tijdreeksanalyse techniek

*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, 16 Dec 2009 15:58:04 -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/16/t1261004325bg7j88951y70ucn.htm/, Retrieved Wed, 16 Dec 2009 23:58:52 +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/16/t1261004325bg7j88951y70ucn.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 «

441 449 452 462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412 406 398 397 385 390 413 413 401 397 397 409 419 424 428 430 424 433 456

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 1 441 441 0 0 0 2 449 446.717435759553 0.631581524911323 2.28256424044715 1.28552032556163 3 452 450.936884892431 1.33091070452850 1.06311510756910 0.824786520304844 4 462 458.505941824605 3.01370916188749 3.49405817539502 1.50557134359278 5 455 457.975868336966 1.94881762276254 -2.97586833696630 -0.81004119533735 6 461 459.82565306101 1.91822346769152 1.17434693898988 -0.0221539072289018 7 461 460.948676253741 1.67009184831381 0.0513237462585317 -0.177745130952903 8 463 462.453510808999 1.61824530133702 0.546489191001202 -0.0370003039746671 9 462 462.415810484681 1.09724761496450 -0.415810484680734 -0.371061836623348 10 456 458.169627823973 -0.586042051209288 -2.16962782397310 -1.19766015233759 11 455 454.911979830581 -1.42807379879260 0.08802016941942 -0.598838964653821 12 456 454.435710342627 -1.12802594370617 1.56428965737335 0.213349828096414 13 472 466.539660706758 2.93352446978861 5.46033929324174 3.11429893793395 14 472 472.333068053376 3.82385843771013 -0.333068053376204 0.628754787199817 15 471 474.169131701006 3.22512895415968 -3.16913170100553 -0.412671118049369 16 465 466.919213629184 0.0627718867572136 -1.91921362918414 -2.27857602087526 17 459 463.263401582976 -1.0786267453378 -4.26340158297648 -0.818878003304833 18 465 463.129791559248 -0.787445581474338 1.87020844075155 0.206052834730637 19 468 466.304765660056 0.430845874567361 1.69523433994399 0.86115228510595 20 467 466.637782201343 0.400795744756589 0.362217798656637 -0.0213084368819316 21 463 463.394913169496 -0.719041809530875 -0.394913169496333 -0.795544108216442 22 460 461.335589320017 -1.13112980288854 -1.3355893200174 -0.292904831502631 23 462 462.129618898161 -0.539906978781503 -0.129618898161461 0.420399731696298 24 461 464.07688940452 0.221848233047964 -3.07688940451952 0.544163749366548 25 476 468.857210326748 1.61929018550552 7.14278967325168 1.01147744044862 26 476 473.18582661213 2.45118923262705 2.81417338787011 0.591285847403206 27 471 471.876183737531 1.31016887344743 -0.876183737530739 -0.800951432985165 28 453 460.632410596199 -2.48167323101260 -7.63241059619914 -2.70295580901936 29 443 450.948822191343 -4.67146759276806 -7.94882219134259 -1.56976564679461 30 442 442.967884869600 -5.68241377072582 -0.967884869600482 -0.719630490243377 31 444 439.803510622913 -4.91347897782104 4.19648937708678 0.544874210730797 32 438 435.662199316235 -4.67800505447973 2.33780068376455 0.166906082822629 33 427 428.472075448504 -5.44363399106179 -1.47207544850351 -0.543462662979813 34 424 424.951713074043 -4.85774232093182 -0.951713074042544 0.416330734078912 35 416 419.049180447393 -5.17571485051265 -3.0491804473932 -0.226352148221674 36 406 412.503573448653 -5.59254499872304 -6.50357344865279 -0.297884665194414 37 431 417.872063340163 -2.25051121001178 13.1279366598366 2.39238507208644 38 434 424.518620347288 0.461981402788573 9.48137965271222 1.9259584805049 39 418 418.11510287987 -1.61935056808329 -0.115102879869952 -1.47023268191707 40 412 415.735838393516 -1.84891811475748 -3.73583839351554 -0.163236195857756 41 404 412.07493888407 -2.39769754880453 -8.07493888406992 -0.39230715566145 42 409 410.470923110357 -2.15649409584885 -1.47092311035693 0.172011285661586 43 412 408.078071021332 -2.22836910839461 3.92192897866832 -0.0510428035110751 44 406 403.726207326486 -2.87334762218838 2.27379267351351 -0.457333811828727 45 398 399.915115239961 -3.15780732874464 -1.91511523996091 -0.201822993927957 46 397 396.874468319764 -3.12230059034739 0.125531680236280 0.0252309015864529 47 385 390.621027444770 -4.07085662535123 -5.62102744476956 -0.675619399800132 48 390 395.961886412081 -1.21733590356288 -5.96188641208143 2.03717677607598 49 413 400.725126501638 0.598757767332859 12.2748734983619 1.29548487253752 50 413 401.322779060104 0.598422292420102 11.6772209398959 -0.000238153334255017 51 401 401.135821009633 0.360808326592136 -0.135821009632864 -0.168266825261693 52 397 400.63428833041 0.100534720478469 -3.63428833041016 -0.184976658984728 53 397 403.628541374877 0.974820632600847 -6.62854137487691 0.623836780206533 54 409 408.294260091342 2.09257715934282 0.705739908657495 0.797157992682264 55 419 412.873588449291 2.84632530430536 6.1264115507089 0.535899269762868 56 424 419.184520747697 3.89555508416566 4.81547925230328 0.744415252872673 57 428 427.341475763359 5.18422601341692 0.658524236640769 0.9143116661655 58 430 431.044007844971 4.73662141662065 -1.04400784497089 -0.318086943579514 59 424 434.710742571535 4.41344429115632 -10.7107425715351 -0.230184651250061 60 433 440.468645878498 4.81997613508171 -7.46864587849756 0.289950225207285 61 456 444.239996147269 4.50252966840195 11.7600038527313 -0.226120888575190

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/1iv0z1261004281.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/1iv0z1261004281.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/257gz1261004281.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/257gz1261004281.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/3w62o1261004281.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/3w62o1261004281.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/4y3t81261004281.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/4y3t81261004281.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/5zefx1261004281.png (open in new window) http://www.freestatistics.org/blog/date/2009/Dec/16/t1261004325bg7j88951y70ucn/5zefx1261004281.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 2 ; par3 = 1 ; par4 = 12 ;

Parameters (R input):

par1 = 12 ; par2 = 2 ; par3 = 1 ; par4 = 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