56[/C][C]0.0942[/C][C]-0.3461[/C][C]0.0288[/C][C]77.1986[/C][C]6.4332[/C][C]2.5364[/C][/ROW]
[ROW][C]57[/C][C]0.0905[/C][C]-0.3207[/C][C]0.0267[/C][C]58.4705[/C][C]4.8725[/C][C]2.2074[/C][/ROW]
[ROW][C]58[/C][C]0.1108[/C][C]-0.3211[/C][C]0.0268[/C][C]74.9146[/C][C]6.2429[/C][C]2.4986[/C][/ROW]
[ROW][C]59[/C][C]0.0962[/C][C]-0.2573[/C][C]0.0214[/C][C]37.1918[/C][C]3.0993[/C][C]1.7605[/C][/ROW]
[ROW][C]60[/C][C]0.0778[/C][C]-0.2326[/C][C]0.0194[/C][C]20.9552[/C][C]1.7463[/C][C]1.3215[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=68596&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=68596&T=2

As an alternative you can also use a QR Code:  
QR Code


The GUIDs for individual cells are displayed in the table below:

Univariate ARIMA Extrapolation Forecast Performance
time% S.E.PEMAPESq.EMSERMSE
490.0598-0.02750.00230.41510.03460.186
500.0635-0.09620.0085.63320.46940.6851
510.0615-0.22340.018626.21892.18491.4781
520.0636-0.22270.018622.08341.84031.3566
530.0698-0.28720.023941.57133.46431.8613
540.0766-0.29170.024345.62123.80181.9498
550.0911-0.29990.02557.47924.78992.1886
560.0942-0.34610.028877.19866.43322.5364
570.0905-0.32070.026758.47054.87252.2074
580.1108-0.32110.026874.91466.24292.4986
590.0962-0.25730.021437.19183.09931.7605
600.0778-0.23260.019420.95521.74631.3215


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
par1 = 12 ; par2 = -1.1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 0 ; par8 = 2 ; par9 = 1 ; par10 = FALSE ;
Parameters (R input):
par1 = 12 ; par2 = -1.1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 0 ; par8 = 2 ; par9 = 1 ; par10 = FALSE ;
R code (references can be found in the software module):
par1 <- as.numeric(par1) #cut off periods
par2 <- as.numeric(par2) #lambda
par3 <- as.numeric(par3) #degree of non-seasonal differencing
par4 <- as.numeric(par4) #degree of seasonal differencing
par5 <- as.numeric(par5) #seasonal period
par6 <- as.numeric(par6) #p
par7 <- as.numeric(par7) #q
par8 <- as.numeric(par8) #P
par9 <- as.numeric(par9) #Q
if (par10 == 'TRUE') par10 <- TRUE
if (par10 == 'FALSE') par10 <- FALSE
if (par2 == 0) x <- log(x)
if (par2 != 0) x <- x^par2
lx <- length(x)
first <- lx - 2*par1
nx <- lx - par1
nx1 <- nx + 1
fx <- lx - nx
if (fx < 1) {
fx <- par5
nx1 <- lx + fx - 1
first <- lx - 2*fx
}
first <- 1
if (fx < 3) fx <- round(lx/10,0)
(arima.out <- arima(x[1:nx], order=c(par6,par3,par7), seasonal=list(order=c(par8,par4,par9), period=par5), include.mean=par10, method='ML'))
(forecast <- predict(arima.out,fx))
(lb <- forecast$pred - 1.96 * forecast$se)
(ub <- forecast$pred + 1.96 * forecast$se)
if (par2 == 0) {
x <- exp(x)
forecast$pred <- exp(forecast$pred)
lb <- exp(lb)
ub <- exp(ub)
}
if (par2 != 0) {
x <- x^(1/par2)
forecast$pred <- forecast$pred^(1/par2)
lb <- lb^(1/par2)
ub <- ub^(1/par2)
}
if (par2 < 0) {
olb <- lb
lb <- ub
ub <- olb
}
(actandfor <- c(x[1:nx], forecast$pred))
(perc.se <- (ub-forecast$pred)/1.96/forecast$pred)
bitmap(file='test1.png')
opar <- par(mar=c(4,4,2,2),las=1)
ylim <- c( min(x[first:nx],lb), max(x[first:nx],ub))
plot(x,ylim=ylim,type='n',xlim=c(first,lx))
usr <- par('usr')
rect(usr[1],usr[3],nx+1,usr[4],border=NA,col='lemonchiffon')
rect(nx1,usr[3],usr[2],usr[4],border=NA,col='lavender')
abline(h= (-3:3)*2 , col ='gray', lty =3)
polygon( c(nx1:lx,lx:nx1), c(lb,rev(ub)), col = 'orange', lty=2,border=NA)
lines(nx1:lx, lb , lty=2)
lines(nx1:lx, ub , lty=2)
lines(x, lwd=2)
lines(nx1:lx, forecast$pred , lwd=2 , col ='white')
box()
par(opar)
dev.off()
prob.dec <- array(NA, dim=fx)
prob.sdec <- array(NA, dim=fx)
prob.ldec <- array(NA, dim=fx)
prob.pval <- array(NA, dim=fx)
perf.pe <- array(0, dim=fx)
perf.mape <- array(0, dim=fx)
perf.se <- array(0, dim=fx)
perf.mse <- array(0, dim=fx)
perf.rmse <- array(0, dim=fx)
for (i in 1:fx) {
locSD <- (ub[i] - forecast$pred[i]) / 1.96
perf.pe[i] = (x[nx+i] - forecast$pred[i]) / forecast$pred[i]
perf.mape[i] = perf.mape[i] + abs(perf.pe[i])
perf.se[i] = (x[nx+i] - forecast$pred[i])^2
perf.mse[i] = perf.mse[i] + perf.se[i]
prob.dec[i] = pnorm((x[nx+i-1] - forecast$pred[i]) / locSD)
prob.sdec[i] = pnorm((x[nx+i-par5] - forecast$pred[i]) / locSD)
prob.ldec[i] = pnorm((x[nx] - forecast$pred[i]) / locSD)
prob.pval[i] = pnorm(abs(x[nx+i] - forecast$pred[i]) / locSD)
}
perf.mape = perf.mape / fx
perf.mse = perf.mse / fx
perf.rmse = sqrt(perf.mse)
bitmap(file='test2.png')
plot(forecast$pred, pch=19, type='b',main='ARIMA Extrapolation Forecast', ylab='Forecast and 95% CI', xlab='time',ylim=c(min(lb),max(ub)))
dum <- forecast$pred
dum[1:12] <- x[(nx+1):lx]
lines(dum, lty=1)
lines(ub,lty=3)
lines(lb,lty=3)
dev.off()
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Univariate ARIMA Extrapolation Forecast',9,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'time',1,header=TRUE)
a<-table.element(a,'Y[t]',1,header=TRUE)
a<-table.element(a,'F[t]',1,header=TRUE)
a<-table.element(a,'95% LB',1,header=TRUE)
a<-table.element(a,'95% UB',1,header=TRUE)
a<-table.element(a,'p-value
(H0: Y[t] = F[t])',1,header=TRUE)
a<-table.element(a,'P(F[t]>Y[t-1])',1,header=TRUE)
a<-table.element(a,'P(F[t]>Y[t-s])',1,header=TRUE)
mylab <- paste('P(F[t]>Y[',nx,sep='')
mylab <- paste(mylab,'])',sep='')
a<-table.element(a,mylab,1,header=TRUE)
a<-table.row.end(a)
for (i in (nx-par5):nx) {
a<-table.row.start(a)
a<-table.element(a,i,header=TRUE)
a<-table.element(a,x[i])
a<-table.element(a,'-')
a<-table.element(a,'-')
a<-table.element(a,'-')
a<-table.element(a,'-')
a<-table.element(a,'-')
a<-table.element(a,'-')
a<-table.element(a,'-')
a<-table.row.end(a)
}
for (i in 1:fx) {
a<-table.row.start(a)
a<-table.element(a,nx+i,header=TRUE)
a<-table.element(a,round(x[nx+i],4))
a<-table.element(a,round(forecast$pred[i],4))
a<-table.element(a,round(lb[i],4))
a<-table.element(a,round(ub[i],4))
a<-table.element(a,round((1-prob.pval[i]),4))
a<-table.element(a,round((1-prob.dec[i]),4))
a<-table.element(a,round((1-prob.sdec[i]),4))
a<-table.element(a,round((1-prob.ldec[i]),4))
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,'Univariate ARIMA Extrapolation Forecast Performance',7,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'time',1,header=TRUE)
a<-table.element(a,'% S.E.',1,header=TRUE)
a<-table.element(a,'PE',1,header=TRUE)
a<-table.element(a,'MAPE',1,header=TRUE)
a<-table.element(a,'Sq.E',1,header=TRUE)
a<-table.element(a,'MSE',1,header=TRUE)
a<-table.element(a,'RMSE',1,header=TRUE)
a<-table.row.end(a)
for (i in 1:fx) {
a<-table.row.start(a)
a<-table.element(a,nx+i,header=TRUE)
a<-table.element(a,round(perc.se[i],4))
a<-table.element(a,round(perf.pe[i],4))
a<-table.element(a,round(perf.mape[i],4))
a<-table.element(a,round(perf.se[i],4))
a<-table.element(a,round(perf.mse[i],4))
a<-table.element(a,round(perf.rmse[i],4))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')