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May 04, 2020

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If the plot of a TS reveals an increase of the seasonal and noise fluctuations with

the level of the process then some transformation may be necessary before doing

any further analysis of the TS. For example, the fluctuations in the UK unem-

ployment data and the sales of an industrial heater data are considerably reduced

(evened) by log transformation; compare Figures 1.2 and 2.1 and Figures 1.7 and

2.2.

Our aim is to estimate and eliminate the deterministic components m(t) and s(t)

in such a way that the random noise Yt is a stationary process, in the sense that

its fluctuations are stable and it has no trend. A formal definition of stationarity

will be given in Chapter 4. Such a process can be modelled and analyzed using

the well developed theory of stationary TS. All these components are parts of the

original TS and their overall analysis leads to the analysis of Xt .

ality

When there is no seasonality, the model (1.1) simplifies to

Xt = mt + Yt , t = 0, 1, . . . , n, (2.1)

where E(Xt ) = mt , that is, we assume that E(Yt ) = 0.

We assume that m(t) = m(t, β) is a function of time t, such as a polynomial

of degree k, depending on some unknown parameters β = (β0 , β1 , . . . , βk )T . We

11

12 CHAPTER 2. TREND AND SEASONAL COMPONENTS

2.5

2.0

Log(Unemployment)

1.5

1.0

0.5

0.0

Figure 2.1: Natural logarithm of the UK unemployment data, compare Fig. 1.2

7

Log(Sales)

3

65 66 67 68 69 70 71 Year

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 13

estimate the parameters by fitting the function to the data xt , that is by minimizing

the sum of squares of differences xt − m(t, β). To find a general form of the

estimator we work with the rvs Xt rather than their realizations xt . We find the

estimator βb of β by minimizing the function:

X

n

S(β) = (Xt − m(t, β))2 . (2.2)

t=1

X

n

S(β) = (Xt − β0 − β1 t)2 .

t=1

culate the derivatives of S(β) with respect to βi , i = 0, 1, compare them to zero

and solve the resulting equations, i.e.,

dS(β) Xn

= −2 (Xt − β0 − β1 t) = 0

dβ0

t=1

dS(β) X

n

dβ = −2 (Xt − β0 − β1 t)t = 0.

1 t=1

n

X X

n

X − nβ − β t=0

t 0 1

t=1 t=1

(2.3)

X

n X

n X

n

Xt t − β0 t − β1 t2 = 0.

t=1 t=1 t=1

1X 1X

n n

β0 = Xt − β1 t = X̄t − β1 t̄.

n t=1 n t=1

(

β0 = X̄t − β1 t̄

nXt t − β0 nt̄ − β1 nt2 = 0.

14 CHAPTER 2. TREND AND SEASONAL COMPONENTS

30

10

Residuals

-10

-30

Figure 2.3: Residuals of a linear fit to the UK consumption data; compare Fig. 1.8

Then substituting β0 to the second equation we can calculate the formula for β1

and obtain the estimators of both parameters

b b

β0 = X̄t − β1 t̄

Xt t − X̄t t̄

βb1 = 2

.

t − (t̄)2

We need to distinguish an estimator as a function of rvs from an estimate (i.e.,

a value of the function for a given set of data). This should be obvious from the

context.

Fitting a linear trend to the UK consumption data (see Figure 1.8) we obtain the

following estimates

d = −12349.7 + 6.3754t.

m(t)

ybt = xt − m

b t = xt − (−12349.7 + 6.3754t).

The plot (see Figure 2.3) of the residuals does not show any clear trend. However

it indicates correlations of the random noise. In this course we will be modelling

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 15

30

10

LS_RegressResids

-10

-30

30

10

LS_Residuals_Lag1

-10

-30

30

10

LS_Residuals_Lag2

-10

-30

30

10

LS_Residuals_Lag3

-10

-30

Figure 2.4: Correlation matrix for the residuals of the Least Squares Regression

fit; UK consumption data.

this kind of random variables to be able to predict future values of the TS, for

example next year values of consumption in the UK.

The matrix plot shows that indeed the residuals are dependent, at least up to two

neighboring values.

16 CHAPTER 2. TREND AND SEASONAL COMPONENTS

Let q be a positive integer. We call

q

1 X

Wt = Xt+j (2.4)

2q + 1 j=−q

Simple example

Take the following realization of {Xt }:

{xt } = {5 3 2 4 5 6 7 8 3 9}

w1 =?

1 10

w2 = (5 + 3 + 2) =

3 3

1 9

w3 = (3 + 2 + 4) =

3 3

1 11

w4 = (2 + 4 + 5) =

3 3

..

.

1 20

w9 = (8 + 3 + 9) =

3 3

w10 =?

One possibility is to define Xt = X1 for t < 1 and Xt = Xn for t > n. Then in

the simple example we would get x0 = x1 = 5 and x11 = x10 = 9 and

1 13

w1 = (5 + 5 + 3) =

3 3

1 21

w10 = (3 + 9 + 9) = .

3 3

What can we achieve calculating moving average? If Xt = mt + Yt , then

q q

1 X 1 X

Wt = mt+j + Yt+j .

2q + 1 j=−q 2q + 1 j=−q

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 17

Changes in Temperature and Moving Average Series

0.4

0.0

-0.4

-0.8

Figure 2.5: Surface air ”temperature change” for the globe. The TS data for years

1880-1985 [Degrees Celsius] and a symmetric five elements moving average.

If we can assume that the sum of noise values is close to zero, then Wt evaluates

the trend mt . It is a good evaluation of mt if, over [t − q, t + q], the trend is

approximately linear. It is used as an estimator of trend and we write

q

1 X

b t = Wt =

m Xt+j for q + 1 ≤ t ≤ n − q.

2q + 1 j=−q

Then, the estimator of the noise is

Ybt = Xt − Wt .

The moving average values wt for q = 2 for the surface air ”temperature change”

for the globe data are shown in Figure 2.5 and the residuals yt = xt − wt in Figure

2.6. There is no apparent trend in the residuals.

The process {Wt } is a linear function (linear filter) of random variables {Xt }. In

general, it may be written as

X∞

Wt = aj Xt+j , (2.5)

j=−∞

where

1

for − q ≤ j ≤ q,

aj = 2q + 1

0 for |j| > q,

18 CHAPTER 2. TREND AND SEASONAL COMPONENTS

Residuals

0.3

0.1

-0.1

-0.3

Figure 2.6: Residuals after removing trend calculated as a symmetric five elements

moving average. Surface air ”temperature change” for the globe data, 1880-1985.

aging, that is by removing rapid fluctuations (bursts). It attenuates the noise.

If

q

X

mt = aj Xt+j

j=−q

then we say that the filter {aj } passes through without distortion.

The weights {aj } neither have to be all equal nor symmetric. By applying appro-

priate weights it is possible to include a wide choice of trend functions. Suppose

that the trend follows a polynomial of order three and we want to find a seven

points filter {aj }j=−3,...,3 , that is a moving average

3

X

Wt = aj Xt+j .

j=−3

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 19

{xt} {wt}

Linear Filter Σajxt+j

If the trend is

mt = β0 + β1 t + β2 t2 + β3 t3 ,

then a filter which passes through without distortion is such that

3

X

mt = Wt and so aj Xt+j = β0 + β1 t + β2 t2 + β3 t3 .

j=−3

We are interested in the middle point, i.e., for j = 0. It is convenient to take values

of t such that the middle one is zero. For a seven point average they will be

t = −3, −2, −1, 0, 1, 2, 3.

Then the trend at the middle point, and so the value of the moving average, is

m(t = 0) = β0 .

To find β0 we may apply the Least Squares method for the seven points. Differ-

entiating the function

3

X 2

S(β) = Xt − (β0 + β1 t + β2 t2 + β3 t3 )

t=−3

3

∂S(β) X

= − 2 X − (β + β t + β t2

+ β t3

) =0

∂β0

t 0 1 2 3

t=−3

X3

∂S(β) 2 3

∂β = − 2 X t − (β0 + β 1 t + β2 t + β3 t ) t=0

1 t=−3

∂S(β) X3

=−2 Xt − (β0 + β1 t + β2 t2 + β3 t3 ) t2 = 0

∂β2

t=−3

3

∂S(β) X

Xt − (β0 + β1 t + β2 t2 + β3 t3 ) t3 = 0.

∂β = − 2

3 t=−3

20 CHAPTER 2. TREND AND SEASONAL COMPONENTS

3 3

X X

Xt = β0 + β1 t + β2 t2 + β3 t3

t=−3 t=−3

X 3 X3

X t t = β0 + β1 t + β2 t2 + β3 t3 t

t=−3 t=−3

X3 X3

2

X t2

= β + β t + β t2

+ β t3

t

t 0 1 2 3

t=−3 t=−3

3 3

X X 3

X t3

= β + β t + β t2

+ β t3

t.

t 0 1 2 3

t=−3 t=−3

3

X 3

X 3

X

3

t= t = t5 = 0,

t=−3 t=−3 t=−3

3

X

Xt = 7β0 + 28β2

t=−3

X 3

Xt t = 28β1 + 196β3

t=−3

X3

Xt t2 = 28β0 + 196β2

t=−3

3

X

Xt t3 = 196β1 + 1588β3

t=−3

of which only equations 1 and 3 involve β0 , so we can ignore the other two equa-

tions. Solving equations 1 and 3 for β0 then gives

1

β0 = (−2X−3 + 3X−2 + 6X−1 + 7X0 + 6X1 + 3X2 − 2X3 ).

21

The trend value for any point is then the weighted average of the seven points of

which that point is in the centre,

1

m t = Wt = (−2Xt−3 + 3Xt−2 + 6Xt−1 + 7Xt + 6Xt+1 + 3Xt+2 − 2Xt+3 ).

21

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 21

2 3 6 7 7 3 2 1

− , , , , , ,− = (−2, 3, 6, 7, 6, 3, −2),

21 21 21 21 21 21 21 21

which due to the symmetry can be written in a short way, such as

1

(−2, 3, 6, 7),

21

the bold typeface indicating the middle weight.

In general, if we want to find a linear filter {aj } appropriate for fitting a polyno-

mial trend of order k, we have to minimize

q

X 2

S(β) = Xt − (β0 + β1 t + . . . + βk tk )

t=−q

• {aj } being successive terms in the expansion ( 12 + 21 )2q . For q = 1 we get

1 1 1

{aj }j=−1,0,1 = , , .

4 2 4

For large q the weights approximate to a normal curve.

statistics to obtain life tables). Here q = 7 and the weights are

1

{aj }j=−7,...,7 = (−3, −6, −5, 3, 21, 46, 67, 74).

320

trend. For example, for q = 4 the Henderson’s m.a. is

Having estimated the trend we can calculate the residuals, as in the previous case,

i.e.,

q q

X X

ybt = xt − wt = xt − aj xt+j = bj xt+j ,

j=−q j=−q

22 CHAPTER 2. TREND AND SEASONAL COMPONENTS

xt wt zt

Σajxt+j Σbkwt+k

where

−aj , for j = −q, . . . , q, j 6= 0

bj =

1 − a0 , for j = 0

P P

and if aj = 1 then bj = 0.

Sometimes it may be necessary to apply filters more than once to obtain a station-

ary process. Two filters might be represented as in Figure 2.8.

q s+q

X

s X

s X X

Zt = bk Wt+k = bk aj Xt+k+j = ci Xt+i .

k=−s k=−s j=−q i=−(s+q)

1

X 1

X

Zt = bk aj Xt+k+j =

k=−1 j=−1

2

X

(b0 a1 + b1 a0 )Xt+1 + b1 a1 Xt+2 = ci Xt+i .

i=−2

The weights {ci } can be obtained by so called convolution of the weights {aj }

and {bk }, the operation denoted by ⋆,

{ci } = {aj } ⋆ {bk },

where ci is a sum of all products aj bk for which j + k = i.

{ci } = (a−1 , a0 , a1 ) ⋆ (b−1 , b0 , b1 )

= (a−1 b−1 , a0 b−1 + a−1 b0 , a−1 b1 + a0 b0 + a1 b−1 , a0 b1 + a1 b0 , a1 b1 )

= (c−2 , c−1 , c0 , c1 , c2 ).

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 23

weights in the same way, see the example below.

(a−1 , a0 , a1 ) ⋆ (b0 , b1 ) =

(a−1 b0 , a0 b0 + a−1 b1 , a0 b1 + a1 b0 , a1 b1 ) =

(c−1 , c0 , c1 , c2 ).

With {aj } = 13 , 31 , 13 and {bk } = 12 , 21 we get

1 1 1 1 1 1 1 1 1

{ci } = , , ⋆ , = , , , .

3 3 3 2 2 6 3 3 6

and the new series Zt is the following combination of Xt

1 1 1 1

Zt = Xt−1 + Xt + Xt+1 + Xt+2 .

6 3 3 6

2.1.3 Differencing

Differencing is a trend removing operation by using special kind of a linear filter

with weights (−1, 1). This procedure is often repeated until a stationary series is

obtained.

∇Xt = Xt − Xt−1 .

Here another operator comes into play, it is called the backward shift operator,

usually denoted by B, such that

BXt = Xt−1 .

Hence,

∇Xt = Xt − BXt = (1 − B)Xt .

Note that

Xt−2 = BXt−1 = B(BXt ) = B 2 Xt .

In general

B j Xt = Xt−j .

Similarly,

∇2 Xt = ∇(∇Xt )

= (1 − B)(1 − B)Xt

= (1 − 2B + B 2 )Xt

= Xt − 2Xt−1 + Xt−2 .

24 CHAPTER 2. TREND AND SEASONAL COMPONENTS

xt - xt-1

30

20

10

6.65

-10

-20

1960 1970 1980 1990 2000 Year

Figure 2.9: The differenced data: UK Consumption, compare Figures 1.1 and 1.8

By the way, this is what we would get by convolution of two linear filters with

weights (−1, 1)

((−1) · (−1), (−1) · 1 + 1 · (−1), 1 · 1) =

(1, −2, 1) = (c−2 , c−1 , c0 ).

∇j Xt = ∇(∇j−1 Xt ), for j ≥ 1, ∇0 Xt = Xt .

Xt = mt + Yt ,

∇Xt = Xt − Xt−1

= mt + Yt − (mt−1 + Yt−1 )

= β0 + β1 t − [β0 + β1 (t − 1)] + ∇Yt

= β1 + ∇Yt .

2.1. ELIMINATION OF TREND IN THE ABSENCE OF SEASONALITY 25

∇2 Xt = Xt − 2Xt−1 + Xt−2

= mt + Yt − 2(mt−1 + Yt−1 ) + mt−2 + Yt−2

= β0 + β1 t + β2 t2 − 2[β0 + β1 (t − 1) + β2 (t − 1)2 ]

+ β0 + β1 (t − 2) + β2 (t − 2)2 + ∇2 Yt

= 2β2 + ∇2 Yt .

∇k Xt = k!βk + ∇k Yt .

It means that if the noise fluctuates about zero, then k-th differencing of a TS with

a polynomial trend of degree k should give a stationary process with mean about

k!βk .

The data show a linear trend. The least squares methods gives the following esti-

mates

m̂(t) = −12349.7 + 6.3754t

and we can see from the graph of the differenced data (Figure 2.9) that the mean

is close to β1 and that there is no trend.

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