Time series Decomposition Additive Model时间序列分解加性模型.pptVIP

Time series DecompositionAdditive Model Farideh Dehkordi-Vakil Classical Decomposition Additive Decomposition We assume that the time series is additive. A classical decomposition can be carried out using the following steps. Step 1: The trend cycle is computed using a centered MA of order k. Step2: The detrended series is computed by subtracting the trend-cycle component from the data Classical Decomposition Additive Decomposition Step3: In classical decomposition we assume the seasonal component is constant from year to year. So we the average of the detrended value for a given month (for monthly data) and given quarter (for quarterly data) will be the seasonal index for the corresponding month or quarter. Step4: the irregular series Et is computed by simply subtracting the estimated seasonality, and trend-cycle from the original data. The Time-Series Decomposition Forecast We have seen that using multiplicative model, a time series data can be decomposed into the product of four components: Y= The series to be forecast. T= The long–term trend based on deseasonalized data. It is often called the centered moving-average trend (CMAT) since the deseasonalized data are centered moving averages (CMA) of the original Y values. S = Seasonal indexes (SI). These are normalize average of seasonal factors that are determined as the ratio of each period’s actual value y to the deseaonalized value (CMA) for that period. The Time-Series Decomposition Forecast C = The cycle component. The cycle factor (CF) is the ratio of CMA to CMAT and represents the gradual wavelike movements in the series around the trend line. E = The irregular component. This is assumed equal to 1 unless the forecasters has reason to believe a shock may take place, in which case I could be different from 1 for all or part of the forecast period. The Time-Series Decomposition Forecast We know how to isolate and measure these components. To prepare a forecast based on the time series decomposit