Tagged Questions

Seasonality refers to the recurring fluctuation around the mean of a time-series for a given period of time, usually a calendar year.

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18 views

Compute frequency of time series

I would like to understand how is the period or frequency of time series calculated. Shouldn't a weekly repeating pattern be of the frequency 7, and the yearly pattern be 365? I ask because the paper ...
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1answer
64 views

Weekly seasonality model by ARIMA+Fourier terms+dummies

This is a long post but it is not conceptually difficult. Please bear with me. I am trying to model the seasonality of production volume of an agricultural commodity. I do not care about the ...
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13 views

modeling a proportion with seasonality removed

I have a time series of proportions that typically fall in the 0.01-0.05 range. I had intended to use GLM to model these proportions, but I ran into trouble when I needed to first remove a strong ...
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45 views

STL-decomposition of a time series with deterministic trend and seasonality

what is the relationship between STL-decomposition and deterministic components of time series like trend or seasonality? I have a time series with deterministic trend and deterministic seasonality, ...
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40 views

Can I remove seasonality from a cross-correlation using LOESS?

I’m attempting to determine if relationships between two abiotic variables: river discharge (flow; $m^3/s^{-1}$) , temperature ($^oC$) and a response: juvenile fish biomass ($g/m^2$) have any ...
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23 views

Using SAR and SMA in the same regression

From this webpage: http://people.duke.edu/~rnau/arimrule.htm, of the Duke University: Rule 13: If the autocorrelation at the seasonal period is positive, consider adding an SAR term to the model. ...
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2answers
221 views

very high frequency time series analysis (seconds) and Forecasting (Python/R)

I have high frequency data (observations separated by seconds), which I'd like to analyse and eventually forecast short-term periods (1/5/10/15/60 min ahead) using ARIMA models. My whole data set is ...
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2answers
93 views

Seasonal adjustment for a series that has already been adjusted

A dataset I am working with (from the OECD), for harmonised unemployment seems to be seasonally adjusted: The unemployment rates shown here are calculated as the number of unemployed persons as a ...
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2answers
74 views

How to check if a series has been seasonally adjusted correctly?

I am a bit puzzled here and would like to understand how to check if a time series has been seasonally adjusted correctly using X-13 Arima. After seasonally adjusting time series using X13-ARIMA ...
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1answer
33 views

Standard model for time series with (possibly multiple) seasonal component

Suppose you have a "new" way to formalize a seasonal component and you want to see if your method is worth to be published. My idea is to take a "standard" model for time series with seasonal ...
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51 views

Time-series detection algorithm for multi-seasonal data using Python

My data: I have two seasonal patterns in my hourly data... daily and weekly. For example... each day in my dataset has roughly the same shape based on hour of the day. However, certain days like ...
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3answers
79 views

Transforming time series to compensate for change in variance

I have a time series (shown below) that comes from a sensor whose calibration was changed in the middle of last year. As part of this change, the sensor's reading of the variance (or volatility) of ...
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53 views

Four tricky time series questions with a “seasonal twist”

A ski-hotel has the most guests in the third quarter in every year (check the data below after the four questions). Can you answer these four questions (every year has 4 values, the first is quarter ...
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18 views

using decompose function for high frequency data

I have a table as Date Time Energy 1/1/2008 10:30 0.89 1/1/2008 11:30 0.76 and so on. The data is recorded for every half an hour. I wish to ...
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1answer
37 views

Seasonal vs non-seasonal coefficients in R ARIMA

Let's say I have the two following ARIMA models: ARIMA(7,1,1) (no seasonality) ARIMA(6,1,1)(1,0,0)7 (seasonality of period 7). Are they conceptually the same? If so, why is that when I model ...
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0answers
77 views

Arima function doesn't consider seasonal components

Currently trying to fit several models to some data sets in order to find an accurate enough one, I ran into some difficulties with the Arima function of the ...
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0answers
110 views

Multiple and long seasonality for a SARIMA model in R

While working on a big data set made of 10-minutes-points of information - i.e. 144 points per day, 1008 per week and ...
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1answer
161 views

Filtering using a SARIMA model in R

I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to ...
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0answers
44 views

Holt Winters Initialization Issue

I am using an additive seasonal Holt-Winters model to compute confidence band of my data. I followed the HW initialization process described by Rob J Hyn­d­man. The confidence band is derived by ...
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2answers
159 views

R: Fitting a model with periodic, nonlinear and categorical components

Can anyone give me some advice on how to fit a model with linear (some categorical), non-linear and time series components in R? I don't want to use a non-parametric model like a Loess smooth or ...
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0answers
47 views

How to check if data needs to be seasonally differenced in MATLAB

I am forecasting data using ARIMA. I would like to know if there is any test to check if seasonal differencing is needed in the ARIMA model. I know R uses Canova Hansen test, but does MATLAB provide ...
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0answers
35 views

Can seasonality be detected / explored with principal components analysis?

I have a rainfall data consisting of around 95 years for the rows and twelve months of the year for columns. So this is a 95x12 matrix, not a column vector. Can I derive any idea about the months to ...
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1answer
122 views

What econometric model to forecast a seasonal commodity demand while incorporating exogenous Information?

I have a monthly commodity demand and try to forecast this series for the next 5 years. Here is a plot: Of course, the natural approach to forecast this seasonality would be some kind exponential ...
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1answer
73 views

How to perform seasonal adjustment to a time series?

Assume following data set representing each month of the year 2013 with the corresponding consumption of natrual gas to heat my flat and the respective mean temperature. How can I seasonal ...
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1answer
99 views

time series — seasonal adjustment

I'm concerned to seasonal adjustment procedure and want to know the criteria for this purpose can anyone please give me the answer of the following question. what should be the criteria for seasonal ...
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0answers
44 views

DLM Trigonometric seasonality vs trend

I am working with a structural time series model in R using dlm that has both a stochastic (slope and intercept) local trend and two trigonometric seasonal components (sin and cos pairs). I have ...
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1answer
110 views

dlmForecast function in dlm R package forecasting constant values for seasonal series

I have a question regarding the use of the dlm CRAN package for forecasting values of a seasonal time series. I've built a dlm model combining a stochastic local level model with a stochastic ...
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75 views

Interpretation of TBATS Components

I've searched everywhere for this answer, and come up empty handed. I'm building a forecasts model for interface traffic reported in 5 minute intervals over a 1 year period. To account for ...
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1answer
40 views

Testing the influence of monthly fluctuations

Let's say we have a dataset that looks like this: ...
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1answer
64 views

How to calculate the next year's January hourly forward prices for an asset given the historical hourly prices?

I have an exercise given to me during the recruitment process which asks to calculate the next year's January hourly forward prices for an asset given the historical hourly prices of that asset and ...
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0answers
44 views

Normalizing weekly sales fluctuations in the overall market

I have a rudimentary question regarding how to "normalize" a set of time series data, and would appreciate your thoughts. To make it very simple, the hypothetical situation is as follows: Suppose we ...
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0answers
168 views

Time Series: Seasonality and trend

I am interested in financial time series and I have a small question regarding the use of the forecast package. The time series I am interested in is a monthly one and present clear evidences of ...
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0answers
34 views

Is there seasonality or trend in the attached time series graph

Is there trend or seasonality in the attached time series graph ?
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2answers
298 views

How to calculate time series seasonality index in R?

In R, I use the decompose method on my time series object and it gives me seasonal + trend + random component. For seasonal component, it gives me absolute value which is good but I would also like to ...
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0answers
77 views

Trying to use Holt-Winters and SARIMA to fit this data

I want to find a time series model for monthly precipitation data. I checked SARIMA and Holt-winters seasonal multiplicative models. I can't find an appropriate model. These models underestimate ...
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0answers
15 views

Times series and starting point incidence

I'd like to modelize the height of a plant which depends on Its aging (in months). The month it has been planted. For instance a plant of 3 months is higher if it has been planted in march than ...
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0answers
42 views

How remove variations in a time series X caused by another time series Y?

I have a time series on a monthly basis (a commodity) of which much variation is caused by the weather. I want to adjust this commodity for weather changes. I use Heating degree day as a proxy for ...
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1answer
53 views

Strange results in Holt forecast

I am trying to understand what could be causing these strange values to appear on applying a Holt model to a vector. The data represents actual sales of an item. ...
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1answer
87 views

Testing for a drop in bookings

We're developing real-time alerts for fine-grained (every 5 minutes) time series bookings data, and I'm looking for the best approach to doing this. Idea is that if over the past 10–15 minutes (say) ...
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1answer
326 views

time series is obviously periodic, but seasonal decomposition is not working in R

my time series is obviously periodic, but the seasonal decomposition using stl() is not working in R: ...
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1answer
365 views

Visualizing large dataset with multiple subgroups

I have a large data frame in the following form (I apologize for this formatting): ...
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0answers
37 views

Using day length and rate of change of day length in linear regression

I have a time series in which samples were collected approximately monthly over ten years. I have wanted to identify whether a number of bacterial species were seasonally variable and whether they ...
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0answers
31 views

Non-fixed seasonality in time series

I believe some time series data I am looking at shows seasonality according to general elections (UK, so this can be 4 or 5 years). How do I remove this effect in R?
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44 views

Repeated measures analysis… or not?

Not sure if dealing with repeated measures analysis...? Measuring X at 3 seasons (summer, winter, spring/fall) during a year – might be high summer/low winter, high winter/low summer, consistently ...
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0answers
99 views

Periodogram vs. spectral density diagram of a time series

Could someone explain to me the difference between a periodogram and spectral density diagram? The first diagram is produced with this block of code: ...
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0answers
35 views

What is usefulness of time series decomposition if building a multivariate model?

I am at the early stages of building a panel regression model of sales data. I know my final model dataset will consist of log sales, control variables and log media variables. I am planning to use ...
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0answers
44 views

On the Fly Time Series modeling

I'm dealing with a system which monitors and records a time series (half hourly) which I plan to use to build a double seasonal time model (if possible using something that already exists, such as ...
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41 views

X12 Seasonal adjustment: levels, differences or growth rates?

So far I used X12 casually for informative analysis etc. But now that I require precision - I stumbled upon a problem: What transformation of data is intended for most accurate results? I can ...
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0answers
91 views

Trend and seasonality tests for a univariate time series

I am working with a batch of about 1000 univariate time series in R . For every time series, I have to perform following tasks , before deciding upon a model be it ARIMA, TAR or Holt Winter's Model ...
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0answers
47 views

Seasonal Data with Yearly “Step” Trend

Trying to plan for upcoming inventory needs for a clothing company. There is a strong seasonal component to the data. At the beginning of the year, sales are up; at the end, sales are down. Each ...