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

learn more… | top users | synonyms

0
votes
0answers
10 views

Time series analysis for discontinous years

i have a data of measured values of pH in river water for two years 2004 and 2009 for each month. I want to see seasonal trend ie: are there similarity in summer , winter and monsoon for both year. ...
0
votes
1answer
23 views

daily data series that exist seasonal component

I've a daily dataset(n=76), i try to find the best ARIMA model for forecasting purposes. When i check the correlogram (ACF), i found that there is a wave like pattern and this told me my data presence ...
0
votes
1answer
27 views

Seasonal Indexes adding to zero

In the textbook Forecasting: principles and practice by Hyndman and Athana­sopou­los, in the Classical Decomposition (Sec 6.3), in step 3 of the additive decomposition algorithm, the authors state ...
0
votes
1answer
22 views

Stationarity and seasonality of residuals

Why is it necessary to evaluate stationarity and seasonality of model residuals? Or is it? The model in question is an OLS model that represents a relationship between Y and a bunch of economic ...
0
votes
0answers
17 views

How to remedy seasonality in a multiple regression model

I am trying to build an economic model using multiple regression, and I am not sure how to remedy seasonal effects. I am collecting data across several different variables, and building three models ...
3
votes
0answers
25 views

Seasonal Kendall test and the Mann-Kendall test

I am trying to detect trends using non-parametric methods but I'm a little confused as to when you should apply the Seasonal Kendall test. Don't get me wrong I know you apply it when you have ...
1
vote
0answers
40 views

Automatic periodicity detection in noisy multi-variate time series data

What techniques can i use for automatic periodicity detection specifically in noisy "multi-variate" time series data? By multi-variate time series, i mean that i have multiple (>1000) variables ...
2
votes
1answer
67 views

markov chain with probability trends

I have clients with debts that can pass from states own 1 bill, own 2 bills, own 3 bills, leave the service, new debtors and owe nothing. So I could calculate the probabilities of being in state ...
1
vote
0answers
33 views

Using seasonality in a model

Suppose you are modeling sales of a prepackaged good and suppose there are seasonal periods in the time series. Also suppose that the brand of the prepackaged good you are modeling comprises the ...
0
votes
0answers
14 views

Dealing with seasonality when doing dimensionality reduction

I want to perform dimensionality reduction (in particular, PCA) on a data set that is highly seasonal. One approach that I came across when researching this is "seasonal PCA", where you split your ...
3
votes
2answers
109 views

test of seasonality

I want to test if my series is seasonal, here pacf and the series I'm working on monthly data. is there a test under R seasonality?
2
votes
1answer
36 views

Seasonal adjustment, any major organisation uses STL?

X12 is used by the US government and TRAMO-SEATS by EU governments. Is there any major organisation that uses STL? Since X12 is more widely known than STL, I would like some supporting arguments ...
1
vote
1answer
27 views

How to remove level shifts and pulses from time series?

I am interested in describing seasonal patterns in several time series and then seeing if they are related. My approach is to fit regression models with an indicator variable for each season which ...
1
vote
2answers
45 views

Does a seasonal time series imply a stationary or a non stationary time series

If I have a time series that has got seasonality, does that automatically make the series non stationary? My intuition (probably off) is that it does not. Seasonality means that the series goes up ...
3
votes
0answers
41 views

Seasonal ARIMA Forecast

I'm studying ARIMA at the moment with application to seasonal data sets. R lets you forecast using selected models but I'm just wondering what formula is used to compute these forecasts. For example, ...
3
votes
1answer
84 views

Why should we remove seasonality from a time series?

While working with time series, we sometimes detect and remove seasonality using spectral analysis. I am a real beginner in time series, and I am confused why one would want to remove seasonality from ...
1
vote
1answer
76 views

Choosing the right ARIMA model in MATLAB

I have a problem regarding choosing the right model for historical data that I need to forecast. when drawing the ACF and PACf, a clear seasonality appears at lag 24 as you can see in the figure: I ...
0
votes
0answers
18 views

Correlation parameter with small nonlinear sample like hour / day of week?

I have a dataset of magnitudes Y which gives the scale / magnitude of some event. Each event is also timestamped: Y = [(time1,mag1), (time2,mag2),...] I want to ...
1
vote
2answers
72 views

SARIMA model equation

Can someone please tell me in the book here how is this SARIMA equation obtained? I know that AR(1)=$Y_t=\alpha_1Y_{t-1}+e_t$ Non Seasonal AR(1)=> $Y_t(1-\alpha_1B)=e_t$. My question is what ...
1
vote
0answers
24 views

How to analyze the effects of air pollution separately for the warm season and the cool season

In the model for main effect, we used the R code: ...
4
votes
2answers
117 views

raw data stationary but still can see trend and seaonality is stl

So I am looking at unit sales data. I am doing a univariate time series analysis. My data is weekly sales numbers figures, spanning 2012- 2014 (obviously no till end 2014). I first ploted my response ...
0
votes
0answers
9 views

Stationarity & seasonality in R [duplicate]

I have a weekly number of items sold from 2012 to 2014. 2014 not being complete. So bassically two periods. I am looking at seasonality and stationarity of the response variable (# of items sold) I ...
0
votes
0answers
22 views

What should I be wary of when dealing with daily estimates from monthly data (linear regression)?

I am performing a regression where I have data from a multitude of sources that are time stamped differently (either monthly or daily). My dependent variable, Y, is on a monthly time series. My goal ...
0
votes
0answers
22 views

Multiple regression for curvilinear seasonal data

This question is related to How to analyze curvilinear seasonal data I have data like following: ...
0
votes
2answers
81 views

How to analyze curvilinear seasonal data

I have monthly values of a continuous variable from many subjects, the mean of which on plotting show curvilinear pattern with lower values in summer months. How can I analyze and report the ...
3
votes
1answer
48 views

Using quadratic programming to fit a piecewise linear model plus seasonality

I am reading this paper on fitting an L1TF model to data using quadratic programming. Section 7.4 states how one could add seasonality to the model however it doesn't go very far into it. I am trying ...
0
votes
1answer
20 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 ...
2
votes
1answer
154 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 ...
1
vote
0answers
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 ...
0
votes
0answers
78 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, ...
0
votes
0answers
69 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 ...
0
votes
0answers
41 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. ...
2
votes
2answers
496 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 ...
1
vote
2answers
111 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 ...
2
votes
2answers
90 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 ...
0
votes
1answer
54 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 ...
0
votes
0answers
104 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 ...
3
votes
3answers
100 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 ...
0
votes
0answers
59 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 ...
0
votes
0answers
20 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 ...
2
votes
1answer
55 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 ...
0
votes
0answers
85 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 ...
2
votes
0answers
198 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 ...
1
vote
1answer
216 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 ...
0
votes
0answers
51 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 ...
2
votes
2answers
186 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 ...
1
vote
0answers
99 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 ...
0
votes
0answers
38 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 ...
1
vote
1answer
153 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 ...
1
vote
1answer
91 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 ...