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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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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18 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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28 views
+50

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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8 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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29 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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73 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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37 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
60 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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24 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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40 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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32 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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35 views

Testing the influence of monthly fluctuations

Let's say we have a dataset that looks like this: ...
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1answer
43 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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27 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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116 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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25 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
119 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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63 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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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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40 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
46 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
80 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
144 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
257 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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32 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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24 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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33 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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81 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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33 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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36 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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36 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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68 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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31 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 ...
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90 views

Forecasting time series with trend and seasonality

I have a univariate time series, which has a trend and month seasonality. Traditionally I have been using auto.arima() method in R to model such series. So when I ...
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3answers
79 views

How to prove that one variable's change is influenced by another variable; that is to say, are they related?

I major in bioinformatics. We all know that temperature changes during a year. I find that a disease incidence is really high when temperature is relatively high, while it becomes really low when the ...
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1answer
173 views

Multivariate biological time series : VAR and seasonality

I have a multivariate time series dataset including interacting biological and environmental variables (plus possibly some exogenous variables). Beside seasonality, there is no clear long-term trend ...
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1answer
160 views

How to interpret R stl() output

I want to have a logical interpretation of the results of my stl analysis. ...
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158 views

R - ARIMA model with long seasonal periods - Error: “length of x and xreg does not match”

i want to use an ARIMA model in R for predicting an electrical load on a minutely basis. By examining the ACF I figured out which model could suit. The ACF has shown that the value one day ahead has a ...
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1answer
192 views

ARIMA with difficult seasonality in R

I have non-stationary time series. It has evident trend in means and seasonality. These raw data are measured every second. On the plot of original series I see trend and seasonality about 80,81 ...
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1answer
195 views

Using anomalies to calculate trends of seasonal data

I commonly see people doing trend analysis of (monthly) timeseries data which show a strong inter-annual cycle following this scheme: compute climatological means ("mean January", "mean February", ...
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3answers
152 views

Deterministic components in covariates/exogenous variables in time series models

Actually, I have read a pair of books about time series analysis, but I am still not sure about how to treat deterministic components, like trend and seasonality, in the exogenous variables in a time ...
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1answer
137 views

Creating alert system based on standard deviation and mean: How to deal with small sample size, trends and seasonality?

I'm trying to build a daily alert system to let me know when something unusual has happened in my analytics data that might require further investigation. Right now I'm taking 7 weeks worth of data, ...
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300 views

Problem defining ARIMA order

This is a long post so I hope you can bear with me, and please correct me where I'm wrong. My goal is to produce a daily forecast based on 3 or 4 weeks of historical data. The data is 15 minute ...
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2answers
129 views

Treatment of triple seasonal data

I have a data set of electricity spot prices, which contains three kinds of seasonality: one within 24 hours, one within a week and one within a year. I want to use an R package (...
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2answers
146 views

How to predict demand from historical “continuous” event data (date, lat, lon)?

I am attempting to predict demand for our service, both quantity but maybe more important, location (hotspots). I am by no means an experienced statistician, so I need some help :) I have all the ...
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2answers
1k views

Forecasting hourly time series with daily, weekly & annual periodicity

Major edit: I would like to say big thanks to Dave & Nick so far for their responses. The good news is that I got the loop to work (principle borrowed from Prof. Hydnman's post on batch ...
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72 views

Frequency on Tbats function in R

I have 3 complete years + 4 weeks of weekly time series data, of which one of the years is a leap year. To calculate its frequency should I do (365x2+366)/(3*7)? Thanks!
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2answers
82 views

Seasonality criterion?

I'm working on a model of saving account amounts. It shows a seasonality: On the 1st day of every month the amount always decreases. This is reasonable as people probably need draw money to pay ...
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461 views

Ratio-to-moving average method

I'm working on a model that the data has seasonality. To decompose the seasonal part, I'm looking at wiki page where there's an example using “ratio-to-moving average method”. However, I'm a bit ...
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295 views

Why does auto.arima() give negative output?

This is the dataset on which I am working currently, which is production data. Data: ...