Shw9

*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: Wed, 09 Dec 2009 08:53:17 -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/09/t1260374045j7c5xd7r1u7cmhz.htm/, Retrieved Wed, 09 Dec 2009 16:54:11 +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/09/t1260374045j7c5xd7r1u7cmhz.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 «

0.7461 0.7775 0.7790 0.7744 0.7905 0.7719 0.7811 0.7557 0.7637 0.7595 0.7471 0.7615 0.7487 0.7389 0.7337 0.7510 0.7382 0.7159 0.7542 0.7636 0.7433 0.7658 0.7627 0.7480 0.7692 0.7850 0.7913 0.7720 0.7880 0.8070 0.8268 0.8244 0.8487 0.8572 0.8214 0.8827 0.9216 0.8865 0.8816 0.8884 0.9466 0.9180 0.9337 0.9559 0.9626 0.9434 0.8639 0.7996 0.6680 0.6572 0.6928 0.6438 0.6454 0.6873 0.7265 0.7912 0.8114 0.8281 0.8393

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 4 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Structural Time Series Model t Observed Level Slope Seasonal Stand. Residuals 1 0.7461 0.7461 0 0 0 2 0.7775 0.77588552966435 0.00248699824707085 0.00161447033565104 0.618750517320381 3 0.779 0.777441971105364 0.00234838284451884 0.00155802889463608 -0.0301541419735241 4 0.7744 0.77284834526496 0.00100346893797289 0.00155165473504048 -0.218786311683760 5 0.7905 0.788831108864576 0.00432666675330657 0.00166889113542430 0.463803478791201 6 0.7719 0.770449902061507 -0.00108911895439476 0.00145009793849276 -0.695521853286597 7 0.7811 0.779430711252594 0.00140847943812298 0.00166928874740624 0.306495432974868 8 0.7557 0.754258136760836 -0.00532643543819519 0.00144186323916443 -0.806162779114748 9 0.7637 0.762009699569943 -0.00197400555170535 0.00169030043005738 0.395850547580657 10 0.7595 0.75794341493708 -0.00251377008259858 0.00155658506292036 -0.0632609218882115 11 0.7471 0.745558139433298 -0.00506930764849597 0.00154186056670222 -0.298290731983266 12 0.7615 0.75980486981006 -5.92090109411145e-05 0.00169513018993978 0.583489434363387 13 0.7487 0.764341980734446 0.00109175681835272 -0.0156419807344459 0.160974038159959 14 0.7389 0.738165422876601 -0.00565847624077704 0.000734577123398706 -0.690237273279185 15 0.7337 0.732803592450955 -0.00558139694787426 0.000896407549044965 0.00894276803303716 16 0.751 0.750150397551323 0.000376858375146524 0.000849602448677103 0.690735297915322 17 0.7382 0.737364550104456 -0.00304208807414654 0.000835449895543552 -0.39675690407421 18 0.7159 0.715474316239343 -0.00793700884571833 0.000425683760656951 -0.568267801972448 19 0.7542 0.75266985115413 0.00378341533333957 0.00153014884586939 1.36095496369854 20 0.7636 0.763096088739925 0.00550847451125427 0.000503911260074544 0.200334377177951 21 0.7433 0.742675162217303 -0.00122517632712695 0.000624837782696836 -0.782041889583183 22 0.7658 0.764649974228784 0.00479980422866507 0.00115002577121569 0.699762163944851 23 0.7627 0.76219708299135 0.00291620707060265 0.000502917008650255 -0.218773271919558 24 0.748 0.747263424487018 -0.00171885219015400 0.00073657551298153 -0.538335725945388 25 0.7692 0.772678645232173 0.00522571134906362 -0.00347864523217256 0.882313761775195 26 0.785 0.784506699610825 0.00688835281345153 0.00049330038917517 0.179755082805423 27 0.7913 0.791127271900637 0.00681886162929191 0.000172728099362487 -0.00807049813824836 28 0.772 0.771777523749097 2.43195478266522e-05 0.000222476250903224 -0.787872467840286 29 0.788 0.786836552218738 0.0039262809713465 0.00116344778126180 0.452877667940988 30 0.807 0.807221883848345 0.00819724131223787 -0.000221883848344645 0.495875188494861 31 0.8268 0.82571431490195 0.0108685816338829 0.00108568509805057 0.310206681448403 32 0.8244 0.824106957592099 0.00763144335900089 0.000293042407901490 -0.375945130869039 33 0.8487 0.848422140214929 0.0119603980786351 0.000277859785071127 0.502769422439874 34 0.8572 0.856513286187096 0.0109564237563704 0.000686713812903671 -0.116606089115199 35 0.8214 0.821587886566007 -0.0009494369835858 -0.000187886566006950 -1.38283996096273 36 0.8827 0.881544447278735 0.0148500124874981 0.00115555272126502 1.83502479584584 37 0.9216 0.922838133023247 0.0216506028565576 -0.00123813302324743 0.837243790038453 38 0.8865 0.887559513257391 0.0071961176569999 -0.00105951325739133 -1.59852617972725 39 0.8816 0.881919128470348 0.00386926739285232 -0.000319128470347547 -0.386692495514300 40 0.8884 0.88909726231507 0.00472761964790711 -0.00069726231506996 0.0995574782171932 41 0.9466 0.94565927689411 0.0181689828176635 0.000940723105890126 1.56027693941272 42 0.918 0.920371960717269 0.00690157152643476 -0.00237196071726866 -1.30830420667872 43 0.9337 0.932936243965948 0.00836973975485343 0.00076375603405182 0.170497684733044 44 0.9559 0.956552067427108 0.0123225345743226 -0.00065206742710797 0.45906983555905 45 0.9626 0.963564762213018 0.0109458686324665 -0.00096476221301819 -0.159889713638003 46 0.9434 0.943137313061734 0.00281168721901223 0.000262686938265963 -0.944749038281431 47 0.8639 0.867100060639984 -0.0176328114461369 -0.00320006063998362 -2.37460735984882 48 0.7996 0.80009862361249 -0.0304276091756617 -0.000498623612489193 -1.48610844652289 49 0.668 0.671794007468285 -0.0556509632105046 -0.00379400746828511 -3.05519372172811 50 0.6572 0.656387762610567 -0.0453851731320569 0.000812237389433222 1.14963321012992 51 0.6928 0.690077083944275 -0.0249130877662995 0.00272291605572539 2.38070923924700 52 0.6438 0.645467305163713 -0.0300186687795213 -0.00166730516371247 -0.592277279318708 53 0.6454 0.641793879158155 -0.0231919206823116 0.0036061208418452 0.792502912123001 54 0.6873 0.687254541144807 -0.00540415876478761 4.54588551929221e-05 2.06550810899139 55 0.7265 0.724460219109088 0.00563555073237056 0.00203978089091179 1.28207131466889 56 0.7912 0.789893763395814 0.0211283461425067 0.00130623660418556 1.79932930521796 57 0.8114 0.811517185082049 0.0212566133459178 -0.000117185082048608 0.0148974212061835 58 0.8281 0.825738972239642 0.0194339553594667 0.00236102776035813 -0.211694998477516 59 0.8393 0.84095389170543 0.0183407761174926 -0.00165389170542903 -0.126972340707844

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/1ot7o1260373993.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/1ot7o1260373993.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/2e4yr1260373993.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/2e4yr1260373993.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/3elgk1260373993.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/3elgk1260373993.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/4gavu1260373993.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/4gavu1260373993.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/54o661260373993.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/09/t1260374045j7c5xd7r1u7cmhz/54o661260373993.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')

Copyright

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.

Privacy Policy

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