*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: Sun, 19 Dec 2010 16:16:29 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt.htm/, Retrieved Sun, 19 Dec 2010 17:14:08 +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/2010/Dec/19/t1292775242qx2gmw0x2wjhktt.htm/}, year = {2010}, } @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 = {2010}, 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 «

41.85 41.75 41.75 41.75 41.58 41.61 41.42 41.37 41.37 41.33 41.37 41.34 41.33 41.29 41.29 41.27 41.04 40.90 40.89 40.72 40.72 40.58 40.24 40.07 40.12 40.10 40.10 40.08 40.06 39.99 40.05 39.66 39.66 39.67 39.56 39.64 39.73 39.70 39.70 39.68 39.76 40.00 39.96 40.01 40.01 40.01 40.00 39.91 39.86 39.79 39.79 39.80 39.64 39.55 39.36 39.28

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 41.85 41.85 0 0 0 2 41.75 41.756206659243 -0.00655532687009518 -0.00511075833543904 -0.611576562414529 3 41.75 41.7549293250002 -0.00611881293324532 -0.00509238413568755 0.055120253678442 4 41.75 41.7549006470643 -0.00542961114489046 -0.00508222890379219 0.0623944469666825 5 41.58 41.5899275202046 -0.0272835816731802 -0.00530433508855795 -1.61054162477662 6 41.61 41.6137933608939 -0.0193905607223459 -0.00524428203380805 0.510656844210574 7 41.42 41.4299976569326 -0.0467620739954582 -0.0054049140975037 -1.62835161924286 8 41.37 41.37562148999 -0.048093247715485 -0.0054110433706842 -0.0749955675225111 9 41.37 41.3741024422218 -0.0396889756507971 -0.0053803641816713 0.456990456802158 10 41.33 41.3353541743772 -0.0395157068168054 -0.00537985943401774 0.00920652419246916 11 41.37 41.3732396978148 -0.0250679423905262 -0.00534613292733442 0.756198525342461 12 41.34 41.3454217800979 -0.0255857183190295 -0.00534710408280679 -0.0268356937684549 13 41.33 41.2866305128029 -0.0315349866005209 0.0442366669905512 -0.379472202595628 14 41.29 41.2924523525088 -0.0245981604354552 -0.00316261876963741 0.307181895752628 15 41.29 41.2924931764532 -0.0199060349383844 -0.00316016356199649 0.24002500134155 16 41.27 41.2731453562957 -0.0197995357958255 -0.00316044988567028 0.0054330928948378 17 41.04 41.0486068882894 -0.0588957057941325 -0.00307165983083078 -1.99266461057082 18 40.9 40.9053234180359 -0.0750196555600695 -0.00304204780803118 -0.821336457046198 19 40.89 40.8914074886272 -0.0633399041356362 -0.00305936552569191 0.59473069339813 20 40.72 40.7258006444799 -0.0828931627038084 -0.00303595913526675 -0.995404710614221 21 40.72 40.7209408084507 -0.0679705589322267 -0.00305038145823724 0.759549208038474 22 40.58 40.5848809858171 -0.0809931874332582 -0.00304021952270384 -0.662773013995983 23 40.24 40.2498767906408 -0.129579188708272 -0.00300960807409043 -2.4725659939258 24 40.07 40.0742500389809 -0.138387494447856 -0.00300512717554939 -0.448239296492928 25 40.12 40.0580116509722 -0.115378365967852 0.0587519160589965 1.29182445855628 26 40.1 40.0995830626361 -0.0859718933966938 -0.00301741420153364 1.38099386918218 27 40.1 40.1006658136264 -0.0693166624135937 -0.00301951013059250 0.847470039602337 28 40.08 40.0816798924705 -0.0596851311650948 -0.00303994999745196 0.489738862867107 29 40.06 40.0619731318085 -0.0520357579506134 -0.00305356282599321 0.389040522891892 30 39.99 39.9934934830199 -0.0551818262367899 -0.00304903504596354 -0.160033497580385 31 40.05 40.0500534714982 -0.0338042033228474 -0.00307387988204049 1.08755313538400 32 39.66 39.6723094547514 -0.0996028210092713 -0.00301213234845259 -3.34764464808775 33 39.66 39.6606475692484 -0.0827790952756601 -0.00302488042644987 0.85598332373161 34 39.67 39.6705306976985 -0.0650521439734064 -0.00303572650377135 0.901966834302367 35 39.56 39.5641491488406 -0.072958794133059 -0.0030318203892285 -0.402307169190279 36 39.64 39.6390457907790 -0.0446726650604528 -0.00304310374479894 1.43927724735378 37 39.73 39.6820643210371 -0.0280565492712486 0.0455962631087408 0.903116752463959 38 39.7 39.7024882301847 -0.0189261573335912 -0.00361426502201767 0.438956779837005 39 39.7 39.7030868243209 -0.0151905984131268 -0.00361471212945973 0.190071474671603 40 39.68 39.6837261396289 -0.0159885750584377 -0.0036134388135416 -0.0405814342615171 41 39.76 39.7611135383847 0.00187758982478193 -0.00363733312265000 0.908755126876263 42 40 39.9973509831656 0.0467159285954982 -0.00368582746583371 2.28098627094977 43 39.96 39.9657887635445 0.031740107668119 -0.00367274811489267 -0.761906248749854 44 40.01 40.0132498797614 0.0347477253435453 -0.00367486911592957 0.153023501283735 45 40.01 40.0145747850922 0.0283535821764099 -0.00367122813778830 -0.325337336267606 46 40.01 40.0144389296393 0.0229032500503587 -0.00366872218233920 -0.277322418018295 47 40 40.0045528653695 0.0166302870116107 -0.00366639336209202 -0.319184327637486 48 39.91 39.9164908325698 -0.00339861813592170 -0.00366038948023593 -1.01913211199611 49 39.86 39.8304527756292 -0.0190967157457386 0.0317594473143884 -0.839560336643105 50 39.79 39.7934720853097 -0.0224757867674678 -0.00304263358392459 -0.164528879740290 51 39.79 39.7924626444132 -0.0183687714963313 -0.0030430294134004 0.208973624250545 52 39.8 39.8022878425352 -0.0129738620872287 -0.00304987919200757 0.274391768471011 53 39.64 39.6468711342301 -0.0402278185437615 -0.00302087800367791 -1.38636913038035 54 39.55 39.5544238695646 -0.0502185512037577 -0.00301228083196918 -0.508267754823595 55 39.36 39.3667109058834 -0.076523484643191 -0.00299400211797473 -1.33832776940936 56 39.28 39.2831826186297 -0.0778635987440587 -0.00299325020006442 -0.0681846572345311

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/1fbwm1292775385.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/1fbwm1292775385.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/2fbwm1292775385.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/2fbwm1292775385.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/383ep1292775385.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/383ep1292775385.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/4juvs1292775385.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/4juvs1292775385.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/5juvs1292775385.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/19/t1292775242qx2gmw0x2wjhktt/5juvs1292775385.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