An integrated approach for decomposing time series data into trend, cycle and seasonal components

被引:1
|
作者
Kyo, Koki [1 ]
Noda, Hideo [2 ]
Fang, Fengqi [3 ]
机构
[1] Gifu Shotoku Gakuen Univ, Digital Transformat Ctr, Gifu, Japan
[2] Tokyo Univ Sci, Sch Management, Dept Business Econ, 1-11-2 Fujimi,Chiyoda ku, Tokyo 1020071, Japan
[3] Tokyo Univ Sci, Grad Sch Management, Tokyo, Japan
基金
日本学术振兴会;
关键词
Moving linear model approach; seasonal adjustment; business cycle analysis;
D O I
10.1080/13873954.2024.2416631
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
This study presents a methodology for decomposing time series data into trend, seasonal, and cyclical components using the moving linear model approach by Kyo and Kitagawa (Journal of Business Cycle Research, 19(3): 373-397, 2023). Our approach integrates seasonal adjustment and decomposition into a single framework. We evaluated our approach with two case studies: examining daily COVID-19 case data and the Index of Industrial Production (IIP) in Japan, comparing the results to seasonally adjusted IIP data. Performance metrics included the discrimination power index and the variance of the adjusted cyclical component. Our findings show that our method effectively extracts business cycle information, achieving higher discrimination power and greater adjusted variance compared to seasonally adjusted IIP data, highlighting the superior performance of our integrated seasonal adjustment method. We compared the proposed approach with a state-space modelling method by introducing an overall stability as a new indicator. The results demonstrated the stability of the estimations obtained with our proposed method.
引用
收藏
页码:792 / 813
页数:22
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