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Type 'q()' to quit R. > x <- c(315.42 + ,316.32 + ,316.49 + ,317.56 + ,318.13 + ,318.00 + ,316.39 + ,314.66 + ,313.68 + ,313.18 + ,314.66 + ,315.43 + ,316.27 + ,316.81 + ,317.42 + ,318.87 + ,319.87 + ,319.43 + ,318.01 + ,315.75 + ,314.00 + ,313.68 + ,314.84 + ,316.03 + ,316.73 + ,317.54 + ,318.38 + ,319.31 + ,320.42 + ,319.61 + ,318.42 + ,316.64 + ,314.83 + ,315.15 + ,315.95 + ,316.85 + ,317.78 + ,318.40 + ,319.53 + ,320.41 + ,320.85 + ,320.45 + ,319.44 + ,317.25 + ,316.12 + ,315.27 + ,316.53 + ,317.53 + ,318.58 + ,318.92 + ,319.70 + ,321.22 + ,322.08 + ,321.31 + ,319.58 + ,317.61 + ,316.05 + ,315.83 + ,316.91 + ,318.20 + ,319.41 + ,320.07 + ,320.74 + ,321.40 + ,322.06 + ,321.73 + ,320.27 + ,318.54 + ,316.54 + ,316.71 + ,317.53 + ,318.55 + ,319.27 + ,320.28 + ,320.73 + ,321.97 + ,322.00 + ,321.71 + ,321.05 + ,318.71 + ,317.65 + ,317.14 + ,318.71 + ,319.25 + ,320.46 + ,321.43 + ,322.22 + ,323.54 + ,323.91 + ,323.59 + ,322.26 + ,320.21 + ,318.48 + ,317.94 + ,319.63 + ,320.87 + ,322.17 + ,322.34 + ,322.88 + ,324.25 + ,324.83 + ,323.93 + ,322.39 + ,320.76 + ,319.10 + ,319.23 + ,320.56 + ,321.80 + ,322.40 + ,322.99 + ,323.73 + ,324.86 + ,325.41 + ,325.19 + ,323.97 + ,321.92 + ,320.10 + ,319.96 + ,320.97 + ,322.48 + ,323.52 + ,323.89 + ,325.04 + ,326.01 + ,326.67 + ,325.96 + ,325.13 + ,322.90 + ,321.61 + ,321.01 + ,322.08 + ,323.37 + ,324.34 + ,325.30 + ,326.29 + ,327.54 + ,327.54 + ,327.21 + ,325.98 + ,324.42 + ,322.91 + ,322.90 + ,323.85 + ,324.96 + ,326.01 + ,326.51 + ,327.01 + ,327.62 + ,328.76 + ,328.40 + ,327.20 + ,325.28 + ,323.20 + ,323.40 + ,324.64 + ,325.85 + ,326.60 + ,327.47 + ,327.58 + ,329.56 + ,329.90 + ,328.92 + ,327.89 + ,326.17 + ,324.68 + ,325.04 + ,326.34 + ,327.39 + ,328.37 + ,329.40 + ,330.14 + ,331.33 + ,332.31 + ,331.90 + ,330.70 + ,329.15 + ,327.34 + ,327.02 + ,327.99 + ,328.48 + ,329.18 + ,330.55 + ,331.32 + ,332.48 + ,332.92 + ,332.08 + ,331.02 + ,329.24 + ,327.28 + ,327.21 + ,328.29 + ,329.41 + ,330.23 + ,331.24 + ,331.87 + ,333.14 + ,333.80 + ,333.42 + ,331.73 + ,329.90 + ,328.40 + ,328.17 + ,329.32 + ,330.59 + ,331.58 + ,332.39 + ,333.33 + ,334.41 + ,334.71 + ,334.17 + ,332.88 + ,330.77 + ,329.14 + ,328.77 + ,330.14 + ,331.52 + ,332.75 + ,333.25 + ,334.53 + ,335.90 + ,336.57 + ,336.10 + ,334.76 + ,332.59 + ,331.41 + ,330.98 + ,332.24 + ,333.68 + ,334.80 + ,335.22 + ,336.47 + ,337.59 + ,337.84 + ,337.72 + ,336.37 + ,334.51 + ,332.60 + ,332.37 + ,333.75 + ,334.79 + ,336.05 + ,336.59 + ,337.79 + ,338.71 + ,339.30 + ,339.12 + ,337.56 + ,335.92 + ,333.74 + ,333.70 + ,335.13 + ,336.56 + ,337.84 + ,338.19 + ,339.90 + ,340.60 + ,341.29 + ,341.00 + ,339.39 + ,337.43 + ,335.72 + ,335.84 + ,336.93 + ,338.04 + ,339.06 + ,340.30 + ,341.21 + ,342.33 + ,342.74 + ,342.07 + ,340.32 + ,338.27 + ,336.52 + ,336.68 + ,338.19 + ,339.44 + ,340.57 + ,341.44 + ,342.53 + ,343.39 + ,343.96 + ,343.18 + ,341.88 + ,339.65 + ,337.80 + ,337.69 + ,339.09 + ,340.32 + ,341.20 + ,342.35 + ,342.93 + ,344.77 + ,345.58 + ,345.14 + ,343.81 + ,342.22 + ,339.69 + ,339.82 + ,340.98 + ,342.82 + ,343.52 + ,344.33 + ,345.11 + ,346.88 + ,347.25 + ,346.61 + ,345.22 + ,343.11 + ,340.90 + ,341.17 + ,342.80 + ,344.04 + ,344.79 + ,345.82 + ,347.25 + ,348.17 + ,348.75 + ,348.07 + ,346.38 + ,344.52 + ,342.92 + ,342.63 + ,344.06 + ,345.38 + ,346.12 + ,346.79 + ,347.69 + ,349.38 + ,350.04 + ,349.38 + ,347.78 + ,345.75 + ,344.70 + ,344.01 + ,345.50 + ,346.75 + ,347.86 + ,348.32 + ,349.26 + ,350.84 + ,351.70 + ,351.11 + ,349.37 + ,347.97 + ,346.31 + ,346.22 + ,347.68 + ,348.82 + ,350.29 + ,351.58 + ,352.08 + ,353.45 + ,354.08 + ,353.66 + ,352.25 + ,350.30 + ,348.58 + ,348.74 + ,349.93 + ,351.21 + ,352.62 + ,352.93 + ,353.54 + ,355.27 + ,355.52 + ,354.97 + ,353.74 + ,351.51 + ,349.63 + ,349.82 + ,351.12 + ,352.35 + ,353.47 + ,354.51 + ,355.18 + ,355.98 + ,356.94 + ,355.99 + ,354.58 + ,352.68 + ,350.72 + ,350.92 + ,352.55 + ,353.91) > par10 = 'FALSE' > par9 = '1' > par8 = '0' > par7 = '1' > par6 = '0' > par5 = '12' > par4 = '1' > par3 = '1' > par2 = '0.2' > par1 = '12' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: Wessa P., (2009), ARIMA Forecasting (v1.0.5) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_arimaforecasting.wasp/ > #Source of accompanying publication: > #Technical description: > par1 <- as.numeric(par1) #cut off periods > par2 <- as.numeric(par2) #lambda > par3 <- as.numeric(par3) #degree of non-seasonal differencing > par4 <- as.numeric(par4) #degree of seasonal differencing > par5 <- as.numeric(par5) #seasonal period > par6 <- as.numeric(par6) #p > par7 <- as.numeric(par7) #q > par8 <- as.numeric(par8) #P > par9 <- as.numeric(par9) #Q > if (par10 == 'TRUE') par10 <- TRUE > if (par10 == 'FALSE') par10 <- FALSE > if (par2 == 0) x <- log(x) > if (par2 != 0) x <- x^par2 > lx <- length(x) > first <- lx - 2*par1 > nx <- lx - par1 > nx1 <- nx + 1 > fx <- lx - nx > if (fx < 1) { + fx <- par5 + nx1 <- lx + fx - 1 + first <- lx - 2*fx + } > first <- 1 > if (fx < 3) fx <- round(lx/10,0) > (arima.out <- arima(x[1:nx], order=c(par6,par3,par7), seasonal=list(order=c(par8,par4,par9), period=par5), include.mean=par10, method='ML')) Call: arima(x = x[1:nx], order = c(par6, par3, par7), seasonal = list(order = c(par8, par4, par9), period = par5), include.mean = par10, method = "ML") Coefficients: ma1 sma1 -0.3717 -0.912 s.e. 0.0550 0.035 sigma^2 estimated as 2.881e-07: log likelihood = 2183.11, aic = -4360.22 > (forecast <- predict(arima.out,par1)) $pred Time Series: Start = 373 End = 384 Frequency = 1 [1] 3.233431 3.234883 3.236530 3.239008 3.240079 3.239092 3.236423 3.232790 [9] 3.229499 3.229329 3.231824 3.234161 $se Time Series: Start = 373 End = 384 Frequency = 1 [1] 0.0005369305 0.0006340953 0.0007182335 0.0007934998 0.0008622206 [6] 0.0009258547 0.0009853880 0.0010415239 0.0010947852 0.0011455728 [11] 0.0011942025 0.0012409279 > (lb <- forecast$pred - 1.96 * forecast$se) Time Series: Start = 373 End = 384 Frequency = 1 [1] 3.232378 3.233640 3.235122 3.237453 3.238389 3.237278 3.234492 3.230749 [9] 3.227354 3.227083 3.229483 3.231729 > (ub <- forecast$pred + 1.96 * forecast$se) Time Series: Start = 373 End = 384 Frequency = 1 [1] 3.234483 3.236125 3.237938 3.240563 3.241769 3.240907 3.238355 3.234831 [9] 3.231645 3.231574 3.234164 3.236593 > if (par2 == 0) { + x <- exp(x) + forecast$pred <- exp(forecast$pred) + lb <- exp(lb) + ub <- exp(ub) + } > if (par2 != 0) { + x <- x^(1/par2) + forecast$pred <- forecast$pred^(1/par2) + lb <- lb^(1/par2) + ub <- ub^(1/par2) + } > if (par2 < 0) { + olb <- lb + lb <- ub + ub <- olb + } > (actandfor <- c(x[1:nx], forecast$pred)) [1] 315.4200 316.3200 316.4900 317.5600 318.1300 318.0000 316.3900 314.6600 [9] 313.6800 313.1800 314.6600 315.4300 316.2700 316.8100 317.4200 318.8700 [17] 319.8700 319.4300 318.0100 315.7500 314.0000 313.6800 314.8400 316.0300 [25] 316.7300 317.5400 318.3800 319.3100 320.4200 319.6100 318.4200 316.6400 [33] 314.8300 315.1500 315.9500 316.8500 317.7800 318.4000 319.5300 320.4100 [41] 320.8500 320.4500 319.4400 317.2500 316.1200 315.2700 316.5300 317.5300 [49] 318.5800 318.9200 319.7000 321.2200 322.0800 321.3100 319.5800 317.6100 [57] 316.0500 315.8300 316.9100 318.2000 319.4100 320.0700 320.7400 321.4000 [65] 322.0600 321.7300 320.2700 318.5400 316.5400 316.7100 317.5300 318.5500 [73] 319.2700 320.2800 320.7300 321.9700 322.0000 321.7100 321.0500 318.7100 [81] 317.6500 317.1400 318.7100 319.2500 320.4600 321.4300 322.2200 323.5400 [89] 323.9100 323.5900 322.2600 320.2100 318.4800 317.9400 319.6300 320.8700 [97] 322.1700 322.3400 322.8800 324.2500 324.8300 323.9300 322.3900 320.7600 [105] 319.1000 319.2300 320.5600 321.8000 322.4000 322.9900 323.7300 324.8600 [113] 325.4100 325.1900 323.9700 321.9200 320.1000 319.9600 320.9700 322.4800 [121] 323.5200 323.8900 325.0400 326.0100 326.6700 325.9600 325.1300 322.9000 [129] 321.6100 321.0100 322.0800 323.3700 324.3400 325.3000 326.2900 327.5400 [137] 327.5400 327.2100 325.9800 324.4200 322.9100 322.9000 323.8500 324.9600 [145] 326.0100 326.5100 327.0100 327.6200 328.7600 328.4000 327.2000 325.2800 [153] 323.2000 323.4000 324.6400 325.8500 326.6000 327.4700 327.5800 329.5600 [161] 329.9000 328.9200 327.8900 326.1700 324.6800 325.0400 326.3400 327.3900 [169] 328.3700 329.4000 330.1400 331.3300 332.3100 331.9000 330.7000 329.1500 [177] 327.3400 327.0200 327.9900 328.4800 329.1800 330.5500 331.3200 332.4800 [185] 332.9200 332.0800 331.0200 329.2400 327.2800 327.2100 328.2900 329.4100 [193] 330.2300 331.2400 331.8700 333.1400 333.8000 333.4200 331.7300 329.9000 [201] 328.4000 328.1700 329.3200 330.5900 331.5800 332.3900 333.3300 334.4100 [209] 334.7100 334.1700 332.8800 330.7700 329.1400 328.7700 330.1400 331.5200 [217] 332.7500 333.2500 334.5300 335.9000 336.5700 336.1000 334.7600 332.5900 [225] 331.4100 330.9800 332.2400 333.6800 334.8000 335.2200 336.4700 337.5900 [233] 337.8400 337.7200 336.3700 334.5100 332.6000 332.3700 333.7500 334.7900 [241] 336.0500 336.5900 337.7900 338.7100 339.3000 339.1200 337.5600 335.9200 [249] 333.7400 333.7000 335.1300 336.5600 337.8400 338.1900 339.9000 340.6000 [257] 341.2900 341.0000 339.3900 337.4300 335.7200 335.8400 336.9300 338.0400 [265] 339.0600 340.3000 341.2100 342.3300 342.7400 342.0700 340.3200 338.2700 [273] 336.5200 336.6800 338.1900 339.4400 340.5700 341.4400 342.5300 343.3900 [281] 343.9600 343.1800 341.8800 339.6500 337.8000 337.6900 339.0900 340.3200 [289] 341.2000 342.3500 342.9300 344.7700 345.5800 345.1400 343.8100 342.2200 [297] 339.6900 339.8200 340.9800 342.8200 343.5200 344.3300 345.1100 346.8800 [305] 347.2500 346.6100 345.2200 343.1100 340.9000 341.1700 342.8000 344.0400 [313] 344.7900 345.8200 347.2500 348.1700 348.7500 348.0700 346.3800 344.5200 [321] 342.9200 342.6300 344.0600 345.3800 346.1200 346.7900 347.6900 349.3800 [329] 350.0400 349.3800 347.7800 345.7500 344.7000 344.0100 345.5000 346.7500 [337] 347.8600 348.3200 349.2600 350.8400 351.7000 351.1100 349.3700 347.9700 [345] 346.3100 346.2200 347.6800 348.8200 350.2900 351.5800 352.0800 353.4500 [353] 354.0800 353.6600 352.2500 350.3000 348.5800 348.7400 349.9300 351.2100 [361] 352.6200 352.9300 353.5400 355.2700 355.5200 354.9700 353.7400 351.5100 [369] 349.6300 349.8200 351.1200 352.3500 353.4417 354.2359 355.1388 356.5003 [377] 357.0903 356.5469 355.0803 353.0916 351.2983 351.2055 352.5642 353.8410 > (perc.se <- (ub-forecast$pred)/1.96/forecast$pred) Time Series: Start = 373 End = 384 Frequency = 1 [1] 0.0008308205 0.0009808436 0.0011105391 0.0012260887 0.0013319436 [6] 0.0014307908 0.0015241590 0.0016129104 0.0016972304 0.0017761693 [11] 0.0018502457 0.0019213574 > postscript(file="/var/www/wessaorg/rcomp/tmp/1rm1y1293672611.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > opar <- par(mar=c(4,4,2,2),las=1) > ylim <- c( min(x[first:nx],lb), max(x[first:nx],ub)) > plot(x,ylim=ylim,type='n',xlim=c(first,lx)) > usr <- par('usr') > rect(usr[1],usr[3],nx+1,usr[4],border=NA,col='lemonchiffon') > rect(nx1,usr[3],usr[2],usr[4],border=NA,col='lavender') > abline(h= (-3:3)*2 , col ='gray', lty =3) > polygon( c(nx1:lx,lx:nx1), c(lb,rev(ub)), col = 'orange', lty=2,border=NA) > lines(nx1:lx, lb , lty=2) > lines(nx1:lx, ub , lty=2) > lines(x, lwd=2) > lines(nx1:lx, forecast$pred , lwd=2 , col ='white') > box() > par(opar) > dev.off() null device 1 > prob.dec <- array(NA, dim=fx) > prob.sdec <- array(NA, dim=fx) > prob.ldec <- array(NA, dim=fx) > prob.pval <- array(NA, dim=fx) > perf.pe <- array(0, dim=fx) > perf.mape <- array(0, dim=fx) > perf.mape1 <- array(0, dim=fx) > perf.se <- array(0, dim=fx) > perf.mse <- array(0, dim=fx) > perf.mse1 <- array(0, dim=fx) > perf.rmse <- array(0, dim=fx) > for (i in 1:fx) { + locSD <- (ub[i] - forecast$pred[i]) / 1.96 + perf.pe[i] = (x[nx+i] - forecast$pred[i]) / forecast$pred[i] + perf.se[i] = (x[nx+i] - forecast$pred[i])^2 + prob.dec[i] = pnorm((x[nx+i-1] - forecast$pred[i]) / locSD) + prob.sdec[i] = pnorm((x[nx+i-par5] - forecast$pred[i]) / locSD) + prob.ldec[i] = pnorm((x[nx] - forecast$pred[i]) / locSD) + prob.pval[i] = pnorm(abs(x[nx+i] - forecast$pred[i]) / locSD) + } > perf.mape[1] = abs(perf.pe[1]) > perf.mse[1] = abs(perf.se[1]) > for (i in 2:fx) { + perf.mape[i] = perf.mape[i-1] + abs(perf.pe[i]) + perf.mape1[i] = perf.mape[i] / i + perf.mse[i] = perf.mse[i-1] + perf.se[i] + perf.mse1[i] = perf.mse[i] / i + } > perf.rmse = sqrt(perf.mse1) > postscript(file="/var/www/wessaorg/rcomp/tmp/2xmgs1293672611.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(forecast$pred, pch=19, type='b',main='ARIMA Extrapolation Forecast', ylab='Forecast and 95% CI', xlab='time',ylim=c(min(lb),max(ub))) > dum <- forecast$pred > dum[1:par1] <- x[(nx+1):lx] > lines(dum, lty=1) > lines(ub,lty=3) > lines(lb,lty=3) > dev.off() null device 1 > > #Note: the /var/www/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/wessaorg/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Univariate ARIMA Extrapolation Forecast',9,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'time',1,header=TRUE) > a<-table.element(a,'Y[t]',1,header=TRUE) > a<-table.element(a,'F[t]',1,header=TRUE) > a<-table.element(a,'95% LB',1,header=TRUE) > a<-table.element(a,'95% UB',1,header=TRUE) > a<-table.element(a,'p-value
(H0: Y[t] = F[t])',1,header=TRUE) > a<-table.element(a,'P(F[t]>Y[t-1])',1,header=TRUE) > a<-table.element(a,'P(F[t]>Y[t-s])',1,header=TRUE) > mylab <- paste('P(F[t]>Y[',nx,sep='') > mylab <- paste(mylab,'])',sep='') > a<-table.element(a,mylab,1,header=TRUE) > a<-table.row.end(a) > for (i in (nx-par5):nx) { + a<-table.row.start(a) + a<-table.element(a,i,header=TRUE) + a<-table.element(a,x[i]) + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.row.end(a) + } > for (i in 1:fx) { + a<-table.row.start(a) + a<-table.element(a,nx+i,header=TRUE) + a<-table.element(a,round(x[nx+i],4)) + a<-table.element(a,round(forecast$pred[i],4)) + a<-table.element(a,round(lb[i],4)) + a<-table.element(a,round(ub[i],4)) + a<-table.element(a,round((1-prob.pval[i]),4)) + a<-table.element(a,round((1-prob.dec[i]),4)) + a<-table.element(a,round((1-prob.sdec[i]),4)) + a<-table.element(a,round((1-prob.ldec[i]),4)) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/wessaorg/rcomp/tmp/34ovm1293672611.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Univariate ARIMA Extrapolation Forecast Performance',7,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'time',1,header=TRUE) > a<-table.element(a,'% S.E.',1,header=TRUE) > a<-table.element(a,'PE',1,header=TRUE) > a<-table.element(a,'MAPE',1,header=TRUE) > a<-table.element(a,'Sq.E',1,header=TRUE) > a<-table.element(a,'MSE',1,header=TRUE) > a<-table.element(a,'RMSE',1,header=TRUE) > a<-table.row.end(a) > for (i in 1:fx) { + a<-table.row.start(a) + a<-table.element(a,nx+i,header=TRUE) + a<-table.element(a,round(perc.se[i],4)) + a<-table.element(a,round(perf.pe[i],4)) + a<-table.element(a,round(perf.mape1[i],4)) + a<-table.element(a,round(perf.se[i],4)) + a<-table.element(a,round(perf.mse1[i],4)) + a<-table.element(a,round(perf.rmse[i],4)) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/wessaorg/rcomp/tmp/40yxn1293672612.tab") > > try(system("convert tmp/1rm1y1293672611.ps tmp/1rm1y1293672611.png",intern=TRUE)) character(0) > try(system("convert tmp/2xmgs1293672611.ps tmp/2xmgs1293672611.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.25 0.14 1.43