Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

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

0
votes
0answers
10 views

R Season in VARS function [on hold]

I am using the VARS function in R and one of my timeseries is seasonal (quarterly data). I found out that there is a seasonal argument that accounts for the seasonality. Does anyone know what it ...
1
vote
0answers
10 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 ...
0
votes
1answer
29 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 ...
1
vote
1answer
37 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. ...
1
vote
2answers
63 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 ...
0
votes
2answers
27 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?
0
votes
0answers
10 views

How to inverse powertransformations and differencing after creating a SARIMA model in python?

I am creating a SARIMA-Model in python. I log-transform my original data, take 1st difference and 1st seasonal difference. my1SeasonalDiff is then stationary data. ...
1
vote
0answers
16 views

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 ...
1
vote
0answers
24 views

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 ...
2
votes
1answer
70 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 ...
0
votes
1answer
26 views

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

I have simulated data according to this DGP: ...
0
votes
0answers
13 views

How do i find trend and seasonlity based on clusters from two columns

Okay so I'm new to this whole Time-Series analysis and I have a question for the below dataset i.e. Detect the trend and seasonality type (multiplicative or additive) for each cluster of APMC and ...
4
votes
2answers
36 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 ...
2
votes
1answer
67 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 ...
1
vote
0answers
38 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 ...
1
vote
0answers
38 views

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.
2
votes
0answers
23 views

Time-series: Using decomposed components (seasonality+trend) as covariates in multiple regression?

I need to evaluate the effects of a treatment on a time-series data-set by comparing multiple dependent variables to a prior time period without treatment in effect. I'm using a python library to ...
1
vote
0answers
103 views

Evaluating Mann-Kendall trend test assumptions

Disclaimer: I don't have very much statistics experience.. I do have yearly climate data (yearly max temperature, total yearly precipitation...) for 200 years and want to perform the Mann-Kendall ...
3
votes
1answer
95 views

Seasonal model with auto.arima

I'm trying to fit a seasonal arima model with the following very simple timeseries which has also a linear trend: time_series = ts(c(6, 18, 30, 80, 65, 40, 67, 47, 57, 82, 67, 82, 66, 78,...
4
votes
1answer
37 views

Even after seasonality adjustment, seasonality still remains. Why?

I'm trying the classic AirPassengers dataset in R and tried removing the seasonal component using deSeas <- forecast::seasadj(decompose(d,"multiplicative")), but ...
1
vote
1answer
34 views

What does an ARIMA model with 6 values mean?

I am trying to get my head around ARIMA modelling. I get the idea of it at least on a superficial level. Looking around you see a lot about ARIMA(p,d,q) where p is the autoregressive term, d is the ...
0
votes
0answers
19 views

Do annual means need to be depersonalized before trends?

I have a time series of annual means of air temperature. I am going to find its long-term trend (~100 years) and have two questions: Knowing that the air temperature is highly seasonal in a monthly ...
2
votes
1answer
122 views

Interpreting Regression Coefficients in time series model with seasonal & trend component AND a lagged variable

I'm working on a time series model which predicts daily sales. The model is based on seasonal-trend decomposition by Loess, basically. (I'm using an R package similar to Prophet by facebook.) Since ...
1
vote
1answer
65 views

Seasonal ARIMA estimate with non-significant variance

I'm trying to fit a seasonal ARIMA model for a real data time series, 300 samples long, sawtooth looking. I'll write down a resume of my work trying to be clear without many plots. The ACF of the ...
0
votes
0answers
22 views

Should I include both Lag 1 and Lag 4 in this autoregressive model?

Question Background: Thomas Anderson, CFA, is a research analyst at Frank Capital Consultants, a provider of statistical modeling and financial advice to clients globally. Thomas is working on the ...
5
votes
2answers
141 views

Seasonal Adjustment of Daily Data

[![enter image description here][1]][1]I have daily data with only weekday values. So my week is 5 days in my data set. I want to use TBATS function in R. I am ...
1
vote
0answers
24 views

X-13ARIMA-SEATS Errors in R

I'm trying to run a relatively simple seasonal adjustment using the seasonal package in R and I keep getting an error of Error: X-13 has run but produced no data Because of how my data is ...
0
votes
0answers
49 views

Multiplicative decomposition for DECREASING level of seasonality?

I am performing data exploration on commodity futures volatility. I am using data that supports Samuelson's hypothesis that futures contracts expiring in the nearer term have a higher volatility. ...
0
votes
0answers
13 views

How to run seasonality analysis on a subset data

Data set: multiple product sale volumes by month (product A, B, C, D, E) I want to analyze the data and find out the seasonality component for each product relative to each other (for example ...
0
votes
0answers
32 views

Sum of seasonality equal to zero and normality of cycle component

In a time series, why do we require the seasonal component sum to zero over a season? Also, is the mean of the cycle component normalised to zero? I know it is too make the components uniquely ...
2
votes
2answers
107 views

Time Series Forecast - Complex seasonality

I have a daily time series that I am having issues forecasting accurately.The time series is stationary and it looks I have tried ARIMA(3,1,1),(0,1,1)- 7 Period, auto.arima(D=1), Holt-Winters, nnetar,...
1
vote
0answers
23 views

Stable seasonality F-test does not meet assumptions for one way ANOVA

I am having trouble to understand Stable seasonality F-test. I know it is basically the same test as one way ANOVA, but the assumptions for one way ANOVA can´t be met for it. For ANOVA the data should ...
1
vote
1answer
181 views

How do I add seasonal & trend components to the final prediction when using neural networks?

I've got a question about stationarity: let's say I've made seasonal & trend adjustment for my time series input, scaled it and then passed this data to some NN model (e.g., LSTM or windowed-MLP), ...
1
vote
0answers
36 views
0
votes
0answers
32 views

Cleaning a time-series before ARIMA

My target is to fit an ARIMA-GARCH model with non-normal innovations to a dataset. Before I run the model should I clean the series, for example via the tsclean() function of R? Should I remove the ...
1
vote
1answer
189 views

Exponential Smoothing & Seasonality

I am relatively new to stats and forecasting and was hoping to tap the wisdom of this community in regards to a question. One of my colleagues insists that exponential smoothing presumes seasonality. ...
0
votes
1answer
270 views

How to detect seasonality in data in R?

My goal is to (1) prove the hypothesis of seasonality in this inflation time-series and (2) remove the seasonality via the X-13-ARIMA-SEATS procedure. My questions are (1) how does one prove such ...
8
votes
1answer
944 views

Time series seasonality test

What are the most simple seasonality tests for time series? Being more specific, I want to test if in specific time series the seasonal component is meaningfull....
1
vote
0answers
19 views

Detrending sales based on historical

I have a dataset with month sales for 6 months per customer. I want to compare the sales average of the first 3 months versus the last 3, but I know this averages may be influenced by seasonality of ...
0
votes
0answers
19 views

Rolling Seasonality Adjustment

I would like to understand how do I adjust for seasonality by week - which is based on a 3 week rolling seasonality across last 2 years? I am looking for the concept behind the seasonality adjustment ...
0
votes
0answers
7 views

Qualitative considerations about the variance of the trend and the seasonal component of a seasonal time series

Given a seasonal rainfall time series X, suppose that I need to divide it into a linear trend (mY+q) and seasonal component. If from the auto-correlation and partial auto-correlation only lags ...
1
vote
1answer
113 views

Determining seasonality in the data set using statistics

I am trying to identify if there is seasonality in the data set. The condition is that I don't want to use graphs or any kind of visual interpretation to understand seasonality, but to use statistics ...
0
votes
0answers
28 views

Log Transformation and still observing multiplicative seasonality in ETS, R

I have export data for Germany which I log-transformed. I read that this must lead to additive seasonality even when before multiplicative seasonality was observed. But now after log-transforming my ...
3
votes
2answers
79 views

Is this seasonal heteroskedasticity?

Quick and possibly quite silly question: So I have this time series, there is obviously large seasonality, with observations in winter much higher than in summer. There is also an overall inverse-U-...
2
votes
1answer
137 views

Seasonal trend loess (STL) decomposition around holidays

I am seasonally adjusting a weekly transaction time-series. The seasonal adjustment works great, except for on and around closed days. At and around these points there are serious errors. What is the ...
0
votes
0answers
48 views

Implementation of Holt-Winters method for forecasting

This is regarding a simple implementation of Holt-Winters method for forecasting. Referring to this table : This data this is based on is : ...
0
votes
0answers
80 views

ARIMA forecast - more than one seasonal trend?

I am using a Kaggle dataset on noise complaints in NYC (https://www.kaggle.com/somesnm/partynyc/version/4) as a teaching example. The time series has exact time and date of the noise complaint but ...
2
votes
1answer
35 views

Time series Seasonality check

The plot shows that the series has seasonality, but the conclusion of adftest if there is no need to take the difference. In this case, What is the best way to remove the seasonality in the model?
1
vote
0answers
149 views

Determining Seasonality nature of a time series i.e additive or multiplicative

I have 4 years of data starting from 2014-Jan to 2017-Dec, I am trying to extract seasonality component from that series, to do this I am using decompose function in R, one of the parameters to ...
-1
votes
1answer
15 views

Based on the following distribution can I say I have two seasons in my data from 1-26 and 26-52?

I have a dataset for one year of weekly sales revenue of sale of milk for each farmer, I'm trying to figure out seasonality trend in my data, based on my data, can I say I have two seasons in my ...