voorspellen datareeks-financiële situatie Belgische gezinnen-Robin Sluyts

*Unverified author*

R Software Module: rwasp_exponentialsmoothing.wasp (opens new window with default values)

Title produced by software: Exponential Smoothing

Date of computation: Thu, 04 Jun 2009 06:59:01 -0600

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o.htm/, Retrieved Thu, 04 Jun 2009 15:00:30 +0200

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/Jun/04/t1244120430fuv5238oylxr45o.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:

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1 -1 3 4 3 2 1 4 3 5 6 6 6 6 6 5 6 5 6 5 7 4 5 6 6 5 3 2 3 3 2 0 4 4 5 6 6 5 5 3 5 5 5 3 6 6 4 6 5 4 5 5 4 3 2 3 2 -1 0 -2 1 -2 -2 -2 -6 -4 -2 0 -5 -4 -5 -1

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 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Estimated Parameters of Exponential Smoothing Parameter Value alpha 0.632874910581782 beta 0.230201372346766 gamma 0 Interpolation Forecasts of Exponential Smoothing t Observed Fitted Residuals 3 3 -3 6 4 4 -0.328618498870733 4.32861849887073 5 3 1.91561826894629 1.08438173105371 6 2 2.26464111778233 -0.264641117782325 7 1 1.72134603853347 -0.721346038533472 8 4 0.78392192631768 3.21607807368232 9 3 2.80694089366845 0.193059106331545 10 5 2.94489352737046 2.05510647262954 11 6 4.56069495626466 1.43930504373534 12 6 5.99646155268862 0.00353844731137798 13 6 6.52408300447752 -0.524083004477522 14 6 6.64143311971188 -0.641433119711878 15 6 6.5910657512701 -0.591065751270094 16 5 6.48646304170446 -1.48646304170446 17 6 5.59862502410008 0.40137497589992 18 5 5.96402811067005 -0.964028110670049 19 6 5.32485386479881 0.675146135201186 20 5 5.82143301768917 -0.821433017689166 21 7 5.25119128675944 1.74880871324056 22 4 6.56237268212294 -2.56237268212294 23 5 4.77180686175833 0.228193138241669 24 6 4.78056529091394 1.21943470908606 25 6 5.59431346508607 0.405686534913929 26 5 5.95216476919407 -0.952164769194068 27 3 5.31194642898748 -2.31194642898748 28 2 3.47433198528138 -1.47433198528138 29 3 1.95202923732950 1.04797076267050 30 3 2.17870608514098 0.821293914859019 31 2 2.38157806371213 -0.381578063712125 32 0 1.76759094467858 -1.76759094467858 33 4 0.0189130685076299 3.98108693149237 34 4 2.48842846108879 1.51157153891121 35 5 3.61526837196731 1.38473162803269 36 6 4.86357419885618 1.13642580114382 37 6 6.12029786461897 -0.120297864618973 38 5 6.5641466165323 -1.56414661653230 39 5 5.86634127383906 -0.866341273839057 40 3 5.48394331450773 -2.48394331450773 41 5 3.71592320318308 1.28407679681692 42 5 4.51966392736438 0.480336072635623 43 5 4.88471683758588 0.115283162414121 44 3 5.03553237083774 -2.03553237083774 45 6 3.52859670597164 2.47140329402836 46 6 5.23404301321147 0.765956986788529 47 4 5.97174639818902 -1.97174639818902 48 6 4.68956488207355 1.31043511792645 49 5 5.6755092527872 -0.675509252787198 50 4 5.30618521086796 -1.30618521086796 51 5 4.34742578838738 0.652574211612621 52 5 4.72338873114497 0.276611268855026 53 4 4.90171328880246 -0.901713288802465 54 3 4.20293638497837 -1.20293638497837 55 2 3.13826873553833 -1.13826873553833 56 3 1.94869475742579 1.05130524257421 57 2 2.29801048056867 -0.298010480568670 58 -1 1.74996138464472 -2.74996138464472 59 0 -0.750504145211764 0.750504145211764 60 -2 -0.926272912914023 -1.07372708708598 61 1 -2.41298173305424 3.41298173305424 62 -2 -0.562932330385403 -1.43706766961460 63 -2 -1.99172199145862 -0.00827800854138205 64 -2 -2.51747253561893 0.517472535618926 65 -6 -2.63509886415836 -3.36490113584164 66 -4 -5.70001006392273 1.70001006392273 67 -2 -5.31179383083442 3.31179383083442 68 0 -3.42102924212034 3.42102924212034 69 -5 -0.96272709188369 -4.03727290811631 70 -4 -3.81278218034909 -0.187217819650909 71 -5 -4.25350951466263 -0.746490485337366 72 -1 -5.15694169543429 4.15694169543429 Extrapolation Forecasts of Exponential Smoothing t Forecast 95% Lower Bound 95% Upper Bound 73 -2.35149535416046 -6.09003862687868 1.38704791855776 74 -2.17687311667829 -6.9148941499706 2.56114791661402 75 -2.00225087919612 -7.86640774052014 3.8619059821279 76 -1.82762864171395 -8.92611435383441 5.27085707040651 77 -1.65300640423178 -10.0816866627970 6.77567385433342 78 -1.47838416674961 -11.3244040041443 8.36763567064512 79 -1.30376192926744 -12.6477551888397 10.0402313303049 80 -1.12913969178527 -14.0466548035238 11.7883754199532 81 -0.954517454303094 -15.5169850975631 13.6079501889569 82 -0.779895216820923 -17.0553153688951 15.4955249352532 83 -0.605272979338753 -18.6587220934261 17.4481761347486 84 -0.430650741856581 -20.3246687292444 19.4633672455313

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o/1cb9o1244120336.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o/1cb9o1244120336.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o/2mdp01244120336.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o/2mdp01244120336.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o/3eigp1244120336.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2009/Jun/04/t1244120430fuv5238oylxr45o/3eigp1244120336.ps (open in new window)

Parameters (Session):

par1 = 12 ; par2 = Double ; par3 = additive ;

Parameters (R input):

par1 = 12 ; par2 = Double ; par3 = additive ;

R code (references can be found in the software module):

par1 <- as.numeric(par1) if (par2 == 'Single') K <- 1 if (par2 == 'Double') K <- 2 if (par2 == 'Triple') K <- par1 nx <- length(x) nxmK <- nx - K x <- ts(x, frequency = par1) if (par2 == 'Single') fit <- HoltWinters(x, gamma=0, beta=0) if (par2 == 'Double') fit <- HoltWinters(x, gamma=0) if (par2 == 'Triple') fit <- HoltWinters(x, seasonal=par3) fit myresid <- x - fit$fitted[,'xhat'] bitmap(file='test1.png') op <- par(mfrow=c(2,1)) plot(fit,ylab='Observed (black) / Fitted (red)',main='Interpolation Fit of Exponential Smoothing') plot(myresid,ylab='Residuals',main='Interpolation Prediction Errors') par(op) dev.off() bitmap(file='test2.png') p <- predict(fit, par1, prediction.interval=TRUE) np <- length(p[,1]) plot(fit,p,ylab='Observed (black) / Fitted (red)',main='Extrapolation Fit of Exponential Smoothing') dev.off() bitmap(file='test3.png') op <- par(mfrow = c(2,2)) acf(as.numeric(myresid),lag.max = nx/2,main='Residual ACF') spectrum(myresid,main='Residals Periodogram') cpgram(myresid,main='Residal Cumulative Periodogram') qqnorm(myresid,main='Residual Normal QQ Plot') qqline(myresid) par(op) dev.off() load(file='createtable') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Estimated Parameters of Exponential Smoothing',2,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Parameter',header=TRUE) a<-table.element(a,'Value',header=TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'alpha',header=TRUE) a<-table.element(a,fit$alpha) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'beta',header=TRUE) a<-table.element(a,fit$beta) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'gamma',header=TRUE) a<-table.element(a,fit$gamma) a<-table.row.end(a) a<-table.end(a) table.save(a,file='mytable.tab') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Interpolation Forecasts of Exponential Smoothing',4,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,'Fitted',header=TRUE) a<-table.element(a,'Residuals',header=TRUE) a<-table.row.end(a) for (i in 1:nxmK) { a<-table.row.start(a) a<-table.element(a,i+K,header=TRUE) a<-table.element(a,x[i+K]) a<-table.element(a,fit$fitted[i,'xhat']) a<-table.element(a,myresid[i]) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Extrapolation Forecasts of Exponential Smoothing',4,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'t',header=TRUE) a<-table.element(a,'Forecast',header=TRUE) a<-table.element(a,'95% Lower Bound',header=TRUE) a<-table.element(a,'95% Upper Bound',header=TRUE) a<-table.row.end(a) for (i in 1:np) { a<-table.row.start(a) a<-table.element(a,nx+i,header=TRUE) a<-table.element(a,p[i,'fit']) a<-table.element(a,p[i,'lwr']) a<-table.element(a,p[i,'upr']) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable2.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

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