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ARIMAmodelbased decomposition of time series in R
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 Airline prices database

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Monthly Archives: March 2015
Signal extraction in time series, as simple as that?
Frequencydomain filters provide a straightforward way to decompose a time series. In this post I briefly introduce this approach advocated by Prof. D. Stephen G. Pollock in this document that introduces the software IDEOLOG. As pointed out by Prof. Pollock, … Continue reading
Posted in R, time series
Tagged Business cycle, Fourier analysis, seasonality, signalextraction
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Testing for seasonal stability
Canova and Hansen test statistic
Seasonal patterns are common in many time series data (e.g. macroeconomic or meteorological data). One of the issues to be analyzed when working with seasonal data is whether the seasonal pattern remains relatively stable over the sample period or whether … Continue reading