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workshop 9 - review link 3

*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, 11 Dec 2009 05:10:52 -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/11/t1260533524e55pxnlogqf9coh.htm/, Retrieved Fri, 11 Dec 2009 13:12:15 +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/11/t1260533524e55pxnlogqf9coh.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 «

5.4 5.4 5.6 5.7 5.8 5.8 5.8 5.9 6.1 6.4 6.4 6.3 6.2 6.2 6.3 6.4 6.5 6.6 6.6 6.6 6.8 7 7.2 7.3 7.5 7.6 7.6 7.7 7.7 7.7 7.7 7.6 7.7 7.9 7.9 7.9 7.8 7.6 7.4 7 7 7.2 7.5 7.8 7.8 7.7 7.6 7.6 7.5 7.5 7.6 7.6 7.9 7.6 7.5 7.5 7.6 7.7 7.8 7.9 7.9

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	5.4	5.4	0	0	0
2	5.4	5.4	0	0	0
3	5.6	5.59492906224467	0.186778243748734	0.00221427715431012	1.42458337469500
4	5.7	5.70252607853967	0.111016827213531	-0.00139554471429272	-0.570862247186259
5	5.8	5.80008927511991	0.0981409066347055	0.000102955835649726	-0.0970457396502012
6	5.8	5.80235207494681	0.00637655182629163	-0.000982115106944923	-0.69161815226378
7	5.8	5.79992580436382	-0.0020485221601655	0.000199974492124871	-0.0634988920090417
8	5.9	5.89743696070077	0.0932387481502883	0.00114048519531547	0.7181700750304
9	6.1	6.09755551667313	0.195532040049441	0.000917335558287218	0.770973718620297
10	6.4	6.39763481100681	0.295592877760667	0.000871369777945345	0.754147947587207
11	6.4	6.40747016793218	0.0220980170669061	-0.00338713317532346	-2.06130182982399
12	6.3	6.30237985010868	-0.099632308005343	-0.000562524741128899	-0.917468581237651
13	6.2	6.19902993875199	-0.103182513573111	0.00102306265612186	-0.0270898119053488
14	6.2	6.20013575468071	-0.00702524368577775	-0.00150880414386178	0.723733395498135
15	6.3	6.29335051725193	0.0879427323860012	0.00526691770730597	0.713000940592935
16	6.4	6.40165290372803	0.107185462175953	-0.00193407170385801	0.144935730386198
17	6.5	6.49884986214798	0.0977396072453852	0.00128834281056557	-0.0711934804822539
18	6.6	6.5996970274486	0.100678456729547	0.000259974724853204	0.0221497777472345
19	6.6	6.60338484512448	0.00895520589438013	-0.00204285472685143	-0.691308465887857
20	6.6	6.59881426253884	-0.00383599856638569	0.00137288381643899	-0.0964059544292592
21	6.8	6.79609425770665	0.186357444232509	0.00112304813995894	1.43346786040070
22	7	6.99611219313887	0.199276059584364	0.00369879637410487	0.09736623693722
23	7.2	7.20123040203931	0.204801056751968	-0.00131123751204656	0.0416413826691433
24	7.3	7.30297255889833	0.107350482078810	-0.00154679298410702	-0.734488431525079
25	7.5	7.49742654516942	0.189629100090806	0.00136866908338301	0.625796016197485
26	7.6	7.60703199949395	0.116016038872831	-0.00598900387268696	-0.553974498406099
27	7.6	7.60014948336185	0.000630647335701798	0.00151138029593659	-0.867864757490339
28	7.7	7.697293118246	0.0910610194924145	0.00140463339607679	0.680954470032129
29	7.7	7.70464141272945	0.0125802444187983	-0.00350924567481978	-0.591513393392292
30	7.7	7.69826377207266	-0.00519432183834172	0.00199263523332874	-0.133964660063898
31	7.7	7.69842050660236	-0.000177414621978083	0.00150712154214752	0.037811903148499
32	7.6	7.6079138855999	-0.0848654138004662	-0.00669221133973031	-0.638284477413956
33	7.7	7.69233302868732	0.0738470560132779	0.00537745036201355	1.19619912826708
34	7.9	7.89430433410102	0.193970989304979	0.00396280759871149	0.905361423552947
35	7.9	7.90518505650615	0.0223077825633996	-0.00270871075913092	-1.29381480943853
36	7.9	7.90538476002576	0.00158615846250746	-0.00508585652124643	-0.156192584076223
37	7.8	7.80163330806544	-0.0971475180939086	-0.000206986290705274	-0.748851785082806
38	7.6	7.60293755832055	-0.190476204578409	-0.00162045759966602	-0.702411224447467
39	7.4	7.40363111443934	-0.198714039820923	-0.00351341290785465	-0.062039334267044
40	7	7.00404497532107	-0.385837040293015	-0.00137521949952675	-1.40884139874126
41	7	6.98630874439361	-0.0427767195160832	0.0087870800554346	2.58566111656610
42	7.2	7.19129158744361	0.188163429262786	0.00540711354479786	1.74056265310308
43	7.5	7.48853574444534	0.289835947444405	0.0100108306524826	0.766295107050017
44	7.8	7.80985414041975	0.319179828001152	-0.0102736158529113	0.221161713028408
45	7.8	7.81647675151408	0.0278539810744289	-0.0123122017393184	-2.19569223430684
46	7.7	7.69431319402758	-0.111976366329345	0.00768570205743901	-1.05388731292599
47	7.6	7.60183556242515	-0.0938014117586268	-0.00209537713186450	0.136983655418038
48	7.6	7.59872646065476	-0.00930513963389062	6.57712675868477e-05	0.636988803157634
49	7.5	7.50101968344662	-0.0917198423608942	0.000160284299135285	-0.623779211866528
50	7.5	7.5022558913517	-0.00631540265347379	-0.00345880529299559	0.642892908591166
51	7.6	7.58286193807387	0.0744182522217325	0.0159900833287319	0.608485940145603
52	7.6	7.61388978368848	0.0341521149609615	-0.0133185409214909	-0.303144393414934
53	7.9	7.88781710451507	0.256725468936608	0.0090192529231363	1.67752712011016
54	7.6	7.62245678993505	-0.228009411016664	-0.0155666882137413	-3.65337255024858
55	7.5	7.4922631519282	-0.137193784208280	0.0064459696577424	0.684467621822883
56	7.5	7.49330159412482	-0.00885709677260038	0.00487419117958781	0.96725999751738
57	7.6	7.60037912811503	0.0987785429623711	-0.00190909233294563	0.81123846432232
58	7.7	7.6923737559083	0.0924800394378096	0.0077157727802329	-0.0474712782275398
59	7.8	7.80706340727148	0.113100172953108	-0.00735650833255159	0.155412221241903
60	7.9	7.89542768843735	0.0901464748783864	0.00489855096200324	-0.173063731784843
61	7.9	7.90713747032916	0.0172968737823766	-0.00610054118703283	-0.550585766746228

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/1gucg1260533448.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/1gucg1260533448.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/2m1e31260533448.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/2m1e31260533448.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/36y421260533448.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/36y421260533448.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/4ykgv1260533448.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/4ykgv1260533448.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/5dy5t1260533448.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/11/t1260533524e55pxnlogqf9coh/5dy5t1260533448.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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