DESEASONALIZE: MATLAB function to remove short and long term seasonal components

Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: MATLAB
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)
Date: 2010-05-01
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http://fmwww.bc.edu/repec/bocode/d/deseasonalize.m program file (text/plain)

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