How to remove seasonal component from a time series using filter??
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How to remove seasonal component from a time series using filter??
1 个评论
Gracy
2016-9-7
In https://in.mathworks.com/help/econ/seasonal-adjustment.html?s_tid=answers_rc2-1_p4 stable seasonal filter what values the Y axis represent in Figure "stable seasonal filter" Before step 5
回答（2 个）
Roger Wohlwend
2014-5-30
0 个投票
There's an example in the MATLAB documentation that explains how to do it. Just search for "Seasonal Adjustment Using a Stable Seasonal Filter".
5 个评论
Chris Martin
2014-5-30
Roger Wohlwend
2014-5-30
A 13 term moving average is just the average over 13 months. The Matlab example only works for monthly data. At each month t you calculate the average as (Value(t-6) + Value(t-5) + ... + Value(t) + Value(t+1) + ... + Value(t+5) + Value(t+6))/13. It is an estimation of the trend.
HJ
2016-9-7
In the matlab documentation it is also given that we can apply henderson filter....how can we select the trend/noise ratio (I/C) for our data in henderson filter
Gracy
2016-9-7
I saw the documentation in which (below mention) 1) the use of unstable filter with 3 by 3 or 3 by 5 is used. what aspect will decide whether to use 3by 3 filter or 3by5. 2) How can we estimate and apply the Trend /noise (I/C) in henderson filter 3) From where these Asymmetric weights for end of series of Henderson filters are coming???
Can somebody help me to explain. I shall be very thankful to you. https://in.mathworks.com/help/econ/seasonal-adjustment-using-snxd7m-seasonal-filters.html?s_tid=answers_rc2-2_p5
Robbie Andrew
2018-2-20
@Gracy, quite a delayed response, but I've just looked at this myself and worked out how to generate the asymmetric filter based on the Henderson filter. (Somewhat clumsy) code here: http://folk.uio.no/roberan/public/matlab/asymMusgraveFilter.m
Chad Greene
2014-5-30
0 个投票
Here's a function that offers a slightly clunky, but common way of doing it. Similarly, this may help remove monthly averages or daily averages.
2 个评论
Chris Martin
2014-6-3
Chad Greene
2014-6-3
Getting specific answer requires asking a specific question. Be clear about what data you have and what result you are seeking.
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