[scilab-Users] saisonality in time series

[Charles Warner]

Although "seasonality" is not the term I use for long term trends hidden in
noisy data, I have had some success by taking the log of the data, and
running an FFT on the log data.  Usually, I have some prior knowledge of
the long-term periodic trends I expect, so it is relatively easy to
determine quickly if this method works.  Plotting the log of the data also
gives one a good feel for whether the data is stationary, or whether there
are windows of data that can be treated as stationary.  Any changing
magnitude effect is, of course, reduced when on works with logs, but such
effects can help one understand what the raw data is really telling you.

Charlie

On Thu, Nov 17, 2011 at 12:40 PM, Mike Page <Mike at page-one.waitrose.com>wrote:

> Hi,
>
> I don't know much about this application, but the Cepstrum can be used to
> find hidden periodicity in time series.  Might be worth trying?  I have
> used
> it for finding rotational components in the vibration signatures from
> rotating machinery.  There's a simple example here
> (http://www.dliengineering.com/downloads/cepstrum%20analysis.pdf).
>
> Mike.
>
>
> -----Original Message-----
> From: Petter Wingren [mailto:petterwr at gmail.com]
> Sent: 17 November 2011 17:18
> To: users at lists.scilab.org
> Subject: Re: [scilab-Users] saisonality in time series
>
>
> Did a quick search but couldnt find anything obvious. I suppose the
> word you are looking for is seasonality - maybe that helps in finding
> something useful.
>
> On Thu, Nov 17, 2011 at 3:36 PM, Schreckenbach Stephan
> <s.schreckenbach at truma.com> wrote:
> >
> > Hi,
> >
> > I look for a test of saisonality in time series.
> > The time series might be instationary and nonlinear and the saisonality
> > / oscillation might have a changing amplitude. Furthermore the
> > distribution
> > might be unknown as well.
> > I need something to test for significant saisonality without knowing /
> > estimating a (linear) model of the time series.
> >
> > ideas I got so far: Chi Square Test for independency:
> > I could test for independence of saison and mean value of the data
> >
> > Chi Square Test to test for different means of two data groups.
> > I could test for a difference of the mean between several seasons.
> >
> > Any more or better ideas?
> >
> > Thanks in advance, Stephan
> >
> >
>
>
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <https://lists.scilab.org/pipermail/users/attachments/20111117/f3018261/attachment.htm>