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*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: Tue, 30 Nov 2010 14:20:42 +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/Nov/30/t1291126759myfpzfrapque5ah.htm/, Retrieved Tue, 30 Nov 2010 15:19:19 +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/Nov/30/t1291126759myfpzfrapque5ah.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 «
1483509 8036554 4623093 5528662 4221032 8061847 7640066 2935533 8161548 2543967 13163450 3348436 3997440 2322911 2019457 3047748 5728767 2605173 5646743 13121544 3453409 1878333 4247362 23022552 7646203 9016602 3606568 3173510 17568772 10805045 31056269 15623385 6663443 35435745 2823250 5197089 4120632 8832767 3695374 8385805 3777904 5199532 5297275 14847382 5900158 4416718 3926429 4876884 2795297 3385527 3877941 3556729 4982836 2976325 2295026 2218752 4146062 3302091 3864505 5454794 1749836 6684048 2809918 4092664 5070470 9814477 6665318 3912554 6188129 3627991 3308767 3820332 4932979 5567917 5020814 3803273 3999984 4883104 13731747 47531824 8415570 22178158 61211654 18223748 17678085 49299580 25899948 34121754 9859231 29740892 21085212 43003866 59549247 18026465 4680597 5564728 11792347 10371624 3728446 5732978 4067638 2395508 5018801 22068888 7678580 15510095 6471239 14349204 35151574 8210488 50226 etc...
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time8 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Structural Time Series Model
tObservedLevelSlopeSeasonalStand. Residuals
114835091483509000
280365543542828.31470982286532.143576213286532.1440668950.721556102201125
346230933996512.624842304117.037743259304117.0377432580.0555753553579738
455286624606137.04778582329946.230729349329946.2307293490.101681369981604
542210324594356.96463204305734.394789004305734.394789004-0.115761402698723
680618475820765.31180052362180.174146468362180.1741464680.318335452718436
776400666531199.84979434381132.304866385381132.3048663850.122668709978349
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1025439675390226.83986286281343.772936570281343.772936570-0.522137226574906
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1339974407029540.94552634298892.14783081-3287813.626598320.0461518711788719
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1956467434595207.30104621149461.61734287149461.6173428700.149226344195863
20131215447217539.14932088206232.160244044206232.1602440440.940884912273452
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34868755567662125.5281018410789.113201316010789.1132013147-0.129964965460402
34970987667543770.7156972811211.5041732932-123326.547883502-0.0526007818290978
3503608330915859146.468316932974.495252003232974.49844046463.29750919611956
3511020033014230334.019531329253.857453478729253.8574534725-0.662452057794418
352778497612375243.249782225548.514321428525548.5143214208-0.752943346204759
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/1wrbg1291126832.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/1wrbg1291126832.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/2wrbg1291126832.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/2wrbg1291126832.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/3p1t11291126832.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/3p1t11291126832.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/40ss41291126832.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/40ss41291126832.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/50ss41291126832.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Nov/30/t1291126759myfpzfrapque5ah/50ss41291126832.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

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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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.

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