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Selection and estimation of component models for seasonal time series.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
<mark>Journal publication date</mark>09/2000
<mark>Journal</mark>Journal of Forecasting
Issue number5
Volume19
Number of pages25
Pages (from-to)393-417
Publication StatusPublished
<mark>Original language</mark>English

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.