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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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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getting Significant seasonality on a straight line

I'm running a Significant seasonality test on my data with isSeasonal {seastests} function. I'm not sure why I'm getting a TRUE answer for the following data. ...
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Cointergration of seasonal time series

I'm studying monthly state-wise rates of certain diseases and suspect that they may be related (there is some physiological explanation for their relationship). As far as I understood, to avoid ...
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Estimating trend components before seasonality

I am currently working with data that has additive trend and seasonality. Is it okay to determine the trend and then detrend the data, and then estimate seasonality on the detrended data? Or should I ...
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Why feasts::STL in R can only extract trend and remainder from global_economy dataset?

Out of my curiosity, when trying to learn forecasting from fpp3, I found that I can't extract seasonal info from global_economy but I can't explain why. My assumption is that the dataset doesn't have ...
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ARIMA loses explanatory power after removing seasonality

In a non-stationary time series of order=1 I first remove seasonality by 1) automatic detection of frequencies with high power then 2) multiplying it by a moving avergae of the time series. I then ...
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Making a series stationary, 1st and 12th order differencing

I know how to make a series stationary if it has a seasonal trend or a linear trend, I would do 1st order differencing. But the bit I don't understand is how make a series stationery if it has both a ...
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Why does R take so much time to run auto.arima(). How can I shorten the calculation time? [duplicate]

I have been trying to run analysis and model a ts series of Natural Gas spot prices. With data provided by the Qandl API. The whole analysis was working fine, however, I experiences issues with the ...
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I want to know whether the data I have is showing seasonality or not

I am analyzing weekly data on call money market returns over the period of 12 years on R. I made a time series plot of the data and wanted to know whether this data shows seasonality or not. I tried ...
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Statistical significance of an event in seasonal time series

Goal I am analyzing multiple time series data. I want to show there is difference in trend of the data after an event happens, either right after or a bit later, and it is statistically significant. ...
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Analysing seasonal variations in time series?

I have to analyze NDVI time series over 17 years. NDVI is ...
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Chosing seasonality frequency

i am trying to build a general forecast at work, but i am in trouble about the frequency of my series. Can a subject reason guide me through the frequency selection? I have daily data, so i could ...
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Determining order of SARIMA model by ACF/PACF (and dealing with seasonality)

I have a ts that has the average monthly measure of pollutants in the air and i'm trying to use a SARIMA$(p,d,q)(P,D,Q)$ to model it but I'm having trouble determining the order because I'm somehow ...
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How to forecast correctly the seasonality in R?

Consider the following code: ...
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1answer
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Fixed Effects regression with trend and seasonality?

I have monthly panel data on 8 tourist locations in the US (N=8), from 2011-2018 (T=84) and I would like to determine the impact of multiple independent variables (gas prices, income, etc) on recorded ...
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SARIMA nonstationary: how to remove trend and seasonality?

I have a database with hourly records. When I perform my ADF and KPSS test the p-value is less than alpha 0.05 so the series is assumed to be stationary. But by plotting the ACF the delays are all out ...
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A solution to de-seasonalizing data? Admission rate to emergency room

I am trying to fit a model for the admission rate to our emergency department by using time series in STATA, which is fairly new to me and I would like to take your input about deseasonalizing. data:...
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sales data seasonality

This is the plot of my data and I'm wondering if these periods (on red circles) considered seasonality or not and if so how should I deal with them? can I model without smoothing them? Please ...
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Should I deseasonalize my time series before using SARIMA?

I have the following time-series that I need to model using SARIMA. There is a clear seasonality pattern but there is no apparent trend. Should I de-seasonalize (seasonal differencing) my time series ...
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Exactly how are cyclical components computed?

So suppose we have some sort of a time series model. y_t = trend_t + cyclical_t + x_t + epsilon_t So, I'm interested in obtaining the seasonal component. Here "x_t" refers to other potential ...
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Measuring weather impact on sales as a crossed random effect

I'm trying to model sales of a clothing brand having longitudinal data (unbalanced panel: 20 stores with 50 - 157 weeks of datapoints). There are many regressors in my analysis, but I believe that ...
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Interpretation of AIC while modeling seasonality in ARIMA timeseries

I apologize in advance if I mess up the jargon as I am not familiar with the subject. So I have a timeseries where I want to detect seasonality (or periodicity). The ACF of the timeseries shows a ...
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Modeling with seasonally adjusted series and BoxCox

I have time series with daily data. This time series have frequency 7. Before I start with modeling first I made seasonal adjusted series with STL decomposition (from forecast package). So next step ...
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SARMA model as infinite AR

Can anyone reference an algorithm or paper which can help me convert a general SARMA model to an infinite AR polynomial in backshift operator B? I would like to do this in R somehow. $$ \frac{\theta(...
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Seasonality of time series

Consider this link. https://rstudio-pubs-static.s3.amazonaws.com/257314_131e2c97e7e249448ca32e555c9247c6.html There is a call on this page. ...
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The comparison of seasonal.test c(“seas”, “ocsb”, “hegy”, “ch”) in auto.arima()

My question is that I do not know how to choose the parameter, seasonal.test. I am doing a time series with auto.arima(). If I do the forecast by auto.arima() ...
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1answer
168 views

How to set (p,d,q) and (P,D,Q) for SARIMA time series model

I have a time series dataset of monthly average temperature in Cayman from year 1823 to 2013, with dickey-fuller test = 0.008275 (I assume the series to be stationary since the test doesn't exceed 0....
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How are SARIMA models (which are non-linear in coefficients) generally estimated?

Very simple question but couldn't find answer to this online. Taking $(1,0,0)(1,0,0)_{12}$ as an example, $$(1-\Phi B^{12})(1-\phi B)Y_t=\epsilon_t$$ $$\implies Y_t=\phi Y_{t-1} + \Phi Y_{t-12} - \...
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Is there a seasonality? [closed]

I have studied a disease for possible seasonality. Over a ten years period 146 patients admitted with this disease in our hospital. The frequency was as follows: in spring 27 patients, in summer 32, ...
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1answer
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Seasonal difference in ARIMA

I have time series with frequency=7. ndiffsfunction (https://www.rdocumentation.org/packages/forecast/versions/8.10/topics/ndiffs) suggests first order difference ....
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1answer
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Why has an attempt to account for seasonality in my data made my machine learning results ridiculous?

I am trying to use machine learning (using linear regression) to predict bandwidth use into the future. I have over 50,000 observations spread across 56 weeks (just over a years data), and I am ...
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Deseasonalizing the time series: How to align the mean of two time series in R

I'm trying to deseasonalize the time series by regressing the Electricity prices on the seasonal dummy variables (months and days) using the approach from this paper (page on page 10). My data ranges ...
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Which model to choose for time of day as a dependent variable having a skewed periodic/rhythmic relationship with some response?

I have a data-set with time of day (0 - 24 hours) as a dependent variable together with some continuous response variable which demonstrate what looks like a skewed sine relationship. For ...
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Based on the graph & table, what method is used for the analysis that has been started on the table pictured?

Looking at the time-series plot of data (pictured), and looking at the table (pictured), what method and why has been chosen for the analysis that has been started on the table shown? I'm struggling ...
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Is this seasonality additive or multiplicative? [closed]

Data from the M3 Comp Package Is this additive or multiplicative seasonality
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Handling time series data with very high value for seasonal frequency in R

I'm trying to use Holt-Winter's method for time-series data. The time-series data is hourly with seasonality and no trend. The period of seasonality is 1 year; i.e. 365*24 for the given data. Now ...
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Forecasting with no seasonality

I have a transactions data frame and a promotions data frame. And I want to perform a forecast. The problem is that I can't tell if my data presents seasonality or not. I mean the sales per week looks ...
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Why the seasonality of daily time series is not predicted correctly in R with arima model?

I have a question related to the estimation of arima models in R. I have estimated a model with daily simulated data where Mondays have a lower value than the rest of the days. I have simulated two ...
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what is a Stationary Time Series?

I have encountered this confusion: I know any time series can be decomposed into three parts: seasonal, trend and noise. where seasonal and trend are the non-stationary parts. so I have this time ...
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How to compute dummy variable seasonality in Local Level Model?

I am attempting to understand the intuition behind the local level model that incorporates a seasonal component. I am currently reading an introductory book regarding state space modelling. For the ...

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