White Papers

Stationarity Testing in High-Frequency Seasonal Time Series

Overview Deciding whether seasonality is of a stochastic nature, and thus slowly changing over time, or deterministic and thus repeating in the same way each season can have a substantial impact on forecast accuracy. Tests for stochastic seasonality, called seasonal unit root tests, have been developed for certain common seasonal periods, like 12 (monthly data) 4 and 2, but until now have not been available for high frequency (like daily data over years or minute by minute over days). This paper fills the gap, arriving at a simpler distributional result than is usually the case with unit roots. An example using natural gas supply is used to illustrate.

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Publisher: SAS Institute
File Format: PDF
Date Published: May 29, 2009
Format: White Papers
Topics: Knowledge and Data Management, Data Mining - Analysis

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