A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle

 by Ekkehart Schlicht

Journal of the American Statistical Association 1981, 76(374), 374-378

Abstract

The decomposition of a given time series into trend, seasonal component, and irregular component is formulated as a minimization problem. The trend is chosen such that it is as smooth as possible; the seasonal component is chosen such that it exhibits a seasonal pattern as stable as possible; and the trend and seasonal components are jointly chosen such that the given time series is explained as well as possible by these two components; that is, the irregular component is minimized.

The so-called "Hodrick-Prescott Filter" is covered as a special case


Keywords: seasonal adjustment, smoothing, spline, descriptive decomposition, Hodrick-Prescott Filter

Article


Professor Dr. Ekkehart Schlicht: Veröffentlichungen/Publications
 

||||||||