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ws9

*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 06:22:06 -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/t1259932996nu0sigrk436rk1m.htm/, Retrieved Fri, 04 Dec 2009 14:23:23 +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/t1259932996nu0sigrk436rk1m.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 «

5594 5585 5710 5511 5403 5826 5884 5965 5960 6064 6046 5954 5952 5960 5983 5996 6021 6094 6202 6276 6306 6342 6345 6328 6191 6261 6253 6198 6247 6293 6381 6448 6470 6516 6532 6526 6533 6498 6507 6464 6453 6468 6497 6808 6793 6907 6792 6757 6734 6654 6589 6469 6521 6448 6410 6528 6445 6458 6215 6167

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	'Gwilym Jenkins' @ 72.249.127.135

Structural Time Series Model
t	Observed	Level	Slope	Seasonal	Stand. Residuals
1	5594	5594	0	0	0
2	5585	5585.49267698426	-0.465753823415763	-0.492676984255414	-0.0537199697662753
3	5710	5707.59629447591	0.20554233735301	2.40370552408965	1.28964252188643
4	5511	5515.60454454272	-0.535805249445372	-4.60454454272467	-2.02202742407307
5	5403	5404.783537737	-0.985150683927748	-1.78353773699529	-1.16024585017360
6	5826	5817.44383922064	0.699299487030611	8.55616077935692	4.35168984027478
7	5884	5884.29817441451	0.967538038309447	-0.298174414510328	0.695967805368592
8	5965	5962.75541720413	1.28045829966742	2.24458279587297	0.815204911765328
9	5960	5959.27488024367	1.26130967706468	0.725119756329473	-0.0500860864667244
10	6064	6060.56615364512	1.66201651605400	3.43384635488151	1.05231571753898
11	6046	6045.2859663154	1.59441906893514	0.714033684595423	-0.178230683152004
12	5954	5954.28874460505	1.22645718464851	-0.288744605053132	-0.974049435437869
13	5952	5961.23622504907	0.986194715512836	-9.2362250490698	0.072383046271056
14	5960	5962.63914709725	0.9960390732434	-2.63914709724886	0.00374972867586038
15	5983	5976.48673292223	1.04430184617196	6.51326707776588	0.135025993182668
16	5996	5994.44074367092	1.07332097560526	1.55925632907915	0.177714473876296
17	6021	6026.55317114321	1.13311776747348	-5.55317114321482	0.326200354141215
18	6094	6084.0996647775	1.24395218827396	9.9003352224952	0.592866472567908
19	6202	6199.9652433678	1.46861684092947	2.03475663219371	1.20459447496761
20	6276	6271.74731564481	1.60611697343156	4.25268435518478	0.738944706054103
21	6306	6306.39034683838	1.67058042811459	-0.390346838375145	0.347193814450709
22	6342	6338.082883181	1.72923492677536	3.9171168189974	0.315510013757201
23	6345	6342.71889485296	1.73519366445137	2.28110514704067	0.0305514167643221
24	6328	6328.63342302243	1.71369943878817	-0.633423022430824	-0.166196050529395
25	6191	6230.44176699557	3.59369480458091	-39.4417669955685	-1.14783473088277
26	6261	6260.53366904389	3.98062497438607	0.466330956110044	0.254986689834194
27	6253	6244.57766351016	3.91107323599912	8.42233648983997	-0.209267911254642
28	6198	6196.11687911649	3.84962166890596	1.88312088350807	-0.550264578482982
29	6247	6247.53782625779	3.91135978448179	-0.537826257793444	0.499796953269810
30	6293	6282.59939307338	3.95406904306201	10.4006069266182	0.327271254796888
31	6381	6374.75084200278	4.07518182543971	6.24915799722021	0.926622703581974
32	6448	6440.44733385567	4.15956548742650	7.55266614432524	0.64740753922439
33	6470	6468.66706946473	4.19244958617888	1.33293053527424	0.25278118282265
34	6516	6508.63570832126	4.2421756108155	7.36429167873749	0.375880638291721
35	6532	6527.24637109663	4.26399606093862	4.7536289033730	0.150986058536011
36	6526	6522.2837022154	4.26095123738298	3.71629778459344	-0.096883414367614
37	6533	6572.70053961493	3.72635669464867	-39.7005396149298	0.512308066485386
38	6498	6501.30752992904	2.95752963466136	-3.30752992903744	-0.744530542525842
39	6507	6496.31060578667	2.93028665593125	10.6893942133312	-0.0834179412674633
40	6464	6466.22985319075	2.89694415335629	-2.22985319074863	-0.346814813038366
41	6453	6455.04799083796	2.88286459612969	-2.04799083795864	-0.147897197461411
42	6468	6461.30592465191	2.88657030820552	6.69407534808749	0.0354545813052317
43	6497	6492.71889964202	2.91827204677625	4.28110035798338	0.299665872298256
44	6808	6786.5145357888	3.24036662172874	21.4854642112057	3.05562332299539
45	6793	6798.26041555772	3.24978847173702	-5.26041555771793	0.0893492048566338
46	6907	6896.63625538307	3.35983211463438	10.3637446169312	0.99933593844963
47	6792	6794.94137495007	3.22857920938627	-2.94137495006802	-1.10381319909111
48	6757	6756.94392821925	3.23911156609529	0.05607178075444	-0.43286267391238
49	6734	6764.61414884245	3.20376185130339	-30.614148842451	0.0483050690153466
50	6654	6662.82892910669	2.40088842459201	-8.82892910668605	-1.05808427627804
51	6589	6581.28344098047	2.11800313368446	7.7165590195332	-0.879588106515234
52	6469	6476.26061029273	2.01146917010183	-7.26061029273046	-1.12560133546848
53	6521	6518.34376090275	2.04492571364767	2.65623909725515	0.420925640267405
54	6448	6445.21690180501	1.9743201978064	2.78309819499167	-0.78961198318977
55	6410	6421.84061407822	1.94981055578984	-11.8406140782181	-0.266285246180862
56	6528	6501.97851396721	2.02524000394423	26.0214860327853	0.821294854334814
57	6445	6461.63030801242	1.984043332134	-16.6303080124156	-0.445097906525562
58	6458	6444.84848638602	1.96448351554214	13.1515136139800	-0.197135550775057
59	6215	6230.69974682862	1.73700106415493	-15.6997468286192	-2.27049373982922
60	6167	6168.16061800634	1.77627109626637	-1.16061800633696	-0.674976602552073

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/1g6oi1259932923.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/1g6oi1259932923.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/2j0bv1259932923.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/2j0bv1259932923.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/3844d1259932923.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/3844d1259932923.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/46nnx1259932923.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/46nnx1259932923.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/56to61259932923.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259932996nu0sigrk436rk1m/56to61259932923.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

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