I have a time series x = f(t), where t is taken for each month. What is the best function to detect if _x_ has a seasonal variation? If there is such seasonal effect, what is the best function to estimate it? Function arima has a "seasonal" parameter, but I guess this is too complex to be useful. Alberto Monteiro
?monthplot ?stl On 8/10/07, Alberto Monteiro <albmont at centroin.com.br> wrote:> I have a time series x = f(t), where t is taken for each > month. What is the best function to detect if _x_ has a seasonal > variation? If there is such seasonal effect, what is the > best function to estimate it? > > Function arima has a "seasonal" parameter, but I guess this is > too complex to be useful. > > Alberto Monteiro > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Felix Andrews / ??? PhD candidate Integrated Catchment Assessment and Management Centre The Fenner School of Environment and Society The Australian National University (Building 48A), ACT 0200 Beijing Bag, Locked Bag 40, Kingston ACT 2604 http://www.neurofractal.org/felix/ voice:+86_1051404394 (in China) mobile:+86_13522529265 (in China) mobile:+61_410400963 (in Australia) xmpp:foolish.android at gmail.com 3358 543D AAC6 22C2 D336 80D9 360B 72DD 3E4C F5D8
Hello Alberto, hello Felix, aside of monthplot() and stl(), there is the possibility to use Census X-12-ARIMA. The program can be downloaded from: http://www.census.gov/srd/www/x12a/ It should be mentioned that this is *not* a pure R solution, but one can set up the relevant scripts and output files and call the program from R and read in the relevant numbers back into R again. Best, Bernhard>?monthplot > >?stl > > >On 8/10/07, Alberto Monteiro <albmont at centroin.com.br> wrote: >> I have a time series x = f(t), where t is taken for each >> month. What is the best function to detect if _x_ has a seasonal >> variation? If there is such seasonal effect, what is the >> best function to estimate it? >> >> Function arima has a "seasonal" parameter, but I guess this is >> too complex to be useful. >> >> Alberto Monteiro >> >> ______________________________________________ >> R-help at stat.math.ethz.ch mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. >> > > >-- >Felix Andrews / ??? >PhD candidate >Integrated Catchment Assessment and Management Centre >The Fenner School of Environment and Society >The Australian National University (Building 48A), ACT 0200 >Beijing Bag, Locked Bag 40, Kingston ACT 2604 >http://www.neurofractal.org/felix/ >voice:+86_1051404394 (in China) >mobile:+86_13522529265 (in China) >mobile:+61_410400963 (in Australia) >xmpp:foolish.android at gmail.com >3358 543D AAC6 22C2 D336 80D9 360B 72DD 3E4C F5D8 > >______________________________________________ >R-help at stat.math.ethz.ch mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. >***************************************************************** Confidentiality Note: The information contained in this mess...{{dropped}}
Alberto Monteiro wrote:> I have a time series x = f(t), where t is taken for each > month. What is the best function to detect if _x_ has a seasonal > variation? If there is such seasonal effect, what is the > best function to estimate it? >From my own experience, I had the impression that there is nothing like a best approach to estimate the seasonal component of time series data. Maybe it is possible for you to simulate the assumed nature of your data (variable trend? variable seasonal pattern? count data with overdispersion? maybe a bimodal pattern every year?) and then try various of these methods and check if they can extract your input approximately correctly? Best, Roland