Seasonality and Periodicity

Tomas Cipra ()
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Tomas Cipra: Charles University, Faculty of Mathematics and Physics

Chapter Chapter 4 in Time Series in Economics and Finance, 2020, pp 87-112 from Springer

Abstract: Abstract This deals with the elimination of seasonal component describing periodic changes in time series which pass off during one calendar year and repeat themselves each year. Even if the moving averages from Sect. 3.2 are capable of eliminating the seasonality significantly (e.g., the monthly centered moving averages ( 3.68 ) have such an effect in the case of monthly seasonal observations), an effective seasonal analysis should moreover deliver so-called seasonal indices I1, I2, … , Is (s denotes the length of season, i.e., s = 12 in the case of monthly observations). These indices model the seasonality in particular seasons, and, moreover, they can be used not only to eliminate the seasonal phenomenon but also to construct predictions. However, they have sense only under the assumption that the seasonality is really regular so that its modeling by repeating seasonal indices is justified for the given time series.

Date: 2020
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DOI: 10.1007/978-3-030-46347-2_4

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