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Selection and estimation of component models for seasonal time series.

Haywood, John and Tunnicliffe Wilson, Granville (2000) Selection and estimation of component models for seasonal time series. Journal of Forecasting, 19 (5). pp. 393-417. ISSN 0277-6693

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Abstract

We present a method for investigating the evolution of trend and seasonality in an observed time series. A general model is fitted to a residual spectrum, using components to represent the seasonality. We show graphically how well the fitted spectrum captures the evidence for evolving seasonality associated with the different seasonal frequencies. We apply the method to model two time series and illustrate the resulting forecasts and seasonal adjustment for one series.

Item Type: Article
Journal or Publication Title: Journal of Forecasting
Uncontrolled Keywords: seasonal time series ; evolving seasonality ; spectrum components ; frequency domain estimation
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 19345
Deposited By: ep_ss_importer
Deposited On: 17 Nov 2008 16:04
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 15:28
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19345

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