Trend and seasonal decomposition in discrete time |
| |
Authors: | Hartmut Hebbel Siegfried Heiler |
| |
Affiliation: | 1. Fachbereich Statistik, Universit?t Dortmund, Postfach 50 05 00, 4600, Dortmund 50
|
| |
Abstract: | A time series is decomposed into a trend-cyclical plus seasonal component by minimizing the sum of a smoothness and a goodness of fit criterion. The smoothness criterion is such that polynomials (trend-cyclical component) and trigonometric functions (seasonal component) are rated with the ideal value zero. The residual sum of squares serves as goodness of fit criterion. The solution is then decomposed into the two components in a natural way. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |