STR: Seasonal-Trend Decomposition Using Regression
Author
Abstract
Suggested Citation
DOI: 10.1287/ijds.2021.0004
Download full text from publisher
References listed on IDEAS
- Julius Shiskin, 1957. "Electronic Computers and Business Indicators," NBER Books, National Bureau of Economic Research, Inc, number juli57-1.
- Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius, 2011. "Statistical Software for State Space Methods," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i01).
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge Books,
Cambridge University Press, number 9780521405737, September.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, September.
- Montero-Manso, Pablo & Athanasopoulos, George & Hyndman, Rob J. & Talagala, Thiyanga S., 2020.
"FFORMA: Feature-based forecast model averaging,"
International Journal of Forecasting, Elsevier, vol. 36(1), pages 86-92.
- Pablo Montero-Manso & George Athanasopoulos & Rob J Hyndman & Thiyanga S Talagala, 2018. "FFORMA: Feature-based forecast model averaging," Monash Econometrics and Business Statistics Working Papers 19/18, Monash University, Department of Econometrics and Business Statistics.
- Frederick R. Macaulay, 1931. "Appendices to "The Smoothing of Time Series"," NBER Chapters, in: The Smoothing of Time Series, pages 118-169, National Bureau of Economic Research, Inc.
- Frederick R. Macaulay, 1931. "The Smoothing of Economic Time Series, Curve Fitting and Graduation," NBER Chapters, in: The Smoothing of Time Series, pages 31-42, National Bureau of Economic Research, Inc.
- Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, September.
- Frederick R. Macaulay, 1931. "The Smoothing of Time Series," NBER Books, National Bureau of Economic Research, Inc, number maca31-1.
- Thiyanga S Talagala & Rob J Hyndman & George Athanasopoulos, 2018. "Meta-learning how to forecast time series," Monash Econometrics and Business Statistics Working Papers 6/18, Monash University, Department of Econometrics and Business Statistics.
- Frederick R. Macaulay, 1931. "Introduction to "The Smoothing of Time Series"," NBER Chapters, in: The Smoothing of Time Series, pages 17-30, National Bureau of Economic Research, Inc.
- Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, September.
- Inyoung Kim & Noah D. Cohen & Raymond J. Carroll, 2003. "Semiparametric Regression Splines in Matched Case-Control Studies," Biometrics, The International Biometric Society, vol. 59(4), pages 1158-1169, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jiang, Haiyang & Du, Ershun & He, Boyu & Zhang, Ning & Wang, Peng & Li, Fuqiang & Ji, Jie, 2023. "Analysis and modeling of seasonal characteristics of renewable energy generation," Renewable Energy, Elsevier, vol. 219(P1).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Alexander Dokumentov & Rob J. Hyndman, 2015. "STR: A Seasonal-Trend Decomposition Procedure Based on Regression," Monash Econometrics and Business Statistics Working Papers 13/15, Monash University, Department of Econometrics and Business Statistics.
- Viv B. Hall & Peter Thomson, 2021.
"Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 151-183, November.
- Hall, Viv B & Thomson, Peter, 2020. "Does Hamilton’s OLS regression provide a “better alternative” to the Hodrick-Prescott filter? A New Zealand Business Cycle Perspective," Working Paper Series 21070, Victoria University of Wellington, School of Economics and Finance.
- Olivares, Kin G. & Challu, Cristian & Marcjasz, Grzegorz & Weron, Rafał & Dubrawski, Artur, 2023.
"Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 884-900.
- Kin G. Olivares & Cristian Challu & Grzegorz Marcjasz & Rafal Weron & Artur Dubrawski, 2021. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," WORking papers in Management Science (WORMS) WORMS/21/07, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Wang, Shuai & Yu, Lean & Tang, Ling & Wang, Shouyang, 2011. "A novel seasonal decomposition based least squares support vector regression ensemble learning approach for hydropower consumption forecasting in China," Energy, Elsevier, vol. 36(11), pages 6542-6554.
- Terence Mills, 2007. "A Note on Trend Decomposition: The 'Classical' Approach Revisited with an Application to Surface Temperature Trends," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(8), pages 963-972.
- Viv B Hall & Peter Thomson, 2020.
"Does Hamilton’s OLS regression provide a “better alternative†to the Hodrick-Prescott filter? A New Zealand business cycle perspective,"
CAMA Working Papers
2020-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hall, Viv B & Thomson, Peter, 2020. "Does Hamilton’s OLS regression provide a “better alternative†to the Hodrick-Prescott filter? A New Zealand Business Cycle Perspective," Working Paper Series 8956, Victoria University of Wellington, School of Economics and Finance.
- Talagala, Thiyanga S. & Li, Feng & Kang, Yanfei, 2022. "FFORMPP: Feature-based forecast model performance prediction," International Journal of Forecasting, Elsevier, vol. 38(3), pages 920-943.
- Shouvik Chakraborty, 2012. "Is Export Expansion of Manufactured Goods an Escape Route from Terms of Trade Deterioration of Developing Countries?," Journal of South Asian Development, , vol. 7(2), pages 81-108, October.
- Ingel, Anti & Shahroudi, Novin & Kängsepp, Markus & Tättar, Andre & Komisarenko, Viacheslav & Kull, Meelis, 2020. "Correlated daily time series and forecasting in the M4 competition," International Journal of Forecasting, Elsevier, vol. 36(1), pages 121-128.
- Hall, Viv & Thomson, Peter & McKelvie, Stuart, 2015. "On trend robustness and end-point issues for New Zealand’s stylised business cycle facts," Working Paper Series 18867, Victoria University of Wellington, School of Economics and Finance.
- Dagum Estela Bee & Luati Alessandra, 2004. "Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-18, May.
- Alessandra Luati & Tommaso Proietti, 2011.
"On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 851-871, August.
- Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany.
- Hall, Viv & Thomson, Peter & McKelvie, Stuart, 2015. "On trend robustness and end-point issues for New Zealand’s stylised business cycle facts," Working Paper Series 3761, Victoria University of Wellington, School of Economics and Finance.
- Viv B. Hall & Peter Thomson & Stuart McKelvie, 2017. "On the robustness of stylised business cycle facts for contemporary New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 51(3), pages 193-216, September.
- Otto-Sobotka, Fabian & Salvati, Nicola & Ranalli, Maria Giovanna & Kneib, Thomas, 2019. "Adaptive semiparametric M-quantile regression," Econometrics and Statistics, Elsevier, vol. 11(C), pages 116-129.
- Arthur Charpentier & Emmanuel Flachaire & Antoine Ly, 2017. "Econom\'etrie et Machine Learning," Papers 1708.06992, arXiv.org, revised Mar 2018.
- Hyunju Son & Youyi Fong, 2021. "Fast grid search and bootstrap‐based inference for continuous two‐phase polynomial regression models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
- Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2017.
"Generalized partially linear regression with misclassified data and an application to labour market transitions,"
Computational Statistics & Data Analysis, Elsevier, vol. 110(C), pages 145-159.
- Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2015. "Generalised partially linear regression with misclassied data and an application to labour market transitions," FDZ-Methodenreport 201510 (en), Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2015. "Generalised partially linear regression with misclassified data and an application to labour market transitions," ZEW Discussion Papers 15-043, ZEW - Leibniz Centre for European Economic Research.
- Zi Ye & Giles Hooker & Stephen P. Ellner, 2021. "Generalized Single Index Models and Jensen Effects on Reproduction and Survival," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(3), pages 492-512, September.
More about this item
Keywords
time series decomposition; seasonal data; Tikhonov regularization; ridge regression; LASSO; STL; TBATS; X-12-ARIMA; BSM;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:orijds:v:1:y:2022:i:1:p:50-62. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.