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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How to test if a particular frequency is significant or not in a fourier frequency spectrum
I have got a timeseries data with which I plotted a frequency spectrum and I could eyeball all the significant peaks (significant frequencies) in the plot. But I want to do this for a spatial data (...
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Any numeric measure to indicate seasonality, uncertainty of demand?
Am working on inventory management, demand forecasting etc. As part of this project, I am exploring the data to see the past demand of the products to predict the future.
While am currently plotting ...
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Confused while studying stationarity and autocovariance
I started to study Time Series Analysis and have stumbled on a roadblock.
When introducing the autocovariance function, the instructor mentions that we assume stationarity in the data that we are ...
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ETS (error, trend, seasonal) formulation
Does someone know if there is (clever) way to formulate mathematically all the following models below:
in a unique (system) of equations?
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Controlling for seasonality in marketing mix modeling
I am estimating a marketing mix model on sales using linear regression. My goal is to estimate the effect of marketing and branding on sales (not forecast the future). I have 4 years worth of monthly ...
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Generate series with multiple seasonality
I have to simulate time series with multiple seasonality and I don't understand how I can do it.
In particular I have to simulate:
A series with two deterministic seasonality (each with a different ...
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Random Forest/ Neural Networks for Time Series Data with Large Seasonality
I have been trying to perform Forecasting of a univariate Time Series Data with "daily" recorded observations and exhibiting an "annual" seasonality. The image below depicts the ...
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How to interpret those ACF & PACF?
I have some problems when analyzing my time series dataset.
Basically, the dataset is about the daily sales volume of an FMCG company (they work from Monday to Saturday with Sunday being a day off, so ...
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Statistical Method for Accurately Detecting Seasonality in Monthly Sales Data
I have a dataset containing monthly sales data for different product categories spanning five years (60 months of data). I am using a Python process to calculate the seasonality for each category, ...
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How to obtain seasonally-adjusted time series data using STL in Python
On the section "STL decomposition" in the 2nd edition of Forecasting: Principles and Practice, it says that the seasadj() function can be used to compute ...
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Monthly data with seasonality: is linear regression appropriate?
I have the following situation: there is data for six years, per month. In a year you can see variation per month, since the data is influenced by the seasons. Also, there is an upward trend over the ...
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Simulate time series with periodic spikes
I have multiple time series representing a process that operates in batches. It consists of many small intervals interleaved by periodic long intervals (spikes) at the offset of each batch. The period ...
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Intuition behind testing seasonality hypothesis
In this post to prove the statistical significance of a statement about a seasonality of a timeseries (every april returns are high) the author simulates alternative paths using the Monte Carlo method ...
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Are there any good articles on raking in seasonal adjustment?
I am trying to learn about the "raking process" in seasonal adjustments.
I had not heard of it before but I see it mentioned in a couple government stats publications (such as: https://...
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Seasonal adjustment of Markov transition matrix
I have data on monthly gross flows in the labor market. For three labor market states, I can calculate 9 transition rates and create a Markov transition matrix where each row gives a value of one.
$...
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Creating a VAR model - data with seasonalities
I am in process of creating a forecast using VAR model for pricing of a certain commodity.
Some of my variables (such as price itself, as well as inflation, and taxation) don't have any seasonalities. ...
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Removing seasonality and trend for forecasting with tree based models
I am working on a problem where I'm using tree-based models (RFs, GBTs) for forecasting. I've read that I have to de-trend the data if I'm using a tree-based model, however, I am reading conflicting ...
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Modeling non-additive seasonal variable
Let's say I have some variable $x_{1}$ and some variable $x_{2}$ and I have the result of $y$ on a specific day/week/month/year. I believe $y$ is a random variable and its result is not very useful. ...
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How to parameterize SARIMAX in Python [duplicate]
I'm using SARIMAX as a statistical model to solve my problem of predicting a cost variable (Y) based on the past history of this dependent variable.
In particular, I use SARIMAX because I have ...
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Seasonal component inconsistency in X-11 method using R
I am learning about time series decomposition using the X-11 method in R. I am following the book “Forecasting: Principles and Practice (3rd ed)” by Rob J Hyndman and George Athanasopoulos, which uses ...
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Are innovations $0$ for the first term in a differenced series?
I'm working on an unassessed course problem,
Consider a time series consisting of quarterly observations of temperature in a city. The seasonally differenced time series $\{x_t\}$ with $D=1$ is ...
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Forecast data with seasonality with machine learning
I have a basic knowledge on econometric techniques for forecasting, and I was reading about Forecasting with decomposition.
My data seems to show high seasonality as can be seen in the following ...
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Statistical significance of count data with variable number of survey days/month
A.
I have count data over a period of four years of fish from conducted count surveys at a landing site. The number of survey days each month is variable and some months have zero surveys. To compare ...
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Backshift Notation for a Seasonal ARIMA model with constant
When fitting and forecasting using a seasonal ARIMA model with a total differencing of 1 (non-seasonal + seasonal), a constant term is necessary to capture the trend of the original data prior to ...
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How should I interpret parameters of the SARIMA model in time series analysis?
I am a bit confused as to why the SARIMA model requires four parameters beyond the ARIMA model just to remove the seasonal component from a time series.
Obviously $m$ is required to specify the ...
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Are non-constant polynomial means a special case of seasonality?
In this video, it is said that an otherwise-stationary time series with non-constant linear mean is analyzed by taking the first difference of the time series to produce a new, stationary time series. ...
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Having problems with forecasting Intermittent Demand at Regular Seasonal Intervals With Daily Data [duplicate]
Like the title suggests I'm having difficulty deciding the next steps I should take in terms of my current project. At the moment I have about 4 years worth of daily sales data dealing with "...
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Calculating standard error for amplitude and phase of estimates for amplitudes of fourier elements (time series context)
I have a time series consisting of a mean, a cosine harmonic wave, and seasonal ARIMA errors, and the seasonality period of both is 7 days:
$$
\begin{align}
x_t &= \mu + h_t + u_t \\
h_t &= ...
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How can I make seasonal adjustment for data with heteroskedasticity in R
I am currently using the "seasonal" package in R to perform X-13ARIMA seasonal adjustment when I notice that the data I am analyzing have significantly larger volatility in recent years than ...
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How to compare seasonality between time series?
I have data like this:
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
x
0.03
-0.07
-0.62
0.26
0.47
0.01
0.54
0.41
-0.38
0.50
-0.84
-0.30
nx
0.23
0.45
1.12
0.45
0.53
0.95
0.56
-0.79
-1.68
-0.12
-0....
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How can I interpret this ACF PACF?
Data I am using is Relative Humidity from 2004-01-01 to 2022-12-01 (day is always 01 as it is a monthly average). I established a linear regression model to find a trend.
Used the residuals and ...
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SARIMA model selection for my data
I am new to time series analysis.
I need to determine whether my series is seasonal or not, and if it requires differencing for building an ARIMA model if it is possible? The time series data is ...
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Seasonal differencing applied to exogenous variable (xreg)? Forecast package R by Hyndman
Im currently working on specifying a seasonal ARIMA model with an exogenous variable. I'm using the forecast package developed by Hyndman for this. I have specified the following:
...
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Time series forecasting for the next three months
I have a time series dataset that records the number of passengers per day. Based on this data, I need to make predictions for the next three months at the monthly level.
The provided plot illustrates ...
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How to determine Seasonal periods in MSTS function?
I am seeking assistance in analyzing whether there are any discernible trends, seasonality, or cycles present in the monthly data represented by the following figures:
I would greatly appreciate it ...
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Which version of ADF to use when a trend is suspected?
I have a particular data set where there is strong seasonality, and possibly a trend or non-stationarity. The seasonal decomposition looks as follows:
I am a bit confused as to what the order should ...
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Does my ARIMA Model Fail because of the non stationary data?
I am trying to create an ARIMA model which allows to extrapolate a voltage curve of a sensor battery into the future. Is this a possible application scenario at all?
I have four different voltage ...
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Methods of adjusting for multiple seasonality
I am trying to remove seasonality from a dataset. What I am interested in is the residuals, as trend and seasonal influence do not matter to the problem at hand. I am using the ...
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interpret acf plot
I am trying to interpret my results from decomposing my time series and the acf/pacf plot. The adf test gave a p-value less than 0.05 so is it ok to assume that my time series is stationary with no ...
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What is the formula AUTO ARIMA (Python's pmdarima) uses?
References
https://otexts.com/fpp3/non-seasonal-arima.html
https://otexts.com/fpp3/seasonal-arima.html
Question
According to the webpages, the formula of ...
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Using SARIMAX for daily data with yearly seasonal pattern
The data consists of a time series with daily frequency. It is basically temperature data, and I can see a clear seasonal pattern throughout the year.
I would like to model this time series using ...
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Auto Arima failing with highly seasonal data
I have a highly seasonal data of a little more than 1000 observations, with a 67 seasonal cycle.
I am using auto_arima in Python and for some reason when I perform a stepwise search I get a memory ...
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How to best capture/identify industry segment specific "seasonality effects" in transaction data
So I’m working on a monitoring model and could use some input on what sort of statistical method would be suitable for this particular case.
Imagine you are a financial institution with corporate ...
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Time Series Forecasting Improving Accuracy
Here's the sample data I got from Kaggle. This is a sample of daily temperature data for about 20 years. In my initial attempt I tried to simplify this as monthly data and attempted to use a seasonal ...
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ACF lags of SARMA(A,B)x(a,b)_s (Seasonal ARMA model)
When we need to calculate the ACF of a SARMA model, is there any shortcut about lags that can help us derive the ACF? For example if we have a SARMA(1,1)x(1,0)_6 model, to find γ(0) to calculate the ...
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Using Kruskal-Wallis to Detect Seasonality in Time Series
I am trying to write some code to automatically detect whether a time series is seasonal. I have been looking into using the Kruskal-Wallis test, as there are a few examples of this being useful ...
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Translate R output for regression with SARIMA errors to an equation
I am trying to write the regression generated from the below function in R:
...
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BSTS package cannot capture seasons in simulated data
I am self-learning about structural time series, and for me the best way to understand topic is to simulate the data myself. I want to simulate a time series of local level model with seasonal ...
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Is it possible to have seasonality at 24, 12, 8 periods in hourly based wind power data?
I have taken hourly-based wind power data, by taking its periodogram after making it stationary in R. It gives me four seasonal patterns at periods of 24, 12, 08, and 06, as shown in the figure below.
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Modelling temperature: seasonality, stationarity, differencing
I have temperature-related time daily time series. I plot the time series and found that the plot have seasonal variations. Thus I differenced the series.
When I did Dickey-Fuller test for both ...
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