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A Seasonal Adjustment Filter for Use in Box Jenkins Analyses of Seasonal Time Series
Author(s) -
Conradsen Knut,
Spliid Henrik
Publication year - 1981
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346389
Subject(s) - box–jenkins , seasonal adjustment , series (stratigraphy) , seasonality , time series , environmental science , climatology , econometrics , meteorology , mathematics , geography , statistics , autoregressive integrated moving average , geology , mathematical analysis , paleontology , variable (mathematics)
S ummary A seasonal adjustment filter of the form y t = z t – (1 – α) z t ‐ n – α z t –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 y t = z t ‐ z t ‐ n .
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