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A non‐linear dynamic model for multiplicative seasonal‐trend decomposition
Author(s) -
Ozaki Tohru,
Thomson Peter
Publication year - 2002
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.816
Subject(s) - multiplicative function , additive model , series (stratigraphy) , mathematics , seasonality , linear model , econometrics , seasonal adjustment , generalized additive model , statistics , computer science , mathematical analysis , paleontology , variable (mathematics) , biology
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 John Wiley & Sons, Ltd.