PPT12 Time Series Decomposition F2010

# PPT12 Time Series Decomposition F2010 - McGill University...

This preview shows pages 1–13. Sign up to view the full content.

McGill University Advanced Business Statistics MGSC-272

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Time Series Decomposition
Decomposition Models Y t = data at time t T t = Trend C t = Cyclical component S t = Seasonal Component R t or I t = Random (Irregular) Component Multiplicative Model Y t = T t x C t x S t x Rt Additive Model Y t = T t + C t + S t + R t

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Multiplicative Model
Example: Classical Time Series Components

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Data USA Clothing Store Sales (\$1,000,000) 1997-2001
The trend line: Scatter Diagram

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Time Series with Linear Trend: Line Plot
Table showing Y t and T t

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
T = 1642.92 + 40.31t Detrended Series
Original vs Detrended Series Y = T x C x S x R Y/T = C x S x R

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Moving Averages 1373 1676 1714 2461 1545 1902 1935 2673 1569 1888 2045 2751 1674 1939 2188 2864 1780 2061 2205 3081 7224 7396 7622 Problem: The data are not “centered”. This means that the 4-quarter totals do not correspond to the same time scale as the original data. Thus, for example, the first total of 7224 falls halfway between the values of 1676 and 1714. If each original data value corresponds to the median point in time of the corresponding quarter, then 1373 corresponds to Feb 14, 1676 corresponds to May 15, 1714, corresponds to Aug 15, etc.
This is the end of the preview. Sign up to access the rest of the document.

## This note was uploaded on 02/28/2012 for the course MANAGEMENT MGSC 272 taught by Professor Smith during the Spring '12 term at McGill.

### Page1 / 32

PPT12 Time Series Decomposition F2010 - McGill University...

This preview shows document pages 1 - 13. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online