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

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.