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Type 'q()' to quit R. > x <- c(704177,310154,310302,435329,497822,265224,301331,426815,510865,300614,358423,502547,596516,342535,377994,507900,677901,351931,442446,597344,754476,426933,450376,642635,827784,469829,526038,710645,939567,462391,562784,745282,973380,513575,507811,764929,921722,493969,580275,804671,1031509,593149,638170,874457,1177875,689356,752624,934424,1191042,660037,751254,973871,1179078,675609,766401,1053303) > par10 = 'FALSE' > par9 = '1' > par8 = '1' > par7 = '1' > par6 = '1' > par5 = '4' > par4 = '1' > par3 = '1' > par2 = '1' > par1 = '24' > par10 <- 'FALSE' > par9 <- '1' > par8 <- '1' > par7 <- '1' > par6 <- '1' > par5 <- '4' > par4 <- '1' > par3 <- '1' > par2 <- '1' > par1 <- '24' > #'GNU S' R Code compiled by R2WASP v. 1.2.327 () > #Author: root > #To cite this work: Wessa P., (2013), ARIMA Forecasting (v1.0.9) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_arimaforecasting.wasp/ > #Source of accompanying publication: > # > 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: ar1 ma1 sar1 sma1 -0.3219 0.0059 0.1681 -0.0029 s.e. 0.6445 0.7022 1.4156 1.3740 sigma^2 estimated as 2.487e+09: log likelihood = -330.49, aic = 670.97 > (forecast <- predict(arima.out,par1)) $pred Time Series: Start = 33 End = 56 Frequency = 1 [1] 981794.5 484798.7 592541.9 774676.3 1012467.5 512139.1 621118.1 [8] 803191.3 1041197.5 540308.8 649495.6 831558.5 1069600.9 568618.0 [15] 677839.7 859900.9 1097949.3 596950.6 706178.2 888239.1 1126288.6 [22] 625287.2 734515.8 916576.6 $se Time Series: Start = 33 End = 56 Frequency = 1 [1] 49870.89 60422.28 72016.28 81219.29 125891.09 147916.70 169917.59 [8] 188539.85 235920.50 265974.86 295577.46 321692.17 372258.03 408513.99 [15] 444178.97 476467.12 530304.83 571753.32 612571.98 650170.24 707228.82 [22] 753234.72 798608.59 840918.03 > (lb <- forecast$pred - 1.96 * forecast$se) Time Series: Start = 33 End = 56 Frequency = 1 [1] 884047.56 366371.03 451389.95 615486.50 765720.97 222222.32 [7] 288079.61 433653.21 578793.32 18998.09 70163.78 201041.89 [13] 339975.12 -232069.41 -192751.06 -73974.63 58551.86 -523685.87 [19] -494462.87 -386094.53 -259879.93 -851052.84 -830757.06 -731622.70 > (ub <- forecast$pred + 1.96 * forecast$se) Time Series: Start = 33 End = 56 Frequency = 1 [1] 1079541.5 603226.4 733693.8 933866.1 1259214.0 802055.8 954156.6 [8] 1172729.4 1503601.7 1061619.6 1228827.4 1462075.2 1799226.6 1369305.4 [15] 1548430.5 1793776.5 2137346.8 1717587.2 1906819.3 2162572.8 2512457.0 [22] 2101627.3 2299788.6 2564776.0 > if (par2 == 0) { + x <- exp(x) + forecast$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] 704177.0 310154.0 310302.0 435329.0 497822.0 265224.0 301331.0 [8] 426815.0 510865.0 300614.0 358423.0 502547.0 596516.0 342535.0 [15] 377994.0 507900.0 677901.0 351931.0 442446.0 597344.0 754476.0 [22] 426933.0 450376.0 642635.0 827784.0 469829.0 526038.0 710645.0 [29] 939567.0 462391.0 562784.0 745282.0 981794.5 484798.7 592541.9 [36] 774676.3 1012467.5 512139.1 621118.1 803191.3 1041197.5 540308.8 [43] 649495.6 831558.5 1069600.9 568618.0 677839.7 859900.9 1097949.3 [50] 596950.6 706178.2 888239.1 1126288.6 625287.2 734515.8 916576.6 > (perc.se <- (ub-forecast$pred)/1.96/forecast$pred) Time Series: Start = 33 End = 56 Frequency = 1 [1] 0.05079565 0.12463374 0.12153788 0.10484287 0.12434087 0.28882137 [7] 0.27356729 0.23473841 0.22658573 0.49226452 0.45508770 0.38685450 [13] 0.34803453 0.71843308 0.65528613 0.55409537 0.48299573 0.95778995 [19] 0.86744673 0.73197657 0.62792862 1.20462199 1.08725860 0.91745522 > postscript(file="/var/wessaorg/rcomp/tmp/1gc511449167190.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$pred , lwd=2 , col ='white') > box() > par(opar) > dev.off() null device 1 > prob.dec <- array(NA, dim=fx) > prob.sdec <- array(NA, dim=fx) > prob.ldec <- array(NA, dim=fx) > prob.pval <- array(NA, dim=fx) > perf.pe <- array(0, dim=fx) > perf.spe <- array(0, dim=fx) > perf.scalederr <- array(0, dim=fx) > perf.mase <- array(0, dim=fx) > perf.mase1 <- array(0, dim=fx) > perf.mape <- array(0, dim=fx) > perf.smape <- array(0, dim=fx) > perf.mape1 <- array(0, dim=fx) > perf.smape1 <- array(0,dim=fx) > perf.se <- array(0, dim=fx) > perf.mse <- array(0, dim=fx) > perf.mse1 <- array(0, dim=fx) > perf.rmse <- array(0, dim=fx) > perf.scaleddenom <- 0 > for (i in 2:fx) { + perf.scaleddenom = perf.scaleddenom + abs(x[nx+i] - x[nx+i-1]) + } > perf.scaleddenom = perf.scaleddenom / (fx-1) > for (i in 1:fx) { + locSD <- (ub[i] - forecast$pred[i]) / 1.96 + perf.scalederr[i] = (x[nx+i] - forecast$pred[i]) / perf.scaleddenom + perf.pe[i] = (x[nx+i] - forecast$pred[i]) / x[nx+i] + perf.spe[i] = 2*(x[nx+i] - forecast$pred[i]) / (x[nx+i] + forecast$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$pred[i]) / locSD) + } > perf.mape[1] = abs(perf.pe[1]) > perf.smape[1] = abs(perf.spe[1]) > perf.mape1[1] = perf.mape[1] > perf.smape1[1] = perf.smape[1] > perf.mse[1] = perf.se[1] > perf.mase[1] = abs(perf.scalederr[1]) > perf.mase1[1] = perf.mase[1] > for (i in 2:fx) { + perf.mape[i] = perf.mape[i-1] + abs(perf.pe[i]) + perf.mape1[i] = perf.mape[i] / i + perf.smape[i] = perf.smape[i-1] + abs(perf.spe[i]) + perf.smape1[i] = perf.smape[i] / i + perf.mse[i] = perf.mse[i-1] + perf.se[i] + perf.mse1[i] = perf.mse[i] / i + perf.mase[i] = perf.mase[i-1] + abs(perf.scalederr[i]) + perf.mase1[i] = perf.mase[i] / i + } > perf.rmse = sqrt(perf.mse1) > postscript(file="/var/wessaorg/rcomp/tmp/265w81449167190.ps",horizontal=F,onefile=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > plot(forecast$pred, pch=19, type='b',main='ARIMA Extrapolation Forecast', ylab='Forecast and 95% CI', xlab='time',ylim=c(min(lb),max(ub))) > dum <- forecast$pred > dum[1:par1] <- x[(nx+1):lx] > lines(dum, lty=1) > lines(ub,lty=3) > lines(lb,lty=3) > dev.off() null device 1 > > #Note: the /var/wessaorg/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/wessaorg/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Univariate ARIMA Extrapolation Forecast',9,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'time',1,header=TRUE) > a<-table.element(a,'Y[t]',1,header=TRUE) > a<-table.element(a,'F[t]',1,header=TRUE) > a<-table.element(a,'95% LB',1,header=TRUE) > a<-table.element(a,'95% UB',1,header=TRUE) > a<-table.element(a,'p-value
(H0: Y[t] = F[t])',1,header=TRUE) > a<-table.element(a,'P(F[t]>Y[t-1])',1,header=TRUE) > a<-table.element(a,'P(F[t]>Y[t-s])',1,header=TRUE) > mylab <- paste('P(F[t]>Y[',nx,sep='') > mylab <- paste(mylab,'])',sep='') > a<-table.element(a,mylab,1,header=TRUE) > a<-table.row.end(a) > for (i in (nx-par5):nx) { + a<-table.row.start(a) + a<-table.element(a,i,header=TRUE) + a<-table.element(a,x[i]) + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.element(a,'-') + a<-table.row.end(a) + } > for (i in 1:fx) { + a<-table.row.start(a) + a<-table.element(a,nx+i,header=TRUE) + a<-table.element(a,round(x[nx+i],4)) + a<-table.element(a,round(forecast$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/wessaorg/rcomp/tmp/35qzu1449167191.tab") > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Univariate ARIMA Extrapolation Forecast Performance',10,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,'sMAPE',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.element(a,'ScaledE',1,header=TRUE) > a<-table.element(a,'MASE',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.smape1[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.element(a,round(perf.scalederr[i],4)) + a<-table.element(a,round(perf.mase1[i],4)) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/wessaorg/rcomp/tmp/4ogva1449167191.tab") > > try(system("convert tmp/1gc511449167190.ps tmp/1gc511449167190.png",intern=TRUE)) character(0) > try(system("convert tmp/265w81449167190.ps tmp/265w81449167190.png",intern=TRUE)) character(0) > > > proc.time() user system elapsed 1.019 0.182 2.801