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 | :: Variance Reduction Matrix - Free Statistics Software (Calculator) :: | |
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All rights reserved. The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.
This free online software (calculator) computes the Variance Reduction Matrix that can be used to determine which combination of seasonal and non-seasonal differencing is able to reduce the variance most. In most cases, the combination with the lowest variance corresponds to the optimal degree of seasonal and non-seasonal differencing that induces stationarity of the mean.
Click here to edit the underlying code of this R Module.Enter (or paste) your data delimited by hard returns. Click here to edit the underlying code of this R Module.
| Cite this software as: | | Wessa P., (2008), Variance Reduction Matrix (v1.0.1) in Free Statistics Software (v1.1.22-r6), Office for Research Development and Education, URL http://www.wessa.net/rwasp_variancereduction.wasp/ | | | The R code is based on : | | | Borghers, E, and P. Wessa, Statistics - Econometrics - Forecasting, Office for Research Development and Education, http://www.xycoon.com/ | | | | | | | | | | | | | |
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| Source code of R module | | 1 | par1 <- as.numeric(par1) | | 2 | n <- length(x) | | 3 | sx <- sort(x) | | 4 | load(file="createtable") | | 5 | a<-table.start() | | 6 | a<-table.row.start(a) | | 7 | a<-table.element(a,"Variance Reduction Matrix",6,TRUE) | | 8 | a<-table.row.end(a) | | 9 | for (bigd in 0:2) { | | 10 | for (smalld in 0:3) { | | 11 | mylabel <- "V(Y[t],d=" | | 12 | mylabel <- paste(mylabel,as.character(smalld),sep="") | | 13 | mylabel <- paste(mylabel,",D=",sep="") | | 14 | mylabel <- paste(mylabel,as.character(bigd),sep="") | | 15 | mylabel <- paste(mylabel,")",sep="") | | 16 | a<-table.row.start(a) | | 17 | a<-table.element(a,mylabel,header=TRUE) | | 18 | myx <- x | | 19 | if (smalld > 0) myx <- diff(x,lag=1,differences=smalld) | | 20 | if (bigd > 0) myx <- diff(myx,lag=par1,differences=bigd) | | 21 | a<-table.element(a,var(myx)) | | 22 | a<-table.element(a,"Range",header=TRUE) | | 23 | a<-table.element(a,max(myx)-min(myx)) | | 24 | a<-table.element(a,"Trim Var.",header=TRUE) | | 25 | smyx <- sort(myx) | | 26 | sn <- length(smyx) | | 27 | a<-table.element(a,var(smyx[smyx>quantile(smyx,0.05) & smyx | | 28 | a<-table.row.end(a) | | 29 | } | | 30 | } | | 31 | a<-table.end(a) | | 32 | table.save(a,file="mytable.tab") |
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To cite Wessa.net in publications use:
Wessa, P. (2008), Free Statistics Software, Office for Research Development and Education,
version 1.1.22-r6, URL http://www.wessa.net/
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