A Seasonal Adjustment Filter for Use in Box Jenkins Analyses of Seasonal Time Series

Knut Conradsen and Henrik Spliid

Journal of the Royal Statistical Society Series C, 1981, vol. 30, issue 2, 172-177

Abstract: A seasonal adjustment filter of the form yt = zt – (1 – α) zt ‐ n – αzt –n ‐ 1 is discussed. The purpose of this filter is to remove periods around n + α. The gain and phase of the filter is given, and in a case of fitting tides it shows better performance than filters of the form yt = zt ‐ zt ‐ n.

Date: 1981
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