Seasonal Adjustment Using S(n,m) Seasonal Filters

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This example shows how to apply $S_{n \times m}$ seasonal filters to deseasonalize a time series (using a multiplicative decomposition). The time series is monthly international airline passenger counts from 1949 to 1960.

Load Data

Load the airline data set.

load Data_Airline
y = DataTimeTable.PSSG;
T = length(y);

figure
plot(DataTimeTable.Time,y)
title('Airline Passenger Counts')
hold on

Figure contains an axes object. The axes object with title Airline Passenger Counts contains an object of type line.

The data shows an upward linear trend and a seasonal component with periodicity 12.

Detrend Data Using 13-term Moving Average

Before estimating the seasonal component, estimate and remove the linear trend. Apply a 13-term symmetric moving average, repeating the first and last observations six times to prevent data loss. Use weight 1/24 for the first and last terms in the moving average, and weight 1/12 for all interior terms.

Divide the original series by the smoothed series to detrend the data. Add the moving average trend estimate to the observed time series plot.

sW13 = [1/24;repmat(1/12,11,1);1/24];
yS = conv(y,sW13,'same');
yS(1:6) = yS(7); yS(T-5:T) = yS(T-6);

xt = y./yS;

plot(DataTable.Time,yS,'r','LineWidth',2)
legend(["Passenger counts" "13-Term Moving Average"])
hold off

Figure contains an axes object. The axes object with title Airline Passenger Counts contains 2 objects of type line. These objects represent Passenger counts, 13-Term Moving Average.

Create Seasonal Indices

Create a cell array, sidx, to store the indices corresponding to each period. The data is monthly, with periodicity 12, so the first element of sidx is a vector with elements 1, 13, 25,...,133 (corresponding to January observations). The second element of sidx is a vector with elements 2, 14, 16,...,134 (corresponding to February observations). This is repeated for all 12 months.

s = 12;
sidx = cell(s,1); % Preallocation

for i = 1:s
 sidx{i,1} = i:s:T;
end

sidx{1:2}

ans = 1×12

     1    13    25    37    49    61    73    85    97   109   121   133

ans = 1×12

     2    14    26    38    50    62    74    86    98   110   122   134

Using a cell array to store the indices allows for the possibility that each period does not occur the same number of times within the span of the observed series.

Apply S(3,3) Filter

Apply a 5-term $S_{3 \times 3}$ seasonal moving average to the detrended series xt. That is, apply a moving average to the January values (at indices 1, 13, 25,...,133), and then apply a moving average to the February series (at indices 2, 14, 26,...,134), and so on for the remaining months.

Use asymmetric weights at the ends of the moving average (using conv2). Put the smoothed values back into a single vector.

To center the seasonal component around one, estimate, and then divide by, a 13-term moving average of the estimated seasonal component.

% S3x3 seasonal filter
% Symmetric weights
sW3 = [1/9;2/9;1/3;2/9;1/9];
% Asymmetric weights for end of series
aW3 = [.259 .407;.37 .407;.259 .185;.111 0];

% Apply filter to each month
shat = NaN*y;
for i = 1:s
    ns = length(sidx{i});
    first = 1:4;
    last = ns - 3:ns;
    dat = xt(sidx{i});
    
    sd = conv(dat,sW3,'same');
    sd(1:2) = conv2(dat(first),1,rot90(aW3,2),'valid');
    sd(ns  -1:ns) = conv2(dat(last),1,aW3,'valid');
    shat(sidx{i}) = sd;
end

% 13-term moving average of filtered series
sW13 = [1/24;repmat(1/12,11,1);1/24];
sb = conv(shat,sW13,'same');
sb(1:6) = sb(s+1:s+6); 
sb(T-5:T) = sb(T-s-5:T-s);

% Center to get final estimate
s33 = shat./sb;

figure
plot(DataTimeTable.Time,s33)
title('Estimated Seasonal Component')

Figure contains an axes object. The axes object with title Estimated Seasonal Component contains an object of type line.

Notice that the seasonal level changes over the range of the data. This illustrates the difference between an $S_{n \times m}$ seasonal filter and a stable seasonal filter. A stable seasonal filter assumes that the seasonal level is constant over the range of the data.

Apply 13-term Henderson Filter

To get an improved estimate of the trend component, apply a 13-term Henderson filter to the seasonally adjusted series. The necessary symmetric and asymmetric weights are provided in the following code.

% Deseasonalize series
dt = y./s33;

% Henderson filter weights
sWH = [-0.019;-0.028;0;.066;.147;.214;
      .24;.214;.147;.066;0;-0.028;-0.019];
% Asymmetric weights for end of series
aWH = [-.034  -.017   .045   .148   .279   .421;
       -.005   .051   .130   .215   .292   .353;
        .061   .135   .201   .241   .254   .244;
        .144   .205   .230   .216   .174   .120;
        .211   .233   .208   .149   .080   .012;
        .238   .210   .144   .068   .002  -.058;
        .213   .146   .066   .003  -.039  -.092;
        .147   .066   .004  -.025  -.042  0    ;
        .066   .003  -.020  -.016  0      0    ;
        .001  -.022  -.008  0      0      0    ;
       -.026  -.011   0     0      0      0    ;
       -.016   0      0     0      0      0    ];

% Apply 13-term Henderson filter
first = 1:12;
last = T-11:T;
h13 = conv(dt,sWH,'same');
h13(T-5:end) = conv2(dt(last),1,aWH,'valid');
h13(1:6) = conv2(dt(first),1,rot90(aWH,2),'valid');

% New detrended series
xt = y./h13;

figure
plot(DataTimeTable.Time,y)
hold on
plot(DataTimeTable.Time,h13,'r','LineWidth',2);
legend(["Passenger counts" "13-Term Henderson Filter"])
title('Airline Passenger Counts')
hold off

Figure contains an axes object. The axes object with title Airline Passenger Counts contains 2 objects of type line. These objects represent Passenger counts, 13-Term Henderson Filter.

Apply S(3,5) Seasonal Filter

To get 6. an improved estimate of the seasonal component, apply a 7-term $S_{3 \times 5}$ seasonal moving average to the newly detrended series. The symmetric and asymmetric weights are provided in the following code. Center the seasonal estimate to fluctuate around 1.

Deseasonalize the original series by dividing it by the centered seasonal estimate.

% S3x5 seasonal filter 
% Symmetric weights
sW5 = [1/15;2/15;repmat(1/5,3,1);2/15;1/15];
% Asymmetric weights for end of series
aW5 = [.150 .250 .293;
       .217 .250 .283;
       .217 .250 .283;
       .217 .183 .150;
       .133 .067    0;
       .067   0     0];

% Apply filter to each month
shat = NaN*y;
for i = 1:s
    ns = length(sidx{i});
    first = 1:6;
    last = ns-5:ns;
    dat = xt(sidx{i});
    
    sd = conv(dat,sW5,'same');
    sd(1:3) = conv2(dat(first),1,rot90(aW5,2),'valid');
    sd(ns-2:ns) = conv2(dat(last),1,aW5,'valid');
    shat(sidx{i}) = sd;
end

% 13-term moving average of filtered series
sW13 = [1/24;repmat(1/12,11,1);1/24];
sb = conv(shat,sW13,'same');
sb(1:6) = sb(s+1:s+6); 
sb(T-5:T) = sb(T-s-5:T-s);


% Center to get final estimate
s35 = shat./sb;

% Deseasonalized series
dt = y./s35;

figure
plot(DataTimeTable.Time,dt)
title('Deseasonalized Airline Passenger Counts')

Figure contains an axes object. The axes object with title Deseasonalized Airline Passenger Counts contains an object of type line.

The deseasonalized series consists of the long-term trend and irregular components. With the seasonal component removed, it is easier to see turning points in the trend.

Plot the components and the original series.

Compare the original series to a series reconstructed using the component estimates.

figure
plot(DataTimeTable.Time,y,'Color',[.85,.85,.85],'LineWidth',4)
hold on
plot(DataTimeTable.Time,h13,'r','LineWidth',2)
plot(DataTimeTable.Time,h13.*s35,'k--','LineWidth',1.5)
legend(["Passenger counts" "13-Term Henderson Filter" ...
    "Trend and Seasonal Components"])
hold off
title('Airline Passenger Counts')

Figure contains an axes object. The axes object with title Airline Passenger Counts contains 3 objects of type line. These objects represent Passenger counts, 13-Term Henderson Filter, Trend and Seasonal Components.

Estimate Irregular Component

Detrend and deseasonalize the original series. Plot the remaining estimate of the irregular component.

Irr = dt./h13;

figure
plot(DataTimeTable.Time,Irr)
title('Airline Passenger Counts Irregular Component')

Figure contains an axes object. The axes object with title Airline Passenger Counts Irregular Component contains an object of type line.

You can optionally model the detrended and deseasonalized series using a stationary stochastic process model.