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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ICC for seasonality

Is there a way to calculate icc for seasonal variation? icc would describe how much variation in seasonality that can be explained by different groups' group-specific characteristics.
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Auto.arima application in R with sub-daily data - No seasonality given [duplicate]

I'm working on a R code and my aim is to make forecasts with a model chosen by applying auto.arima function on my data. These are recorded every 6 minutes, so we're dealing with sub-daily data. ...
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Correct seasonality before estimating VECM

I know that for univariate framework, a typical process to deal with seasonality is : detect correct (for instance, withdraw seasonal factors) forecast re-seasonalize the forecasted series (for ...
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Including a “year” effect in an LSTM sequence-to-sequence model for time-series forecasting

I am working on a problem to forecast some climate sensor data. I have data that includes daily sensor measurements from 1980 till present. Now I have written a Sequence-to-Sequence LSTM model that ...
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Frequency of timeseries greater than half the number of datapoints in timeseries

as suggested in the following thread: Period detection of a generic time series I'm testing the function findfrequency() to automatize the estimation of the period ...
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Can Seasonal ARIMA model be expressed without backshifts?

Every equation of SARIMA I have found involves backshifts. I was wondering if I have an ARIMA model expressed like this: is it possible to express it in a similar way, without backshifts? Are there ...
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What are the possible problems with using ACF to detect frequency in timeseries?

Looking for a way to detect frequency without knowing anything about the timeseries beforehand. I ended up as suggested by another user in this thread: Period detection of a generic time series Here ...
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Influence of Seasonality on Unit root tests

I gather from this question and answer, a seasonal series is non-stationary as its mean depends on which month it is. Suppose I have a series which possibly has a unit root (stochastic trend) but also ...
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Trend Dampen with SARIMA

Trend dampen exists as a parameter for Holt-Winters in the ExponentialSmoothing class for statsmodels but how can I do something ...
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Seasonal spikes in residual ACF plot for a Fourier regression ARIMA error model

I have recently fit a Fourier regression ARIMA error model to some time series data, which has weekly and yearly seasonality. The model is of this form (except there is another sum since I have ...
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Joint Test for Seasonal Forecasting Model using Dummy Variables

I recently created a seasonal dummy regression model in R given a dataset beginning Jan 2016 and ending May 2020. Given the results below there appears to be statistically significant seasonality in ...
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statsmodels seasonal_decompose forward looking bias?

I'm using the python module statsmodels to do an additive seasonal decomposition of a time series. I have been trying to understand if the method used looks at the whole series at once or if it only ...
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Seasonality estimation without knowing the number of observations per seasonal cycle [duplicate]

I'm trying to detect if there's any pattern (seasonality) between login attempts on a machine using python. After researching a little bit i stumbled upon the library pmdarima, providing statistical ...
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Check for a disease seasonality

I want to see if there seasonality to a disease Im looking at an autoimmune disease that has several subtypes, characterized by different autoantibodies (lets call them autoab1, autoab2, autoab3). I ...
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Use of ACF and PACF

I am new to time series analysis, I have come across ACF and PACF while working on time series data set. There is a confusion, in some links/texts ACF and PACF is plotted without taking difference i.e....
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Second of the seasonal difference in a time series

Please let me know how to do the second of the seasonal difference in a time series. For example, I have 7-day seasonality and I did the first and second differencing as follows. I got the following ...
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Model specification for seasonal ARMA-GARCH model using rugarch

TL;DR: I'm trying to find an adequate model for time series data that exhibits multiplicative seasonality and volatility clustering by identifying an ARMA-GARCH-model with Fourier terms using ...
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How to detect deterministic vs. stochastic seasonality graphically

There are some threads about deterministic and stochastic trends here. But I have not found a thread regarding to this question: Let's assume I have a given time series plot with a seasonality (and ...
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Automatic detection of seasonality on a time-series [duplicate]

I have been workin with time-series data. I haven't been able to find any way of analysing automatically if a given time-series has a seasonal behaviour (when I say automatically, I mean in a way I ...
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Combining SARIMA and STL models

Can we integrate SARIMA and STL for anomaly detection? If so, what is the process like? Which model do we run first and what input goes into the other model? I am fairly new to time series so pardon ...
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Accounting for multiplicative seasonality by including external regressors in ARIMA-GARCH model using R?

At the moment, I'm trying to model a time series in preparation for a multivariate analysis. The time series comprises tweets per hour for a period of nine weeks. As you can see, and as is to be ...
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Testing means in presence of autocorrelation

I am working on a project and I am currently studying a dataset of energy consumption. In order to perform a more precise modelling, I thought it was reasonable to split daily consumption in 2 ...
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Time series analysis: multiplicative model and seasonal adjustment of data

I am trying to help a friend in statistics and this question involving time series came up and I did not know what to do. I tried searching different stack exchange forums for answers, but I believe ...
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Upsampling multi-seasonal data points to fit known averages and avoid discontinuity

Context: I am trying to forecast nationwide demand for a water system. The system I am modelling is highly seasonal (with daily, weekly, and annual seasonalities, at least). The challenge: I already ...
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How to calculate the expected value of a time series just from the data

in this question Can stationary time series contain regulary cycles and periods with different fluctuations I was told that stationary time series do not have regular cycles and that having constant ...
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Seasonal regression with temperature data

I have a daily collected time-series of temperature data that goes from 1981 to 2018 that look like this: ...
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Using variables in VAR model after 1st order differencing

I am trying to build VAR model with two variables - Median Sale Price and Average Mortgage Rate (both monthly). 1) Plotting initial data and this Applying the 1st order differencing, because the ...
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How's the seasonal adjusted series calculated in Holt Winters method?

In the text book Forecasting: Principles and Practice in Exponential Smoothing chapter there is this part * ".. With the additive method, the seasonal component is expressed in absolute terms in ...
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Can I use month as a numerical variable (and not as a categorical variable) in linear regression

Let's say my response is $Y$. I know for a fact that $Y$ decreases during winter time, and then starts to increase around spring. So, does it make sense to use month (not as a categorical variable) as ...
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Manual/Hand calculating statsmodels time series SARIMA forecast?

I am trying to hand calculate the prediction output for statsmodel's SARIMAX but am not getting the right values. I fit the model as follows: ...
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Extrapolating standard deviation of seasonal time series

I'm experimenting with a stock trading strategy that looks at volatility, which for trading purposes is usually defined as standard deviation. For example, a commonly referenced volatility metric is ...
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Seasonality and non-stationarity

It is usually claimed that a time series with seasonality is not stationary and requires seaosnal differencing. Intuitively, this could be understood by the fact that the mean is time-dependent. Now, ...
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multivariate seasonal time series in dlm in r

I am trying to build a dynamic linear model in R for my bivariate seasonal (monthly ) time series. I found the following resources which help me to model bivariate cases but there is no seasonality ...
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Non-graphical seasonality tests [duplicate]

I have a problem with identifying seasonality without using plots. From what I have understood, the best way to detect seasonality in a time series is by understanding the data, plotting it and ...
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Can I frame the same time series forecasting problem either as stateful or stateless lstm

If I have to predict the weekly sales of the product from the past. My data is at weekly level for the product and has about 5 years of data i.e, 260 data points and have about 20 (independent) ...
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Day-of-week effects on regression coefficients in autoregressive model?

I have a timeseries (sampled daily, weekdays only) whose volatility clearly shows dependency on day of week. In particular the standard deviation of the differenced series $\Delta y_t$ is smallest on ...
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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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1answer
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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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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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