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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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Error in makeARIMA : maximum supported lag is 350 [on hold]

I have 4 years of temperature data with datapoint per each day. I am unable to use the lag 365 in sarima function because maximum supported lag is 350. Is there any alternative to use lag 365?? ...
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Help interpreting OCSB test results

Have a univariate time-series "qtrain" - which is quarterly stock "opening" values. Plotting the outputs of decompose() as well as stl() showed seasonality in the data. Am trying to confirm ...
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Analysis of Time Series data [on hold]

The below graph is a scatterplot of daily stock price. My aim is to predict future stock price of the company. From the scatterplot it seems that it is a multiplicative model, so I tried to "...
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How to use seasonal features in time series regression with models such as xgboost?

I have a hard time understanding how one can create seasonal indices such as a yearly mean or (x - yearly mean(x)) and use them as predictors for monthly n horizon forecast. For example: I want to ...
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24 views

Anomaly detection with complex seasonality

I am working on a anomaly detection for a batches of daily time series (non-hierarchical) that exhibit both yearly and weekly seasonality. I tested a few algorithms and it appears that tbats() from ...
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10 views

Data Normalization for Time Series Forecasting using Nonparametric Model

What are the specialities of applying locally weighted learning for time series forecasting? I am trying to apply a nonparametric model ($K$-NN Regression) to forecast daily load curve (entire time ...
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classical decomposition method(without seasonal component)

I understand the following points: When decomposing, the trend is obtained from the data by a regression line.=> T A cyclic component containing irregular variations is obtained(series/linear ...
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Using GARCH to model seasonal variance clustering

Question: is it a good idea to model variance clustering in a time series with GARCH when the clusters are seasonal? Details: Imagine that we are given a time series $(x_t)_{t\in \mathbb{N}}$ that ...
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How to find out seasonality in Time Series Data without looking at the graph?

I've a data which has multiple time series. I want to find the seasonality in the data based on a number as it won't be feasible to check the seasonality by checking the plot. There are around 2505 ...
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what is the reason for this kind of ACF and PACF?? What is wrong with my program? [closed]

[![enter image description here][1]][1][![enter image description here][2]][2][![enter image description here][3]][3]I have temperature data of 4 years. I am working on temperature forecasting using ...
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Expected differences in charts when plotting additive vs multiplicative seasonal decomposition charts?

I've started studying time series analysis and I'm looking at additive vs multiplicative models. I've taken a sample dataset of flights and I've used python statsmodels to plot the seasonal ...
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pca for multivariate time series - interpretation

I have a multivariate dataset where I did a PCA transformation and plotted the scores for my four principal components as a time-series in hope to observe some time-dependent trends for the data. I ...
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Daily Time Series Anomaly Detection with Seasonality Control - Python

I have data tracking occupancy over time in a pandas dataframe in the following format: The entire data set looks like this: I have data like this for hundreds of properties, and I'd like to set up ...
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1answer
37 views

How to remove seasonality?

I'm trying to do a VECM with these two monthly variables. I applied the Johansen test and they are cointegrated. As you see, they have a hard seasonality component. Should I apply a filter to remove ...
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How to choose between additive and multiplicative decomposition in time series

I have a time series which is the number of weekly flu cases from 2010 to early 2018 in one county. I want to remove seasonality from my data so I can have a clearer data to infer the relationship ...
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2answers
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Forecasting the number of visitors in each hotel in a city

I am looking for some suggestion on what a good approach would be for the following forecasting problem. Problem statement: There are 100 hotels in a city and I have the monthly data on the total ...
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22 views

Seasonality detection based on ACF

Browsing the M4 time series competition repository I saw the following piece of code to determine whether a time series is seasonal or not using the ACF, where "ppy" is the frequency of the time ...
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2answers
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How do I forecast time series for which the range of residuals is increasing over time?

I have gathered 25 years worth of monthly timeseries data. The value of Y (dependent variable) has seasonality of 10 months. I have used polynomial equation to model seasonality cycle. The trend ...
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1answer
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Modeling academic seasonality with hierarchical GAMs

I am trying to model the seasonality of daily pageviews to calculus-related Wikipedia articles using a hierarchical GAM, assuming that there is a shared 'academic calendar' seasonality and that each ...
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Choosing daily seasonal ARIMA model order vs. auto.arima

I have the following output_ts that looks like this: When I run unit root tests, I receive the following output seeming to indicate that my series is trend ...
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38 views

How can we detect seasonality in a time series without looking at its plot?

I am wondering if is there a way that we can mathematically or statistically identify seasonality in time series without the need to look at its plot?
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2answers
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Does R's arima() fit / use multiplicative or additive seasonality?

I have searched Cross Validated and read the documentation of the stats package in R, but I cannot figure out, whether the arima() implementation uses additive or ...
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40 views

An alternative to seasonal analysis in ARIMA models (SARIMA)?

I recently became aware of a property of time series with which I was previously unfamiliar: that a finite-dimensional autocovariance function is equivalent to an infinite-dimensional power spectrum, ...
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113 views

Timeseries with multiplicative noise in Stan

Say we have a monthly time series $y_t \geq 0$ dominated by seasonality, where the absolute differences from year to year are much smaller during low season. To avoid negative values and capture the ...
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How to Add Trend to a First Differenced Model for More Accurate Predictions

I've developed a reasonable time-series model on first differenced data. The end goal is to be able to forecast an actual value, not a differenced value. From reading other posts I learned that the ...
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2answers
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Converting nonstationary process

I am looking at the hourly load demand profile for an entire year. See image below. However, from my understanding of stationarity, this process is non stationary as it has seasonality as well as a ...
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1answer
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Time series seasonality: mismatch between season length and data collection frequency

I'm working with vegetation data (NDVI collected from MODIS) that is collected at 16-day intervals. I'm doing a time series analysis on a particular site to see how it changes over time. I've already ...
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2answers
135 views

No autocorrelation in time series

I am trying to predict a time-series data set, using python. I have a timestamp and number of calls in a network for this particular timestamp. I have to predict number of calls in the future. ...
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25 views

Find multiple frequency in a time series

In a time series model, my data contain two or more seasonal pattern such as week and annual. But I don't know it's frequency initially, Is there is any method that will figure out all the frequency ...
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1answer
81 views

Advice on correcting for seasonality in data

I am a little new to time series in general, however, I have 5 years of weekly sales data and another variable of interest. I am trying to see if there is a trend in the sales data and the second ...
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120 views

Forecasting seasonality with Fourier terms in R

I am using the auto.arima from the forecast package in R to determine the optimal K-terms for fourier series. After I do that, ...
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1answer
66 views

How to globally determine (Seasonal) ARIMA Parameters

I have 15-minutely data (96 values per day) over several years for around 340 entities (i.e. 340 data sets or long ts). Now my task is to forecast a 4-hour window (i.e. 16 observations) for each day ...
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73 views

How to deal with seasonality in cointegration analysis?

I have two time series of daily gasoline prices (1500 observations each) which I suspect to be cointegrated. I aim to find an ECM/Asymmetric ECM/Threshold ECM to investigate possible asymmetries. My ...
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26 views

Covariance Estimation of time series with mixed frequencies

I have three times series $x_{1,t}$, $x_{2,t}$ and $x_{3,t}$. For the first two time series ($x_{1,t}$ and $x_{2,t}$) I have daily data, but for the last one, I have monthly data (let us assume that ...
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1answer
36 views

Modelling Idea for Big Jumps in Revenue

I'm trying to model some year-on-year data, as seen in the picture, each line represents a different year. From 52 to 0 (x-axis) are the weeks leading up to the last point on the left. I have been ...
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108 views

Detecting seasonality from periodogram and seasonplots

I want to determine whether a time series contains seasonality, and if so, what the periodicity is so I can include this as Fourier terms in my model. Because I have to do this for approximately 100 ...
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2answers
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Searching for a weekly rhythm in weight loss/gain

Asking for a friend, who has read this. Basically my friend weighs daily and has historical data in CSV format. They would like to take that data and overlay it in some form of weekly chart. E.g ...
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24 views

Metric to evaluate accuracy of time series decomposition?

I am trying to de-seasonalize a large number of business sales data. They all come from the same industry and follow idiosyncratic seasonality patterns. The number of businesses is quite large, and I ...
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1answer
39 views

Deseasonalize data - strange plot

I want to deseasonalize my daily data, and I chose to verify yearly seasonality as I have prices of wheat that usually increase around the same time of the year. I have used the function ...
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1answer
128 views

Decomposition of seasonal time series interpretation

I have the below stl() (with s.window="periodic") decomposition plot of a time series which I would like to analyse and model. ...
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2answers
68 views

Econometric models? [closed]

I'm confused about econometrics models. Let's say I used a daily stock market index for 5 years, and I want to see how oil price affect the stock markets return , let's assume ( as a fact ) that oil ...
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2answers
70 views

Time series analysis - Seasonal variation problem [closed]

I am having trouble with taking out seasonal problem in the data. If you see the picture, the error messg saying "non-numeric argument to binary operator". How should I fix this problem?
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Is the Dickey-Fuller tests is a seasonality test as it tests the existence of the unit root?

Knowing that the "Dickey-Fuller tests" tests if the times series is stationary or not by testing the existence of the unit root, after fitting the time series to AR(1) process. Does "Dickey-Fuller ...
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Intuition about Exponential Smoothing parameters?

If I use Triple Exponential Smoothing with Additive Seasonality and let a statistical program optimize alpha, beta and gamma for me, is there something I can conclude about my data based on the ...
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1answer
208 views

SARIMA model with SARIMA residuals

I currently about to work my way into the time series model a former colleague om mine implemented: it is a SARIMA model (seasonal ARIMA) with SARIMA residuals. First I want to give a brief ...
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1answer
40 views

R STL and forecast package seems to get confused on this simulated data

I have simulated data according to this DGP: ...
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2answers
39 views

Best way to visualise timing of seasonal events?

I have a spreadsheet in which I track various seasonal event – first snow, arrival of migratory birds, that kind of thing. You can view it here. What I would love to do is be able to visualise – as I ...
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1answer
115 views

Decomposing a time series with some zero values

There are many techniques to decompose a time series into trend, seasonal, and remainder components. I was wondering if these techniques can be applied without worry to time series which have some ...
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39 views

Weekly forecasts when some predictors are monthly

I would like to forecast at the weekly level, but some of the predictors are at the monthly level. The only way I can think to approach this problem is to divide the monthly total by the number of ...
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Meaning of “13-term Henderson filter” [closed]

I wonder what the "13" stands for in the "13-term Henderson filter" seasonal adjustment method. I don't understand the meaning of "13" in this method.