Blog & Share Statistical Computations at FreeStatistics.org

Home » date » 2009 » Dec » 04 »

*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, 04 Dec 2009 05:08:38 -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/04/t12599285800ey7p4ktaym5bwt.htm/, Retrieved Fri, 04 Dec 2009 13:09:51 +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/2009/Dec/04/t12599285800ey7p4ktaym5bwt.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 «

17 14 15 16 16 15 13 12 13 13 12 10 14 14 15 16 16 15 15 13 15 15 15 13 16 16 14 16 15 14 15 15 14 13 12 13 12 9 10 8 11 8 8 8 4 6 8 10 5 6 5 9 8 6 9 11 11 8 11 11 13

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Structural Time Series Model
t	Observed	Level	Slope	Seasonal	Stand. Residuals
1	17	17	0	0	0
2	14	15.0330593463373	-0.144548055205191	-0.144548055091753	-1.39601525305627
3	15	15.0366808303117	-0.138307627077558	-0.138307627077558	0.137928287429375
4	16	15.5961311402861	-0.119417418645176	-0.119417418645176	0.688758691943332
5	16	15.8357560627452	-0.112118441539720	-0.112118441539720	0.360365262724881
6	15	15.3827831630744	-0.118005192720895	-0.118005192720895	-0.344067796622985
7	13	14.0691240284864	-0.136918270649693	-0.136918270649693	-1.20961451838913
8	12	12.9325956774681	-0.15197898024712	-0.15197898024712	-1.01224113206571
9	13	12.9873708409666	-0.148955645344341	-0.148955645344341	0.209458126868009
10	13	13.0113044090183	-0.146480521280286	-0.146480521280286	0.175189117610645
11	12	12.4648892919948	-0.152108572521464	-0.152108572521464	-0.405306986957112
12	10	11.1098001374771	-0.168780627979749	-0.168780627979750	-1.21924732374979
13	14	11.3756416220192	-0.205251239413527	2.25776363376831	0.567694259254424
14	14	13.0383969104541	-0.142189019082738	-0.142189019980194	1.56498830053981
15	15	14.1774554729902	-0.117448303603044	-0.117448303603045	1.24240554910863
16	16	15.2141406993944	-0.102989882207872	-0.102989882207872	1.15631406542678
17	16	15.6652041148266	-0.0977286659580146	-0.0977286659580147	0.560046448290538
18	15	15.3053892072666	-0.0998613408926226	-0.0998613408926226	-0.265683953191292
19	15	15.1465975156957	-0.100304137481318	-0.100304137481318	-0.0598034462106509
20	13	13.9611778528158	-0.108131168628344	-0.108131168628344	-1.10167800158178
21	15	14.5528627435966	-0.103194633832754	-0.103194633832754	0.710635470163316
22	15	14.8140578757829	-0.100659380517216	-0.100659380517216	0.370057237879655
23	15	14.9293247976099	-0.0991719079499465	-0.0991719079499464	0.219295115615948
24	13	13.8649999670494	-0.105766415333544	-0.105766415333544	-0.980238835697362
25	16	14.2365783282754	-0.124899410421064	1.37389351418851	0.553914904181705
26	16	15.3084776697695	-0.0984727622146713	-0.0984727623395994	1.07834052927469
27	14	14.5807013950321	-0.106359536487027	-0.106359536487027	-0.620875895544766
28	16	15.3883504798348	-0.0989144933689914	-0.0989144933689909	0.920793180730677
29	15	15.1830244920161	-0.0995734487915743	-0.0995734487915745	-0.107816674866238
30	14	14.5343662583743	-0.102495413321234	-0.102495413321234	-0.557372502113621
31	15	14.8060330623435	-0.100652015435196	-0.100652015435196	0.380073973590501
32	15	14.9258924724297	-0.0996064964441538	-0.099606496444154	0.224059292236240
33	14	14.4209063444220	-0.101490727025675	-0.101490727025675	-0.411952916642729
34	13	13.6400034895741	-0.104612889819452	-0.104612889819453	-0.690468204408783
35	12	12.7372428223082	-0.108252973234636	-0.108252973234636	-0.811158944943769
36	13	12.8963431083871	-0.107040811397382	-0.107040811397382	0.271715847118304
37	12	11.8514325660342	-0.0823473540310837	0.905820894809686	-1.04350229454497
38	9	10.1980073566812	-0.108122373080189	-0.108122372716817	-1.46319107171368
39	10	10.1001729521356	-0.108026935179564	-0.108026935179563	0.0102335043072029
40	8	8.93777017747933	-0.114389693068281	-0.114389693068280	-1.06500713937670
41	11	10.1028784046752	-0.108511302608257	-0.108511302608257	1.29787006018571
42	8	8.9417652538594	-0.112672742069584	-0.112672742069583	-1.06918731527649
43	8	8.42929940350655	-0.114137928063877	-0.114137928063877	-0.406301479613735
44	8	8.2029902745396	-0.114534033766936	-0.114534033766936	-0.114021241683403
45	4	5.87107349387417	-0.122219295461473	-0.122219295461473	-2.2541589831711
46	6	5.95718333309146	-0.121504590659857	-0.121504590659857	0.211793093529790
47	8	7.11111232857776	-0.117157057188541	-0.117157057188541	1.29666645327670
48	10	8.73662323004881	-0.111244918378391	-0.111244918378392	1.77169793326062
49	5	6.22346939730925	-0.0641599428613071	0.705759371332797	-2.61528642839447
50	6	6.10420289893826	-0.0648791670129732	-0.0648791668404713	-0.0523032537481351
51	5	5.49078970019951	-0.068918363081794	-0.0689183630817937	-0.54823484984933
52	9	7.4618682697087	-0.0591414082220524	-0.0591414082220509	2.06375593968118
53	8	7.76930974647398	-0.0578027201474461	-0.057802720147446	0.372095809486748
54	6	6.78840994928271	-0.0607058403524902	-0.0607058403524898	-0.938003378715683
55	9	8.02977458718216	-0.0569069382366746	-0.0569069382366744	1.32363668466822
56	11	9.69399359139506	-0.0520649575285591	-0.0520649575285597	1.74992448499083
57	11	10.4288715210590	-0.0498905100301642	-0.0498905100301641	0.800167762386354
58	8	9.07921757702635	-0.0534478988365732	-0.0534478988365732	-1.32164912009629
59	11	10.1573243834821	-0.050368608791682	-0.0503686087916823	1.15062567861942
60	11	10.6334311280640	-0.0489417030731311	-0.0489417030731312	0.535352692433209
61	13	11.5361672855467	-0.0638014684217934	0.701816151466403	1.02265693568257

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/1t07p1259928514.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/1t07p1259928514.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/2lj9r1259928514.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/2lj9r1259928514.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/33q6n1259928514.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/33q6n1259928514.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/435031259928514.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/435031259928514.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/5ukjq1259928514.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599285800ey7p4ktaym5bwt/5ukjq1259928514.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