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VRM

*The author of this computation has been verified*
R Software Module: /rwasp_variancereduction.wasp (opens new window with default values)
Title produced by software: Variance Reduction Matrix
Date of computation: Thu, 26 Nov 2009 11:03:30 -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/Nov/26/t1259258663r6ep5ou9movpyzf.htm/, Retrieved Thu, 26 Nov 2009 19:04:23 +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/Nov/26/t1259258663r6ep5ou9movpyzf.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:
VRM
 
Dataseries X:
» Textbox « » Textfile « » CSV «
220206 220115 218444 214912 210705 209673 237041 242081 241878 242621 238545 240337 244752 244576 241572 240541 236089 236997 264579 270349 269645 267037 258113 262813 267413 267366 264777 258863 254844 254868 277267 285351 286602 283042 276687 277915 277128 277103 275037 270150 267140 264993 287259 291186 292300 288186 281477 282656 280190 280408 276836 275216 274352 271311 289802 290726 292300 278506 269826 265861 269034 264176 255198 253353 246057 235372 258556 260993 254663 250643 243422 247105 248541 245039 237080 237085 225554 226839 247934 248333 246969 245098 246263 255765 264319 268347 273046 273963 267430 271993 292710 295881 293299 288576
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Variance Reduction Matrix
V(Y[t],d=0,D=0)444375608.881377Range86208Trim Var.305767971.199656
V(Y[t],d=1,D=0)65862779.28892Range41376Trim Var.30088092.788422
V(Y[t],d=2,D=0)111560809.679885Range56197Trim Var.51912117.50271
V(Y[t],d=3,D=0)292592819.828083Range91874Trim Var.138675281.441975
V(Y[t],d=0,D=1)442977218.999699Range85185Trim Var.289924407.07903
V(Y[t],d=1,D=1)17729554.9253086Range22338Trim Var.8704256.74124748
V(Y[t],d=2,D=1)31804788.0428797Range31737Trim Var.15682305.0352113
V(Y[t],d=3,D=1)102438178.435573Range57359Trim Var.54996521.6760563
V(Y[t],d=0,D=2)645169484.773499Range104636Trim Var.418388042.187467
V(Y[t],d=1,D=2)41064312.1346974Range28740Trim Var.23798892.0218579
V(Y[t],d=2,D=2)96761696.3360404Range54214Trim Var.51864685.5466102
V(Y[t],d=3,D=2)320505036.245138Range84540Trim Var.175113097.782583
 
Charts produced by software:
 
Parameters (Session):
par1 = 12 ;
 
Parameters (R input):
par1 = 12 ;
 
R code (references can be found in the software module):
par1 <- as.numeric(par1)
n <- length(x)
sx <- sort(x)
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Variance Reduction Matrix',6,TRUE)
a<-table.row.end(a)
for (bigd in 0:2) {
for (smalld in 0:3) {
mylabel <- 'V(Y[t],d='
mylabel <- paste(mylabel,as.character(smalld),sep='')
mylabel <- paste(mylabel,',D=',sep='')
mylabel <- paste(mylabel,as.character(bigd),sep='')
mylabel <- paste(mylabel,')',sep='')
a<-table.row.start(a)
a<-table.element(a,mylabel,header=TRUE)
myx <- x
if (smalld > 0) myx <- diff(x,lag=1,differences=smalld)
if (bigd > 0) myx <- diff(myx,lag=par1,differences=bigd)
a<-table.element(a,var(myx))
a<-table.element(a,'Range',header=TRUE)
a<-table.element(a,max(myx)-min(myx))
a<-table.element(a,'Trim Var.',header=TRUE)
smyx <- sort(myx)
sn <- length(smyx)
a<-table.element(a,var(smyx[smyx>quantile(smyx,0.05) & smyx<quantile(smyx,0.95)]))
a<-table.row.end(a)
}
}
a<-table.end(a)
table.save(a,file='mytable.tab')
 




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Creative Commons License

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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