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DESEASONALIZE: MATLAB function to remove short and long term seasonal components
Rafał Weron Statistical Software Components from Boston College Department of Economics
DESEASONALIZE returns deseasonalized time series and the short- (STSC) and long-term seasonal components (LTSC). The LTSC is obtained either through wavelet decomposition or by fitting a sinusoid. The STSC is extracted by finding the mean or median periodic component. The original and deseasonalized time series can be plotted together with their periodograms.
Requires: MATLAB (tested on MATLAB ver. 7.2 with Wavelet and Signal processing toolboxes), REMST.M (available from SSC)
Keywords: Seasonal decomposition; Time Series; Trend; Wavelet; Periodogram (search for similar items in EconPapers)
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Downloads: (external link) http://fmwww.bc.edu/repec/bocode/d/deseasonalize.m program file (text/plain)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:m429002
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