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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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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83 views
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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26 views
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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171 views
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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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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111 views
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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55 views
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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391 views
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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180 views
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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48 views
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.
$$ \frac{\theta(...
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How to set (p,d,q) and (P,D,Q) for SARIMA time series model
I have a time series dataset of monthly average temperature in Cayman from year 1823 to 2013, with dickey-fuller test = 0.008275 (I assume the series to be stationary since the test doesn't exceed 0....
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How are SARIMA models (which are non-linear in coefficients) generally estimated?
Very simple question but couldn't find answer to this online.
Taking $(1,0,0)(1,0,0)_{12}$ as an example,
$$(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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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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150 views
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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54 views
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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193 views
Is this seasonality additive or multiplicative? [closed]
Data from the M3 Comp Package
Is this additive or multiplicative seasonality
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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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1answer
90 views
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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3answers
134 views
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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1answer
78 views
How to convert/decompose SARMA model to Unobserved Component Model (UCM) to extract seasonal component?
Often in my work I need to remove seasonality from a time series to see underlying trends/cycles. Usually the seasonality is removed using UCM, estimated by some method. However, we often also fit ...
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263 views
Selecting lag order for VAR model with *weekly* seasonal data
If this has been asked elsewhere, I apologize - I've looked around and while there is lots of discussion about selecting lag order for VAR models, I haven't found anything addressing my specific ...
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Time Series Components wrt Multiplication and Addition
I was wondering whether a time series can be a combination of addition(+) and multiplication(*) of it's components.
For example
$$ TS = Trend(T) + Seasonality(S) + Local Pred(L) + Noise(N)$$
or
$...
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Can I model a trend and seasonal component for a stationary time series?
I modelled quarterly german inflationdata in a state space model with a stochastic level and stochastic seasonal. But now I recognized that I need a stationary time series because I have to compare it ...
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51 views
Time series when seasonality appear due to both solar and the lunar calendars
I have a time series data as shown in the figure below where the X axis is the serial number of the day of the year form 1 to 365 where 1 is 1-Jan and 365 or 366 is 31-Dec. The Y axis represents the ...
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Is it necessary to remove Seasonality while time series forecasting using ML methods ? Can't model learn it on itself?
I think ML model can learn from seasonal variations also.
But if we remove seasonal variations, model & add it back, then essentially, we will end up dividing learning into :
'seasonal variations ...
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1answer
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Neural network vs SARIMA
In real-time data, sometimes you find that you cannot get a certain seasonality for the data because it is difficult to identify. This happens a lot in the prices of commodities and the stock market ...
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Can a time series be stationary and still have seasonality?
Would there be a case that a time series does have seasonality but, ADF test fails to point it out. I want to be sure of it being stationary so that I can use it in a regression and be sure that the ...
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31 views
Forecasting method to use with large seasonal swing but otherwise stable data
I am attempting to forecast percentage of churn. However, I am running into issues. The churn is fairly stable except at each year anniversary point.
For example, data looks like this for the first ...
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71 views
First difference or seasonal difference in VAR/VECM
I have monthly data on house price, rental price, wage index and interest rates. I want to use VAR to produce impulse response function.
Is there any reason why I should use first difference, x(t)/x(...
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2answers
425 views
Measuring seasonality effect
I am working on a research problem related to time series analysis. Now, I have STL decomposition and FB Prophet to decompose my data into trend, seasonality and residual. I struggle with measuring ...
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1answer
108 views
Prewhitening with seasonal response and non-seasonal independent variable
I'm working to develop a forecasting model for a quarterly seasonal variable (quarterly estimated individual income tax payments) using several candidates for non-seasonal independent variables (...
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why is it that mstl decomposition models the higher frequency first?
I'm looking at the code for mstl decomposition and also at this mstl explanation and I see that the higher frequency seasonality (e.g. hour-of-day) is modeled first, the series is de-seasonalized and ...
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1answer
154 views
time series forecasting - predicting the next 24 hours
I have much the same problem as predict-the-next-24-hours, I have several years of hourly data of demand, and I would like to predict the next 24 hours.
Ignoring the multi-seasonality issues - is it ...
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2answers
114 views
Deseasonalize data AND deflate with CPI?
I have property return variables and economic variables that I am using in a VECM/VAR to generate Impulse Response Functions. I have deflated my data with CPI, but do I also have to deseasonalize the ...
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150 views
Detecting change point in a time series
I'm dealing with time series from satellite imagery, where I have a sudden change (drop), that I can see from the plot, but I need a statistical test to detect it. I already checked for stationarity ...
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why is the level equation in the holt winters triple exponential model different from the other two?
the double exponential model is so simple:
level: $s_t = \alpha x_t + (1-\alpha)(s_{t-1}+b_{t-1})$
trend: $b_t = \beta (s_t - s_{t-1}) + (1-\beta)b_{t-1}$
both intuitively weigh the new information ...
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Examining Cointegration Before or After Deseasonalizing
I am trying to build a VAR model with two time series, one of which is I(0) and one of which is I(1). I originally tested these for cointegration with a Johansen Test and found them cointegrated with ...
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Is it possible to find the seasal index after fitting ARIMA model?
Is it possible to find the seasonal index after ARIMA model?
My data is the number of visitors daily. I found the seasonal effect on the day of the weeks. Seasonal index was considered from a ...
