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.

Filter by
Sorted by
Tagged with
15
votes
1answer
2k views

Multivariate biological time series : VAR and seasonality

I have a multivariate time series dataset including interacting biological and environmental variables (plus possibly some exogenous variables). Beside seasonality, there is no clear long-term trend ...
5
votes
1answer
3k views

How to interpret R stl() output

I want to have a logical interpretation of the results of my stl analysis. ...
1
vote
0answers
2k views

R - ARIMA model with long seasonal periods - Error: “length of x and xreg does not match”

i want to use an ARIMA model in R for predicting an electrical load on a minutely basis. By examining the ACF I figured out which model could suit. The ACF has shown that the value one day ahead has a ...
1
vote
1answer
366 views

ARIMA with difficult seasonality in R

I have non-stationary time series. It has evident trend in means and seasonality. These raw data are measured every second. On the plot of original series I see trend and seasonality about 80,81 (...
2
votes
1answer
2k views

Using anomalies to calculate trends of seasonal data

I commonly see people doing trend analysis of (monthly) timeseries data which show a strong inter-annual cycle following this scheme: compute climatological means ("mean January", "mean February", ......
0
votes
2answers
952 views

Deterministic components in covariates/exogenous variables in time series models

Actually, I have read a pair of books about time series analysis, but I am still not sure about how to treat deterministic components, like trend and seasonality, in the exogenous variables in a time ...
2
votes
1answer
1k views

Creating alert system based on standard deviation and mean: How to deal with small sample size, trends and seasonality?

I'm trying to build a daily alert system to let me know when something unusual has happened in my analytics data that might require further investigation. Right now I'm taking 7 weeks worth of data, ...
17
votes
1answer
1k views

Problem defining ARIMA order

This is a long post so I hope you can bear with me, and please correct me where I'm wrong. My goal is to produce a daily forecast based on 3 or 4 weeks of historical data. The data is 15 minute ...
6
votes
2answers
349 views

Treatment of triple seasonal data

I have a data set of electricity spot prices, which contains three kinds of seasonality: one within 24 hours, one within a week and one within a year. I want to use an R package (...
3
votes
2answers
625 views

How to predict demand from historical “continuous” event data (date, lat, lon)?

I am attempting to predict demand for our service, both quantity but maybe more important, location (hotspots). I am by no means an experienced statistician, so I need some help :) I have all the ...
1
vote
0answers
281 views

Accounting for seasonality when using gradient boosting

I'm a novice attempting to predict automobile sales using a combination of previous sales (seasonal AR model), macroeconomic indicators such as CPI, consumer sentiment index etc. and more ...
13
votes
2answers
13k views

Forecasting hourly time series with daily, weekly & annual periodicity

Major edit: I would like to say big thanks to Dave & Nick so far for their responses. The good news is that I got the loop to work (principle borrowed from Prof. Hydnman's post on batch ...
2
votes
1answer
252 views

Frequency for tbats function in R

I have 3 complete years + 4 weeks of weekly time series data. One of the years is a leap year. Should I calculate its frequency by $(365\times 2+366)/(3\times 7)$?
2
votes
2answers
161 views

Seasonality criterion?

I'm working on a model of saving account amounts. It shows a seasonality: On the 1st day of every month the amount always decreases. This is reasonable as people probably need draw money to pay ...
4
votes
1answer
3k views

Why does auto.arima() give negative output?

This is the dataset on which I am working currently, which is production data. Data: ...
4
votes
2answers
2k views

Why is normalizing seasonal adjustment factors done additively?

One of the methods for dealing with seasonal influence is to establish a multiplicative factor for each season within a "year". For example, this happens with exponential smoothing models of type $(*,*...
2
votes
2answers
3k views

Seasonal dummies significance issues

I have a question concerning the significance of the seasonal dummies in my ARIMA-model (I do not use seasonal differencing or seasonal AR/MA as I have quite regular seasonality and I get better ...
4
votes
1answer
768 views

Residuals in double seasonal exponential smoothing

I have a time series with muliple seasonal cycles, which are 24 and 168 hours for my case. I would like to use Double Seasonal Exponential Smoothing method to forecast, which was published by James W. ...
1
vote
1answer
1k views

Including seasonality in regression

I am regressing monthly data that I know has significant seasonality. I have about 50 monthly observations. I was thinking of using 12 variables and for each row of my data turn on one variable ...
-1
votes
1answer
154 views

What does seasonality of 1 mean?

What does having a seasonality of 1 mean? Suppose I have hourly data and I define the seasonality to be 1, does that mean the data will be dealt with as if there is no seasonality?
11
votes
2answers
822 views

How to model month to month effects in daily time series data?

I have two time series of daily data. One is sign-ups and the other terminations of subscriptions. I'd like to predict the ...
5
votes
0answers
1k views

Best practices for dealing with shifting, inconsistent seasonality

This question is related to a previous post I've looked at (Calculation of seasonality indexes for complex seasonality), but deals with more granular data (daily instead of weekly), and transforming ...
6
votes
1answer
5k views

ARIMA and external regressors in SAS and R

So I remember reading somewhere that when we have external regressors, auto.arima cannot make correct predictions for the order of difference for either ...
1
vote
0answers
374 views

Harmonic or dummy seasonal model

Within the BFAST package in R, one of the parameters that it gives is the choice of seasonal model parameter (harmonic, dummy, or none). I understand what none does; However, I didn't really ...
0
votes
1answer
1k views

Time series deseasonalization

How do you know when deseasonalization is not necessary? That is, from what I understand, if you want to just look at the trend and irregular components of a time series, then you just need to remove ...
1
vote
0answers
91 views

Including seasonal dummies in regression

I've downloaded some data. Problem is some of them have been seasonally adjusted while the rest have not. I could not find data that have all been seasonally adjusted. Wonder if I run a regression ...
3
votes
2answers
39k views

Identify seasonality in time series data [duplicate]

I want to detect presence of seasonality in time series data. I know one can achieve that by plotting the autocorrelation function but I need an automatic process if the series is seasonal or not, ...
1
vote
1answer
2k views

using stl (seasonal decomposition with loess) for weekly data

I am trying to decompose a weekly time series using the R function 'stl'. One of the important argument of this function is the number of data per cycle. Naturally in this case one would choose 52. ...
2
votes
1answer
2k views

What to do about Seasonality Patterns in ACF, Time Series Data

I'm dealing with a time series data and I'm trying to construct a time series model for this particular dataset. I'm new to R and tried using the the auto.arima ...
9
votes
2answers
17k views

ARIMA forecast with seasonality and trend, strange result

as I am stepping into forecasting with ARIMA models, I am trying to understand how I can improve a forecast based on ARIMA fit with seasonality and drift. My data is the following time series ( over ...
2
votes
1answer
967 views

ARIMA modeling: can seasonal data be seasonally stationary?

I am new to ARIMA modeling and currently encountering a weird situation with time series of count data. The time plot shows clear seasonal patterns.ACF also hints on presence of seasonality. However, ...
2
votes
0answers
111 views

Seasonal component for a series that is only one and a half years

I have a times series for temperature and I am trying to decompose it into a seasonal + trend + stochastic process to look at what model would fit for the stochastic process. However, I only have ...
2
votes
2answers
4k views

What is the best way to strip weekly and seasonal noise from a time series data set?

What is the best way to strip weekly and seasonal noise from a time series data set? Any recommendations on different approaches and there relative benefits?
3
votes
2answers
2k views

Treating non-stationarity of time series in seasonal adjusted data with R

I'm currently trying to use a variable x (and others) to explain a dependent variable y in a distributed lag model (with the long term goal of predicting variable y). The plot of variable x shows an ...
8
votes
2answers
12k views

Two seasonal periods in ARIMA using R

I'm currently using R to predict a time series with these instructions: ...
0
votes
1answer
3k views

Predict sales levels with decision trees

I need to build a model using climate variables (temperature, rainfall) to predict monthly sales (horizon of 6 months) for certain product. The data has strong seasonality and a standard regression ...
3
votes
2answers
1k views

Handling forecast mean with complex seasonality

I'm using a time-series model to do weekly forecasts on the number of incoming calls to a company. This variable has a weekly 'in-month' pattern and a monthly 'in year' pattern, and i have data from ...
17
votes
1answer
13k views

Criteria to set STL s.window width

Using R to perform STL decomposition, s.window con­trols how rapidly the sea­sonal com­po­nent can change. Small val­ues allow ...
0
votes
1answer
439 views

What's the best model to analyze inflation seasonal adjustment with R?

Please, put in R the following structure: ...
6
votes
1answer
250 views

Contraindication for STL decompostion

Trying to "understand" a time series' patterns it is intuitively tempting to use STL decomposition as the concept of distinguishing between trend, season and the rest makes sense. But my experience ...
7
votes
1answer
6k views

Time series modeling with high-frequency data

I'm looking for some forecasting advice when dealing with seasonal time series data that has a large number of observations. By "large" I only mean a few thousand --- I'm used to such sizes in Data ...
0
votes
1answer
3k views

Calculate trend slope after STL decomposition

I have a time-series of daily measurements of some quantity for 1995-2011. There's about one measurement every three days. The data show a strong seasonality (annual cycle). What I ultimately want ...
2
votes
1answer
855 views

I can't tell whether my data are seasonal or just affected by calendar effects

I used to think my time-serie was seasonal, but then I realized it simply needed some calendar-effect adjustment. I tried that and I'm now in doubt there might still be some seasonality left. I tried ...
9
votes
1answer
1k views

Seasonally adjusted month-to-month growth with underlying weekly seasonality

As a side hobby, I have been exploring forecasting time series (in particular, using R). For my data, I have the number of visits per day, for every day going back almost 4 years. In this data there ...
-9
votes
1answer
305 views

Business forecasting [closed]

Data can have trends, cycles, seasonal pattern repeats and irregular components. How do these components impact on the ordinary multiple regression with dummy variables?
4
votes
2answers
791 views

Seasonality of treatment and Average Treatment Effect

I have panel data of sales for many stores in two comparable cities. One of the cities holds a special event once a month (the treatment) which is expected to boost sales across the board on that day. ...
2
votes
1answer
1k views

Characteristics of gold prices in an ARIMA model analysis

I'm forecasting gold prices using an ARIMA model. An ARIMA model requires a stationary, non-seasonal, linear series. However, after reading a few books, it seems that gold price data is nonstationary,...
2
votes
0answers
308 views

Predicting outlier series in Kalman filter

I have built a Kalman Filter model for flu forecasting as shown below. Y - Target Variable X1 - Predictor1 X2 - Predictor2 While forecasting into the future, I will NOT have data for all three ...
0
votes
1answer
560 views

How to set the seasonality length to 7 using the ets function in R?

I am new to R and am hoping to use ets from the forecast package to forecast daily data which has a weekly pattern. Is there ...
8
votes
2answers
3k views

What are ways to deal with circular covariates (e.g. with a GAM)?

I'm building a model in which several of my covariates live on a "circle", in the sense that they take values in the interval [0,1), and 0=1. I'm wondering about techniques for dealing with this ...