A Non-linear Dynamic Model for Multiplicative Seasonal-Trend Decomposition

Tohru Ozaki and Peter Thomson

Journal of Forecasting, 2002, vol. 21, issue 2, 107-24

Abstract: A non-linear dynamic model is introduced for multiplicative seasonal time series that follows and extends the X-11 paradigm where the observed time series is a product of trend, seasonal and irregular factors. A selection of standard seasonal and trend component models used in additive dynamic time series models are adapted for the multiplicative framework and a non-linear filtering procedure is proposed. The results are illustrated and compared to X-11 and log-additive models using real data. In particular it is shown that the new procedures do not suffer from the trend bias present in log-additive models. Copyright © 2002 by John Wiley & Sons, Ltd.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:21:y:2002:i:2:p:107-24

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