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Classical Decomposition of Time Series by Moving Averages

*The author of this computation has been verified*
R Software Module: /rwasp_exponentialsmoothing.wasp (opens new window with default values)
Title produced by software: Exponential Smoothing
Date of computation: Fri, 10 Dec 2010 17:59:49 +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/10/t12920038838xocrl36ymwj91j.htm/, Retrieved Fri, 10 Dec 2010 18:58:07 +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/10/t12920038838xocrl36ymwj91j.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 «
10 10 10 10 10 9.94 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 10.06 9.94 9.94 9.94 9.94 9.94 9.94 10.06 10.06 9.94 10.06 10.06 10.06 10.18 10.28 10.28 10.18 10.28 10.28 10.28 10.18 10.28 10.28 10.18 10.18 10.18 10.28 10.28 10.18 10.18 10.18 10.18 10.18 10.18 10.28 10.28 10.28 10.18 10.18 10.18 10.28 10.18 10.18 10.28 10.18 10.18 10.18 10.28 10.28 10.28 10.28 10.28 10.28 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.18 10.28 10.28 10.28 10.28 10.28 10.28 10.28 10.28 10.18 10.28 10.28 10.28 10.28 10.18 10.28 10.28 10.28 10.18 10.18 10.28 10.28 10.28 10.28 10.28 10.28 10.28 10.18 10.28 10.28 10.28 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.34 10.34 10.34 10.42 10.42 10.42 10.42 10.34 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.42 10.34 10.34 10.34 10.3 etc...
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time7 seconds
R Server'George Udny Yule' @ 72.249.76.132


Estimated Parameters of Exponential Smoothing
ParameterValue
alpha0.665911538005217
betaFALSE
gammaFALSE


Interpolation Forecasts of Exponential Smoothing
tObservedFittedResiduals
210100
310100
410100
510100
69.9410-0.0600000000000005
710.069.960045307719690.0999546922803134
810.0610.02660629058690.0333937094130921
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1310.0610.05986101368200.000138986317953282
1410.0610.05995356627484.64337252044089e-05
1510.0610.05998448702821.55129718386604e-05
1610.0610.05999481729515.18270490168504e-06
1710.0610.05999826851811.73148190896200e-06
1810.0610.05999942153195.78468128509257e-07
1910.0610.05999980674051.93259527492273e-07
2010.0610.05999993543426.45657785014464e-08
219.9410.0599999784293-0.119999978429320
229.949.98009060823286-0.0400906082328589
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249.949.94447471726453-0.0044747172645323
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32310.7510.7506368120877-0.000636812087655869
32410.7510.7502127515709-0.000212751570945358
32510.7510.7500710778451-7.10778451242788e-05
32610.7510.7500237462880-2.37462879599804e-05
32710.7510.7500079333608-7.9333608233867e-06
32810.7510.7500026504443-2.65044431557726e-06
32910.7510.7500008854829-8.85482865697895e-07
33010.8510.75000029582960.0999997041703917
33110.8510.81659125263380.0334087473662183
33210.8510.83883852297520.0111614770247517
33310.8510.84627107930720.00372892069278841
33410.8510.84875421062080.00124578937915309
33510.8510.84958379614230.000416203857650288
33610.8510.84986095109330.000139048906678596
33710.8510.84995354536464.64546353740047e-05
33810.8510.84998448004231.55199576834519e-05
33910.8510.84999481496125.18503879298748e-06
34010.7510.8499982677384-0.0999982677383642
34110.7510.7834082674709-0.0334082674708522
34210.8510.76116131669720.0888386833027521
34310.8510.82032002092970.0296799790702575
34410.8510.84008426144040.00991573855962002
34510.8510.84668726615510.00331273384492548
34610.7510.8488932538448-0.09889325384475
34710.7510.7830390950787-0.033039095078653
34810.7510.7610379804605-0.0110379804605270
34910.7510.7536876619156-0.00368766191558656
35010.7510.7512320052977-0.00123200529773548


Extrapolation Forecasts of Exponential Smoothing
tForecast95% Lower Bound95% Upper Bound
35110.750411598755110.665281650739610.8355415467706
35210.750411598755110.648133778936010.8526894185742
35310.750411598755110.633474022224810.8673491752854
35410.750411598755110.620457602346310.8803655951639
35510.750411598755110.608631185578810.8921920119314
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/10/t12920038838xocrl36ymwj91j/17kp71292003981.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/10/t12920038838xocrl36ymwj91j/17kp71292003981.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/10/t12920038838xocrl36ymwj91j/27kp71292003981.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/10/t12920038838xocrl36ymwj91j/27kp71292003981.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/10/t12920038838xocrl36ymwj91j/37kp71292003981.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/10/t12920038838xocrl36ymwj91j/37kp71292003981.ps (open in new window)


 
Parameters (Session):
par1 = 12 ; par2 = Single ; par3 = additive ;
 
Parameters (R input):
par1 = 12 ; par2 = Single ; par3 = additive ;
 
R code (references can be found in the software module):
par1 <- 5
if (par2 == 'Single') K <- 1
if (par2 == 'Double') K <- 2
if (par2 == 'Triple') K <- par1
nx <- length(x)
nxmK <- nx - K
x <- ts(x, frequency = par1)
if (par2 == 'Single') fit <- HoltWinters(x, gamma=F, beta=F)
if (par2 == 'Double') fit <- HoltWinters(x, gamma=F)
if (par2 == 'Triple') fit <- HoltWinters(x, seasonal=par3)
fit
myresid <- x - fit$fitted[,'xhat']
bitmap(file='test1.png')
op <- par(mfrow=c(2,1))
plot(fit,ylab='Observed (black) / Fitted (red)',main='Interpolation Fit of Exponential Smoothing')
plot(myresid,ylab='Residuals',main='Interpolation Prediction Errors')
par(op)
dev.off()
bitmap(file='test2.png')
p <- predict(fit, par1, prediction.interval=TRUE)
np <- length(p[,1])
plot(fit,p,ylab='Observed (black) / Fitted (red)',main='Extrapolation Fit of Exponential Smoothing')
dev.off()
bitmap(file='test3.png')
op <- par(mfrow = c(2,2))
acf(as.numeric(myresid),lag.max = nx/2,main='Residual ACF')
spectrum(myresid,main='Residals Periodogram')
cpgram(myresid,main='Residal Cumulative Periodogram')
qqnorm(myresid,main='Residual Normal QQ Plot')
qqline(myresid)
par(op)
dev.off()
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Estimated Parameters of Exponential Smoothing',2,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Parameter',header=TRUE)
a<-table.element(a,'Value',header=TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'alpha',header=TRUE)
a<-table.element(a,fit$alpha)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'beta',header=TRUE)
a<-table.element(a,fit$beta)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'gamma',header=TRUE)
a<-table.element(a,fit$gamma)
a<-table.row.end(a)
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Interpolation Forecasts of Exponential Smoothing',4,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,'Fitted',header=TRUE)
a<-table.element(a,'Residuals',header=TRUE)
a<-table.row.end(a)
for (i in 1:nxmK) {
a<-table.row.start(a)
a<-table.element(a,i+K,header=TRUE)
a<-table.element(a,x[i+K])
a<-table.element(a,fit$fitted[i,'xhat'])
a<-table.element(a,myresid[i])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Extrapolation Forecasts of Exponential Smoothing',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'t',header=TRUE)
a<-table.element(a,'Forecast',header=TRUE)
a<-table.element(a,'95% Lower Bound',header=TRUE)
a<-table.element(a,'95% Upper Bound',header=TRUE)
a<-table.row.end(a)
for (i in 1:np) {
a<-table.row.start(a)
a<-table.element(a,nx+i,header=TRUE)
a<-table.element(a,p[i,'fit'])
a<-table.element(a,p[i,'lwr'])
a<-table.element(a,p[i,'upr'])
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable2.tab')
 





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Software written by Ed van Stee & Patrick Wessa


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