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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338 views

Using Diff() and Lag () functions for computing Month-on-Month Inflation in R [closed]

Assuming my data looks like this; ...
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1answer
943 views

X12 for seasonality adjustment - SAS

I found this code online and I wanted to dissect it before programming something similar in SAS. The problem is idenitfy seasonality in a time series. I want to understand the code line by line: ...
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1answer
51 views

A smoothed series still exibits strong seasonality

I have a monthly time series. It is basically a price level series (inflation data), and I converted it into monthly percentage changes (i.e. like the CPI measure). This time series exhibits extremely ...
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1answer
5k views

How to identify the seasonality of a timeseries from the Periodogram?

I need to identify seasonality/ periodicity of a dataset so as to develop an ARMAX model. This is what the original time-series looks like I have plotted the periodogram of the dataset. Ps: I used ...
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362 views

How to include seasonality in the data ARMAX model that has multiple periodicities?

I am doing regression with ARIMA errors. The residuals are as shown in the figure below. Clearly, the scatter plot shows that this time series has some sort of periodicity or seasonality, but its very ...
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227 views

How can I filter marketing campaigns out of my decomposed seasonal data?

I've recently jumped into the deep end of statistical analysis of revenue. I've learned a ton about statistics, probability, decomposition (stl), and the Python and R languages. I feel like I'm ...
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1answer
49 views

Cross-applying known seasonality adjustment to new data

I have two sets of data, drawn from the same source. I know that the data exhibits seasonal behavior, visible over each week and over each day, and am willing to assume that the seasonal behavior is ...
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1answer
3k views

Decomposition of daily time series (several years) with multiple seasonal patterns

i have a daily time series of several years. Graph & CSV-file So far i could figure out with an based on an acf graph and this method: timeSeriesObj = ts(x,start=c(1999,1,1),frequency=7) fit ...
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1answer
1k views

Can anyone explain what is happening in the stl function of R?

I am recently working with seasonal-trend decomposition. Yet I am not that familiar with the approach that R is using. Can anyone one kindly explain the mechanism of the ...
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1answer
190 views

Analyzing seasonality in data

In order to analyze the data in presence of seasonality, I used two methods: Proportional hazard model (Cox model) and time series method (Triple Exponential Smoothing (Holt Winters Method)). Now , my ...
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1answer
76 views

How to detect variable seasonality pattern

We have predicted and actual (daily) data for past 3 years. We use 90 days of data for prediction. Generally our predictions are very accurate, but we receive unusual traffic for few days/weeks ( like ...
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392 views

linear regression with autoregressive errors ~ARMA(1,0)(2,1)[12]

I am fitting monthly data that are expected to be auto-regressive (streamflow), but I want to include other independent variables (in my case it is a multivariate regression, with about 4 variables). ...
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0answers
206 views

Making a Time-series Stationary: Order of Operations

Following various sources including this post, which is the correct approach to making a time-series stationary? Remove trend Remove seasonality or Remove seasonality with estimated trend Re-...
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1answer
130 views

Removing Seasonality

Excuse me for the basic question; however I am having trouble removing seasonality from this data. I have been using Win X-13 with no luck so far (it doesn't appear to do much to remove the ...
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2answers
108 views

Suggested software to compute seasonal arima model

My issue is really simple: I need to compute a seasonal arima model on traffic data (5 min frequency). The data exhibits daily seasonality (288 observations). This is causing me issues in computing ...
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0answers
49 views

Seasonal adjustment question, why do days matter?

I have a simple ols equation where the independent variable is total production in a month. I seasonally adjust the data with an x12 and run the ols and get my estimates. The strange thing is, if I ...
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2answers
6k views

How to interpret decomposition plot and check for seasonality

I'm new to this and I have a question about the results that I get from checking whether my data contains seasonality or not. I have a csv file which contains date, period and year. However, R reads ...
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1answer
5k views

Interpreting the result of decomposing time series

I don't have a lot of experience working with time series data. Now I have a 3 year, monthly data for several entities (you can think about them as different stores), that I would like to do some ...
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1answer
3k views

How do I remove the seasonality of a time series?

I want to know which is the procedure to remove the seasonality (anual cycle, monthly cycle, daily cycle) of a time serie. I plotted the Autocorrelogram of my time series and I extracted from there ...
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1answer
305 views

Cointegration between a variable of significant seasonality and one with no significant seasonality

After running programs of deseasonalization, I had an output in which one variable held significant seasonality, for which I corrected, and another that did not have. My main objective was to ...
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1answer
2k views

Simple algorithm for online outlier detection of a generic time series II: Daily cycle within annual

I have several years of sensor data (temperature and relative humidity) that records every 1/2 hour. When the sensor dies, it often starts throwing bad data mixed in with good data before it dies ...
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1answer
580 views

Interpretation differences between deterministic seasonality and deseasonalized data with X-13 SEATS

I am running X-13 SEATS on r for monthly data in six years of observations and I think I got a (sufficiently) reasonable fit for the ARIMA model, but the output also shows me that my original series ...
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1answer
162 views

Examine historical demand data

I have to examine historical sales data in order to figure out which calendar events have an influence. I would like to ask for some feedback if it makes sense or what I could do better. What I have: ...
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1k views

Forecasting quarterly seasonal time series

I have to build a forecasting model to predict one very seasonal time series. I want to predict it with external variables. My first approach was to de-seasonalize the data (time series frequency is ...
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0answers
1k views

Dealing with seasonality in time series with no trend

I'm working with quarterly time series data. The series does not have a trend but fluctuates around more or less a constant mean. I observe weak seasonality such that the values are somewhat lower on ...
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1answer
981 views

The results and specifics from the 'qs' function in R

I'm not entirely familiar with the results of the qs() function in R's package seasonal. But, by what I understand roughly, the ...
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1answer
646 views

Exponential smoothing method that can be used in seasonal forecasting without trend

I'm working on the task of forecasting. The data I have is seasonal. I use exponential smoothing methods, but my references (e.g. for the Holt-Winters method) are for using such methods for seasonal ...
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2answers
5k views

Why is stl function giving significant seasonal variation with random data

I plotted with following code with stl (Seasonal Decomposition of Time Series by Loess) function: plot(stl(ts(rnorm(144), frequency=12), s.window="periodic")) ...
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1answer
185 views

How to analyze time series with multiple readings per unit time

I have data as follows: ...
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3k views

Forecasting and decomposition of hourly time series with 2 seasonal periods

I have hourly temperature data over a 5 year period with a lot of missing values. They have 2 seasonal periods: daily (24) and annual (365*24). I am very interested in the diurnal cycles of the ...
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0answers
250 views

Forecasting one dataset using data and correlation from another using R: commercial centers entrances and restaurant sales figures

Please, be kind, as I'm totally noob in stats and R... I'm the owner of a small restaurant in a commercial center, and I managedd to collect two main dataset, commercial-center (cc) and restaurant (...
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1answer
434 views

How to fit an ARIMA model with seasonality in R? [closed]

I have a set of monthly data and detected seasonality. The ACF and PACF is shown below. How can I set c=(p,d,q) for non-seasonal part and c=(P,D,Q) for seasonal part based on the figures.
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1answer
2k views

What is the best filter/way for deseasonalizing quarterly data?

There are many deseasonalization techniques for deseasonalizing quarterly time series data: 1. Filter: Centered moving averages 2. Filter/way: automatic ARIMA selection using X-11-Auto , X-11 based ...
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2answers
8k views

How can I produce a de-seasonalized time series in R?

I have a time series of hourly activity levels for a period of about 2 months (1704 observations). There is obviously a strong "seasonal" component (freq=24) to this time series, with activity showing ...
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4answers
7k views

Is this an appropriate method to test for seasonal effects in suicide count data?

I have 17 years (1995 to 2011) of death certificate data related to suicide deaths for a state in the U.S. There is a lot of mythology out there about suicides and the months/seasons, much of it ...
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3answers
11k views

Forecast daily data with weekly and monthly seasonality using exponential smoothing

I have to forecast data that exhibits dual seasonality. For example, the first day of the week can show seasonality and also the first week of the month can show seasonality. I am planning to use ...
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3answers
57k views

Daily Time Series Analysis

I am trying to do time series analysis and am new to this field. I have daily count of an event from 2006-2009 and I want to fit a time series model to it. Here is the progress that I have made: <...
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1answer
649 views

deseasonalizing multiple series (more than 200 variables)

I'm trying to produce deseasonalization for multiple series using x-12 ARIMA (as an alternative, if you can manage, you also could provide an idea with other methods, such as x-13 ARIMA). The thing is ...
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0answers
121 views

What do you think is the right tooling to separate sub-time series from a single big time series?

I would like to separate a big time series into its components to improve forecasting. To clarify: I would like to find the different components - maybe it is better to say frequencies which ...
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3answers
1k views

Hypothesis testing for seasonality

i want to make hypothesis test for a data for pH values measured for each month of a year. I want to test whether there is any correlation ie: are the values for month of summer having similar values ...
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1answer
5k views

Finding cycles in data using a periodogram and Fast Fourier Transform

Problem: Detecting cyclical patterns in daily data using periodogram and FFT. The issue is how to code in R the periodogram to detect monthly, quarterly, semi-annual, annual..etc cyclical patterns in ...
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1answer
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What does “identifiable seasonality” mean in X11 documentation?

Specifically, I found the reference in the SAS PROC X11 documentation pages, and am curious what the modifier "identifiable" means in this context. Thanks! Additional context from the link ...
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1answer
243 views

daily data series that exist seasonal component

I've a daily dataset(n=76), i try to find the best ARIMA model for forecasting purposes. When i check the correlogram (ACF), i found that there is a wave like pattern and this told me my data presence ...
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1answer
1k views

Seasonal Indexes adding to zero

In the textbook Forecasting: principles and practice by Hyndman and Athana­sopou­los, in the Classical Decomposition (Sec 6.3), in step 3 of the additive decomposition algorithm, the authors state ...
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1answer
344 views

Stationarity and seasonality of residuals

Why is it necessary to evaluate stationarity and seasonality of model residuals? Or is it? The model in question is an OLS model that represents a relationship between Y and a bunch of economic ...
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0answers
231 views

How to remedy seasonality in a multiple regression model

I am trying to build an economic model using multiple regression, and I am not sure how to remedy seasonal effects. I am collecting data across several different variables, and building three models ...
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0answers
720 views

Seasonal Kendall test and the Mann-Kendall test

I am trying to detect trends using non-parametric methods but I'm a little confused as to when you should apply the Seasonal Kendall test. Don't get me wrong I know you apply it when you have ...
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0answers
706 views

Automatic periodicity detection in noisy multi-variate time series data

What techniques can i use for automatic periodicity detection specifically in noisy "multi-variate" time series data? By multi-variate time series, i mean that i have multiple (>1000) variables ...
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2answers
936 views

markov chain with probability trends

I have clients with debts that can pass from states own 1 bill, own 2 bills, own 3 bills, leave the service, new debtors and owe nothing. So I could calculate the probabilities of being in state ...
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1answer
433 views

why the non-seasonal and seasonal parts are multiplied in ARIMA models?

I would like to understand why the non-seasonal and seasonal parts are multiplied in Seasonal ARIMA models. To be more specific: when we use the Seasonal ARIMA model we assume a multiplicative ...