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Estimation and Forecast of Seasonal Component
2 messages · Paolo Rossi, Giovanni Petris
3 days later
I would probably use a Dynamic Linear Model, combining seasonal component and regression. See package dlm and its vignette for examples. HTH, Giovanni
On Tue, 2011-02-01 at 11:01 +0000, Paolo Rossi wrote:
Hi list, I would like to estimate and forecast the seasonal component of a series. My model which uses daily data would be something y t = alpha + beta x SeasComp t + gamma x OtherRegressors t. One approach to this would be use quarterly dummies, another to use a sine function. The first would cause a step change when we move from a season to another; the latter impose too much regularity in my data, i.e. symmetry around y-axis and x-axis. I have looked at decompose and stl but could not find a way to forecast the seasonal component. They dont allow for they presence of other regressors either. Can someone let me know the best way for me to proceed with this? Thanks in advance Paolo [[alternative HTML version deleted]]
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