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A Seasonal Adjustment Filter for Use in Box Jenkins Analyses of Seasonal Time Series

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  • Knut Conradsen
  • Henrik Spliid

Abstract

A seasonal adjustment filter of the form yt = zt – (1 – α) zt ‐ n – αzt –n ‐ 1 is discussed. The purpose of this filter is to remove periods around n + α. The gain and phase of the filter is given, and in a case of fitting tides it shows better performance than filters of the form yt = zt ‐ zt ‐ n.

Suggested Citation

  • Knut Conradsen & Henrik Spliid, 1981. "A Seasonal Adjustment Filter for Use in Box Jenkins Analyses of Seasonal Time Series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(2), pages 172-177, June.
    • Handle: RePEc:bla:jorssc:v:30:y:1981:i:2:p:172-177
    DOI: 10.2307/2346389
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