Abstract #301325

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JSM 2003 Abstract #301325
Activity Number: 233
Type: Topic Contributed
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section
Abstract - #301325
Title: Compositional Seasonal Time Series Models
Author(s): Rong Chen*+ and Airong Cai and Thomas B. Fomby
Companies: University of Illinois, Chicago and University of Illinois and Southern Methodist University
Address: IDS Department, Chicago, IL, 60607,
Keywords: time series ; seasonal ; compositional model
Abstract:

We propose a new class of seasonal time series models, the compositional seasonal time series models.Traditionally seasonal time series are modelled either with seasonal ARIMA models, deterministic seasonal components or the stable seasonal models. The proposed compositional seasonal model is an extension of the stable seasonal model. It is based on a conditional distribution structure on a 'rolling season' concept. Probabilistic properties of the model, estimation procedures and forecasting performance are studied and demonstrated with simulation and real examples.

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