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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Seasonal ARIMA - Understanding the S term

I am reviewing the use and creation of seasonal ARIMA (SARIMA (P,D,Q)(p,d,q)[S]) models to use on some financial time-series data. However, as soon as I started, I hit a snag. More than one source is ...
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How to find whether the time series is seasonal and to find the period of seasonality if seasonal?

I need to find my time series data whether it is seasonal or not. My actual time series plot is shown below, The data is of irregular hourly data from January 1st of 2018 to August 1st of 2018. ...
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How to detect the anomaly in a time series data with trend and seasonality present? [duplicate]

I want to detect the outliers in a time series data which contains the trend and seasonality components. I want to leave out the peaks which are seasonal and only consider only the other peaks. As I ...
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280 views

What do these ACF and PACF plots tell you about AR and MA orders?

The residual of a seasonal_decompose (from python's statsmodels) yields the following ACF and PACF plots The sampling frequency of the time series is hourly, so the ACF plot hints at daily (24 ...
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Seasonal ARIMA- non stationarity after differencing and seasonal differencing

I am working with a seasonal time series, which is initially stationary. After many attempts, the best model that fits the data is an ARIMA(0,1,4)(0,1,1)[12]. However, checking for the stationarity of ...
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Trend & Seasonality Determination in Time Series without looking at Graph [duplicate]

Most of the articles I have read describe determining Trends and Seasonal (TS) effects through rolling your eyes on Graphs. Graph is a nice visual representation, but I am looking a way in either ...
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231 views

ARIMA Minute Data and Holidays

I have a minutely dataset for a year duration. It has a daily seasonality. This would imply a seasonal period of 1440 according to https://robjhyndman.com/hyndsight/seasonal-periods/ . I thought of ...
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ARIMA for daily data over 5 years - forecast package

I have a question to auto.arima and seasonality. I have to analyze 39 single datasets which are prices of futures or equities. There are missing data which I replace with na.approx. Then I calculate ...
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How to correctly utilize seasonal dummies

Suppose I am fitting a model with Arima errors. If there are no seasonal effects the model might be : $Y_t = \beta_0 + \beta_1 X_t + \epsilon_t$, where $\epsilon$ is an Arima process Say the data is ...
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348 views

Using Decomposition to Extrapolate seasonality, cycle and trends of predictors

I'm creating a dynamic regression model in which macroeconomic indicators are predictors/features in the model. I need to forecast these features n-steps into the future. I am planning to decompose ...
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243 views

SARIMA vs deseasonalizing with ARIMA [duplicate]

I am trying to check what is the differnce between modeling a time series with: SARIMA Deseasonalizing it first and then using ARIMA Is there a preferable method over the other? If yes, why ?
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ARIMA vs SARIMA

I am a self learner, and I am studying time series analysis. I came through the fact that ARIMA can be used to model a time series which is not stationary (Integrated ARMA model). The non ...
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1answer
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Removing multiple seasonalities from time series

I'm using statsmodels.tsa.seasonal.seasonal_decompose to remove seasonality from a time series. I can remove a seasonal component in this way: ...
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How do you deal with time series with long seasonality period?

I have a few time series (20+) to be jointly forecasted. They are minute-level data with an obvious weekly seasonality. Therefore the seasonality is 7*24*60=10080. Typical time series model can not ...
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516 views

Seasonality after 1st differencing

I am working with a financial time series (monthly frequency) and the raw data is not stationary according to ADF, KPSS. I then apply deflation (accounting for inflation), log transformation (to make ...
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1answer
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Decomposing U.S. Imports of Goods by Customs Basis from China

I'm working on a project which aims at analyzing the dataset U.S. Imports of Goods by Customs Basis from China (IMPCH). The main point is to make some prediction but we also want to do a little ...
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320 views

Difference between differencing data and removing trend line for stationarity

In reference to making data stationary for Arima: Is there a difference between subtracting a best fit line from data, and a first order difference? Or, subtracting an exponential fit from data, ...
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411 views

Questions on making data stationary for ARIMA

When doing a time series analysis I have read these instructions : ...
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What values of ARIMA(p,d,q)(P,D,Q)[7] should I use?

I am working on a data consisting of number of customers visiting a clinic for an X-ray scan on the daily basis. I have the data for the last 4 years. I am building a time series model to predict the ...
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111 views

seasonal vs non seasonal data regression

In a multiple regression, is it correct to regress seasonal data with non seasonal data? If it is not, how can I adjust the series in order to make forecasts?
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262 views

R - How can we simulate a time series data that have local trend and cycle seasonality

I want to simulate a time series in R, consisting a local trend and cycle seasonality. The cycle seasonality component is: I am using datagen.stsm to simulate a ...
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31 views

Modelling relationsip between time series variables - R

I have the below time series data. I want to model the relationship between the variables using R. ...
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What would Xt and delta Xt equation look like? [duplicate]

I have this SARIMA model, but I need to make final equations out of it. Can you help me out with this one? I am lost for 4 days. This is not DUPLICATE! I know there are a few "explanations" how to ...
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What is the use of xreg in auto.arima function?

I am working on predicting the number of customer attending an hospital to perform MR scan per day. I have the daily count of the customers attending the hospital for the last 4 years. But I am not ...
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Predicting a seasonal signal

Consider a noisy signal $X$ and a time variable $T$ as seen in Fig. 1. This is a simulated generalization of data I am currently facing with the goal of making predictions for future time points $t_f$....
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Understanding Seasonal ARIMA

I'm a bit struggling understanding the concept of Seasonal ARIMA. Because from what I've understood: when we modelize an ARIMA model, we want to transform the time series into a stationary series (...
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809 views

How do I interpret ARIMA(2,1,0) with drift

The code that Î used to generate ARIMA summary is arimafore = forecast(auto.arima(sales), h = 12) summary(arimafore) For forecasting 12 months I got the summary ...
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What is the residual, seasonal component in time-series decomposition represents?

I am doing time series analysis on the below dataset- Here's link This is what I got on the decomposition of the dataset in python- Well, I know the meaning of every word i.e- The trend represents ...
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159 views

SARIMA modelling results. Choosing the right lag for seasonal data

After differentiating a monthly climatic data with a lag of 12, and being sure that, at least, one more differentiation will turn my series into white noise (ndiffs ...
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2answers
98 views

Fitting an ARIMA Model to Seasonal Data [duplicate]

I am trying to attain an ARIMA model for the following Time Series Data: There is quite obviously a seasonal component - as the plot seems to oscillate between smaller and larger peaks, its seems to ...
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1answer
111 views

Irregular time series with multiple sampling sites

I have a dataset of marine debris items (number of items standardized per effort: Items/(number of volunteers * Hours * Length)) taken from 2 main locations (WA and Queensland) in Australia (8 Sub ...
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694 views

Transform a non-stationary time series to perform ARIMA

I have a time series (TS) of daily Particulate Matter (PM) data for 6 years. My PM data are not normally distributed. The result of the KPSS test returns p-value of 0.01 and t-statistic of 1.53 ...
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387 views

What model to fit given ACF and PACF (seasonal data)

I have highly seasonal data, (it's energy consumption) with mostly 24 hour and 168 hour (=1 week) periods and I have applied differencing by 168 hours (...
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148 views

AR and MA signatures in these autocorrelation and partial autocorrelation plots?

These are the ACF and PACF plots of a time series (daily aggregates/counts). The first plot is un-differenced and the second plot is after a seasonal difference of 7 days. My take looking at the ...
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2k views

Error while fitting data in auto.arima - R

I am running auto.arima for forecasting time series data and getting the following error: ...
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155 views

What is the corresponding model when I include drift in an SARIMA model with seasonal differences?

I fitted the following model, but I am not sure if the drift term is an intercept term or the mean of $y_t-y_{t-4}$ (as it seems in a blog post by Rob Hyndman). ...
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1answer
48 views

Interpreting Results of Time Series Decomposition

Suppose, after ACF and PCF investigation, I see my data has strong seasonality. I do both additive and multiplicative time series decomposition, just to check it results. I am not interested in ...
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Forecasting daily data with annual seasonality

i have been trying to do the forecasting model. My data has daily value and there is annual seasonality and probably weekly. My question is which model will be the best. I have tried with SARiMA but i ...
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3answers
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Does lack of seasonality imply random time series?

Some techniques for time series analysis (prediction) require that the time series not have seasonality. It seems that without seasonality, a time series is essentially random, in which case ...
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1answer
36 views

Spikes impact on time series stationarity

I have a demand time series that are highly impacted by promotion (spikes). Do spikes violate the assumptions of stationarity? Can we apply the KPSS test or ADF to test whether the series is ...
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909 views

Seasonal Mann Kendall vs Mann Kendall test [closed]

Does anyone have any thoughts on the use of these methods and when both might be used to explore trends in the data. I think most people who sample monthly, quarterly or biannually would jump ...
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259 views

How to choose the frequency value without know the seasonality of the data in R ts() package

I am trying to analyze the S$P 500 data on Kaggle. I have a daily values of the opening stock prices. As frequency is the number of observations taken in a cycle, I am guessing I need to know the ...
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3answers
722 views

Removing seasonality from a dataset where each 24 hour period of a day is normally or bimodally distributed

I'm trying to understand how best to approach the hypothetical example below. If have a data series which represents the load time of an web application and the load time increases as more people use ...
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108 views

How to fit an ARIMA model with multiple/complex seasonality in R

My dataset contains the following information aggregated into 5-minute intervals over one month: average vehicle speed in km/h time of the observations the day of the week Thus having 288 (12*24) ...
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102 views

TBATS decompostion and how to distinguish “real” sesonality

I am doing exploratory data analisis with TBATS decomposition, to get understand better seasonal patterns behind number of booking. One of my coworkers proposed that there is two weekly seasonality, ...
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3answers
306 views

Can I guess which time series model (ARIMA, SARIMA) I should use just by looking at the time series plot?

I have the time series plot shown above. Is is possible to know which model I should use solely by looking at this plot?
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418 views

Why is the ACF diagram showing seasonal patterns when they should have been removed by `decompose`?

I'm reading the book Introductory Time Series with R where the following code is given: ...
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Detecting seasonality in timestamped events

Cross Validated! I have a program that detects events in a large amount of measurement data. When it detects an event, it writes a timestamp. I have thousands of event timestamps. What I wish to do ...
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How do I model count data (Poisson regression) that has a seasonal pattern? [duplicate]

I'm rather new to R and poisson regression and have a few questions. I have count data of incidents per month, a couple years prior to an intervention and 1 year after. I want to use poisson ...
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866 views

Some questions about quarterly and monthly timeseries

I need some help in my forecasting analysis. In my company, for the most part, if we take a look at monthly sales time series we will find a lot of noise, a large standard deviation and variance, ...

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