Spurious deterministic seasonality [PDF]
Economics Letters, 1995 It is sometimes assumed that the R2 of a regression of a first-order differenced time series on seasonal dummy variables reflects the amount of seasonal fluctuations that can be explained by deterministic variation in the series.
Franses, Ph.H.B.F. (Philip Hans) +2 more
core +9 more sources
Deterministic Versus Stochastic Seasonal Fractional Integration and structural breaks [PDF]
SSRN Electronic Journal, 2007 This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks ...
Caporale, GM, Cunado, J, Gil-Alana, LA
core +7 more sources
SmartBuildSim: An Open-Source Synthetic-Twin Framework for Reproducible AI Benchmarking in Smart-Building Analytics [PDF]
SensorsThis paper introduces SmartBuildSim, an open-source synthetic-twin framework that generates configurable and reproducible multi-sensor building streams using lightweight statistical models with tunable trend, seasonality, correlation, delays, and anomaly
Tymoteusz Miller +3 more
doaj +2 more sources
Seasonal Dynamics of Benthic Macroinvertebrate Community Assembly in a Subtropical Monsoon‐Driven Mountain Stream [PDF]
Ecology and EvolutionSeasonal variation in community assembly influences biodiversity patterns, yet its dynamics under monsoon‐driven hydrology remain underexplored in subtropical mountain streams.
Yihao Ge +7 more
doaj +2 more sources
The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms [PDF]
Econometrics, 2015 The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the
Ghassen El Montasser
doaj +3 more sources
Seasonality in Freight Rates [PDF]
Journal of International Logistics and Trade, 2020 This paper inspects in detail the seasonality (deterministic) in container freight rates, and compares seasonality patterns in different freight rate indices. A deterministic seasonality unit root test is performed to achieve set objectives.
Totakura Bangar Raju +3 more
doaj +1 more source
Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks [PDF]
Panoeconomicus, 2008 In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY
Tasseven Ozlem
doaj +1 more source
Electricity Spot Prices Forecasting Based on Ensemble Learning
IEEE Access, 2021 Efficient modeling and forecasting of electricity prices are essential in today’s competitive electricity markets. However, price forecasting is not easy due to the specific features of the electricity price series.
Nadeela Bibi +4 more
doaj +1 more source
Robust tests for deterministic seasonality and seasonal mean shifts [PDF]
The Econometrics Journal, 2018 We develop tests for the presence of deterministic seasonal behaviour and seasonal mean shifts in a seasonally observed univariate time series. These tests are designed to be asymptotically robust to the order of integration of the series at both the zero and seasonal frequencies.
Astill, S, Taylor, AMR
openaire +2 more sources