Detrend seasonal data
Author: streak
Creation Date: 6/17/2012 6:59 PM
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streak

#1

Having collated seasonal data, I'm looking for suggestions re detrending the series. Have found various articles like some by Ehlers and other (seemingly) complex mathematical papers with the nearest the I could comprehend being based on Excel ( http://flylib.com/books/en/2.22.1.98/1/ ), which requires a Linear Regression Line.

Can anyone suggest a workaround or other means please?

Would also be interested on ideas or other testing you may have done for eg with annual data would detrending for each year yield anything noteworthy?

Thanks
Jon
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brucev

#2
Hi Jon,
theres the easy way and the hard way!
The hard way is the correct way and I suspect is what you have read in the mathematical papers.
The easy way is a reasonable approximation, and just involves subtracting the SMA of whatever timeframe you want from the original data.
For example, if you have monthly data for 10 years, and you want a rough approximation, then you would subtract the 12-monthly sma from the original monthly data.
cheers,
Bruce
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streak

#3
Howdy Bruce

Thanks, I'll give it ago. And I owe you an apologies.
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brucev

#4
For what? Make it a beer instead and all is forgiven!
Cheers,
Bruce
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streak

#5

Well I owe you a beer and a thankyou - I was able to ~replicate some other work.

Thanks Bruce.
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