Questions tagged [seasonality]

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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10 views

What if my seasonal decompose is completely coloured?

I have a dataset for solar output, at day the values are positive but at night the values are 0. When i try the seasonal_decompose() function It gives me the following result: Im pretty sure the ...
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Independence of consecutive data points in a Seasonal ARIMA model with all zero non-seasonal variables?

I have built a SARIMA model for forecasting monthly income data in python using the pmdarima library. It gives a confidence interval for each monthly prediction. I want to combine the data til the end ...
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Is it possible to add daily and monthly seasonality to a multivariate model?

Would I be able to add daily and monthly seasonality to a multiple regression or other multivariate model? For instance I have a dataset for solar output which looks like this: The solar outturn ...
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STL decomposition of a daily time series (only business days)

I'm currently working with a daily (business days) time series which has a monthly seasonality and an overall positive trend over the last two years. I want to estimate the error component of the time ...
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How to scale chart values to start from 100 and end to 100

First time writing this so forgive my ignorance. Anyway, I'm trying to scale the S&P500 daily closing values to make them start from 100 and end near 100, hope it makes sense. So let's say we have ...
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Multiple Seasonal Trend Decomposition

I have been reading work on Time-Series Data. It seems that multiple seasonality makes life really hard for data scientists. I was wondering if anyone could point me towards some reading or explain ...
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Shift identification and correction in time series with seasonal variation

I am working on an environmental time series characterized by seasonal variations, in this case, nutrient concentrations. Due to changes in methodologies, the baseline has shifted at some period ...
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What is wrong with fitting a second seasonal term in ARIMA

Let's say you are fitting a seasonal ARIMA model with regressors with some daily data and your best model candidate is: ARIMA(1,0,0)(2,0,0)[7]. By 'best' I mean a model that simultaneously deals with ...
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How can I “remove” variability in my data that is due to periodic signals, such as Temperature, RH and Solar radiation?

I have a measured signal that I know is affected by some periodic signals, such as Temperature, RH and Solar radiation. Is there a way that I can "remove" their influence from my measured ...
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Looking for an advice regarding finding the best time series model

I have weekly time series data, which looks like follows: The data seems to be non-stationary. Then I took the first difference of the data. Now the data seems to be more stationary. After that, I ...
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Forecasting Quarterly Time Series Data?

I've gotten very confused reading all the articles about forecasting time series data with seasonality on Medium and other sources. It seems that many provide useful background and importance of ...
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Why should we remove trend and seasonality before forecasting?

Why should we remove trend and seasonality (hence, making a series stationary) before forecasting? If time series has a particular trend/seasonality, shouldn't we incorporate that model instead ...
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Seasonailty in time series: adding seasonal lags versus detrending using Fourier Transform?

There are a number of posts on Cross-Validated about seasonality in time-series and detrending a dataset, in the context of classical time series models like AR, MA, ARIMA, etc. But my question was ...
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Seasonal adjustment of quarterly time series: Direct method or indirect method based on monthly values as input?

Suppose a time series of quarterly seasonally adjusted estimates is desired from a quarterly original time series that is the temporal aggregate of a monthly original time series. These estimates can ...
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Why is there variation in the trend-cycle component despite using additive decomposition?

So, I've been reading Rob Hyndman's Forecasting book, and I'm now at the part of time series decomposition. Hyndman states that we use additive decomposition if the trend-cycle component or the ...
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Seasonal adjustment: Transfer of historical model to forecast values

I have a monthly time series provided by an external source, which contains both historical values and forecasts. I'd like to seasonally adjust the time series using X-13ARIMA-SEATS in R (package &...
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Why does the STL function in R identify a seasonal component that increase with each cycle when robust parameter is set to TRUE?

I am working with weekly time series data in R. I want to check my data for seasonality and trend and I am using the stl() function in R. This is my data. ...
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Time Series & Stationarity

I know that Seasonality and Trend violate the principle of stationarity, so before modelling the time series with many statistical models like AR, MA and ARMA it's important to remove those components ...
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Seasonal differencing and auto.arima

I've started studying different forecasting algorithms, using R. As an example, maybe not the best one (due to lack of seasonality), I am using Facebook stocks. Training set: ...
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105 views

Seasonal term not significant after differencing

I am working with a time series (weekly frequency), $\{y_t\}$. I have 250 points in total. The time series is not stationary according to KPSS test (it is stationary according to ADF) at 5%. In any ...
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How are values for expected probabilities for chi square null hypothesis calculated? Is there a package in Python/formula?

I am trying to prove seasonality and I came across this post: Is this an appropriate method to test for seasonal effects in suicide count data? The author "computed the expected probabilities for ...
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How to present seasonality in time series?

I study the temperature related mortality using daily data of 25 years and I am confused about the effect of seasonality. In many papers, the only variable is used to present seasonality is Time (Time=...
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Is there any seasonal VAR or VARMA algorithm?

As I understand, VAR algorithms doesn't work with seasonal data. I mean, seasonal components are not in the autoregression equation. But, if I want find dependencies between several time series, that ...
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Why is a SARIMA model multiplicative?

Intuitively, I don't understand the purpose behind the multiplicative nature of the seasonal and non-seasonal components. Rather, why aren't they additive? The current formulation is something like $\...
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statsmodels seasonal_decompose(): What is the right “period of the series” in the context of a list column (constant vs. varying number of items)

Assume having a list column so that your time series is nested, see https://stackoverflow.com/questions/63246938/convert-pandas-df-with-data-in-a-list-column-into-a-time-series-in-long-format for ...
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Seasonality in data

I have two monthly series - number of people employed and number of people unemployed. Both the series are not seasonal candidates, i.e., they don't have seasonality. I also have access to these two ...
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Non seasonal and seasonal parameters of this time-series

The ACF and PACF of a stationary timeseries "myts" is as given below: ...
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Lessening The Impact of Applied Seasonal Factors on Data w/ a Growth Rate [closed]

I'm working on a forecasting project, where I'm trying to forecast out 12 months. I used a monthly seasonal dummy model to estimate seasonal factors. After attaining the seasonal factors I seasonally ...
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Multivariate time series forecasting with trend and seasonality

I'm working on a dataset which has city and product level sales for the past 3 years - on a daily level. My objective is to forecast the sales for the next 3 months - for a given city, product and ...
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Writing the general form for a SARIMA(p,d,q)x(P,D,Q)

I am in an undergraduate intro to time series course, and we have just begun to learn about SARIMA models (nothing that I am about to ask is for marks). My professor gave us some examples, and I will ...
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Time series decomposition: should seasonality be tested prior to decomposition?

Some time series decomposition methods (e.g. decompose and stl), do not perform any statistical test to test the presence of ...
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44 views

Seasonal linear regression in R: p-value

I'm trying to understand how to plug seasonality into a linear regression. I started with this simple code ...
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How to De-seasonalize a time series based on trading days? [duplicate]

I have a time series of monthly data points with a corresponding cost. Within these months, if you strip out the trend, I believe the cost to be highly correlated to the number of trading (or business ...
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Remove Seasonality from Days in Month?

I have a time series of monthly costs that has trended both up and down over the past 3 years. Because it is business-day driven, we would expect to see upticks in months with 22 business days and ...
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time series: What is the performance difference between ARIMA models and Bayesian Structural Time Series models

I have been looking at ARIMA/SARIMA models and some of the Bayesian Structural Time-Series models lately. The formulation of the two models does not seem that different but the fitting method of ...
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Statsspace SARIMA seasonal_order

I have daily data, with non-nan values. I am using statsspace api. Question: Why can't you have a seasonal period of 7 when you have lags of 7? Here is sarima = sm.tsa.statespace.SARIMAX(tra,order=(7,...
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What is the difference between single seasonal pattern and multiple one?

My problem is most probably trivial. Many books and articles present informations about single and multiple seasonal patterns or single/multiple seasonality. Unfortunately I can't understand the ...
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Contradictory KPSS and ADF Test Results: Look for Seasonality Using R

I'm working with a time-series from January 2016 to March 2020. My goal is to identify seasonality in the data and perform a Seasonal Dummy model regression to capture monthly seasonality. My first ...
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1answer
88 views

How to interpret seasonal component of a time series decomposition plot?

I would like to know how to interpret the graph of the seasonal component of the time series decomposition plot. For example, for this chart: What does zero mean on the seasonal component graph? ...
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Stationary seasonal model

Given Box-Jenkins seasonal model on p.310 $$\phi_p(B)\Phi_P(B^s)\triangledown^d\triangledown_s^Dz_t =\theta_q(B)\Theta_Q(B^s)a_t$$ I want to show that the $z_t$ process is stationary (or not). How ...
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How do I interpret lags with opposite sign in ARIMA?

I was running an ARIMA model and got something I'm a bit confused. So I ran an ARIMA just like the result below is showing. The thing is, I have L1 and L2 really close and with opposite signs. ...
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Determining seasonality of dependent binary response variables

This question is related to this one: How to determine seasonality of a binary variable? I have a multivariate binary time series. That is, say I have $y_1 \in$ {0, 1}$^N$, $y_2 \in$ {0, 1}$^N$ I ...
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Examples of state space models that can't be transformed into ARIMA models

As my question illustrates, we know the state space model (SSM) is more general compared with ARIMA, and every ARIMA model could be transformed into a state space form, and some SSMs could be ...
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Why does my SARIMA model not capture the seasonality?

I have sales data over 100+ days. Every Saturday has 0 sales. For the other days there is also a clear seasonality. Tuesday always has the highest sales, and the order in which the other days follow ...
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Backing out an original time series from one that has been converted into day-of-week anomalies from a baseline

Consider the following time series: ...
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Time Series Analysis: Use differencing vs. estimating seasonal patterns with sinusoidal components to remove seasonality

My goal is to remove seasonality of a time series such that I find the underlying stationary process. As far as I can understand, one can remove seasonality in a time series by either differencing w.r....
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Component contributions in Additive Model Time Series

I have trained a model for forecasting time series in a greedy procedure: Fit the Trend component T(t) of the series on the original signal y(t) Fit a Cyclical/Seasonal S(t) component of the series ...
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Why does the same ratio of noise variances generate the same decomposition result with the Kalman filter?

I have been struggling with this problem for a long time and hope there is someone help me out!!! The model is the structural state space model: $$ y_t = T_t + S_t + I_t \qquad I_t \sim N(0, \sigma_I^...
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Step 3 of Classical Time Series Decomposition

I'm learning about the classical decomposition from here and step 3 of it seems to me a bit obscure To estimate the seasonal component for each season, simply average the detrended values for ...
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Why SARIMA has better accuracy on weekly dataset than on daily one?

I am studying time series right now. So, I have this dataset. My aim is temperature prediction. I've found out that ARIMA can't work with long period seasonality. So, I've resampled daily dataset ...

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