Subject ▸ Seasonality

Seasonal decomposition of short time series

Many users have tried to do a seasonal decomposition with a short time series, and hit the error “Series has less than two periods”. The problem is that the usual methods of decomposition (e.g., decompose and stl) estimate seasonality using at least as many degrees of freedom as there are seasonal periods. So you need at least two observations per seasonal period to be able to distinguish seasonality from noise.

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Monthly seasonality

I regularly get asked why I don’t consider monthly seasonality in my models for daily or sub-daily time series. For example, this recent comment on my post on seasonal periods, or this comment on my post on daily data. The fact is, I’ve never seen a time series with monthly seasonality, although that does not mean it does not exist. Monthly seasonality is defined as a regular pattern that recurs every month in data that is observed more frequently than monthly.

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R package forecast v7.2 now on CRAN

I’ve pushed a minor update to the forecast package to CRAN. Some highlights are listed here. Plotting time series with ggplot2 You can now facet a time series plot like this: library(forecast) library(ggplot2) lungDeaths <- cbind(mdeaths, fdeaths) autoplot(lungDeaths, facets=TRUE) So autoplot.mts now behaves similarly to plot.mts Multi-step fitted values The fitted function has a new argument h to allow computation of in-sample fitted values of more than one-step-ahead. In time series, fitted values are defined as the one-step-forecasts of the data used in training a model.

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The thief package for R: Temporal HIErarchical Forecasting

I have a new R package available to do temporal hierarchical forecasting, based on my paper with George Athanasopoulos, Nikolaos Kourentzes and Fotios Petropoulos. (Guess the odd guy out there!) It is called “thief” - an acronym for Temporal HIErarchical Forecasting. The idea is to take a seasonal time series, and compute all possible temporal aggregations that result in an integer number of observations per year. For example, a quarterly time series is aggregated to biannual and annual; while a monthly time series is aggregated to 2-monthly, quarterly, 4-monthly, biannual and annual.

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Seasonal periods

I get questions about this almost every week. Here is an example from a recent comment on this blog: I have two large time series data. One is separated by seconds intervals and the other by minutes. The length of each time series is 180 days. I’m using R (3.1.1) for forecasting the data. I’d like to know the value of the “frequency” argument in the ts() function in R, for each data set.

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ABS seasonal adjustment update

Since my last post on the seasonal adjustment problems at the Australian Bureau of Statistics, I’ve been working closely with people within the ABS to help them resolve the problems in time for tomorrow’s release of the October unemployment figures. Now that the ABS has put out a statement about the problem, I thought it would be useful to explain the underlying methodology for those who are interested.The Labour Force Survey The unemployment rate is derived from the monthly Labour Force Survey.

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Explaining the ABS unemployment fluctuations

Although the Guardian claimed yesterday that I had explained “what went wrong” in the July and August unemployment figures, I made no attempt to do so as I had no information about the problems. Instead, I just explained a little about the purpose of seasonal adjustment. However, today I learned a little more about the ABS unemployment data problems, including what may be the explanation for the fluctuations. This explanation was offered by Westpac’s chief economist, Bill Evans (see here for a video of him explaining the issue).

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Seasonal adjustment in the news

It’s not every day that seasonal adjustment makes the front page of the newspapers, but it has today with the ABS saying that the recent seasonally adjusted unemployment data would be revised.

I was interviewed about the underlying concepts for the Guardian in this piece.

Further comment from me about users paying for the ABS data is here.