strength of seasonal component

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strength of seasonal component

SNV Krishna-2
Hi All,
 
a) Is it possible to estimate the strength of seasonality in timeseries
data. Say I have monthly mean prices of an ten different assets. I decompose
the data using stl() and obtain the seasonal parameter for each month. Is it
possible to order the assets based on the strength of seasonality?
 
b) which gives a better estimate on seasonality stl() or a robust linear
model like MASS::rlm(mean price ~ month), considering the fact that the
variable analysed is price series.
 
Many thanks for the insight and help
 
Regards,
 
Krishna
 

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Re: strength of seasonal component

Arun.stat
Answering question as in "
http://r.789695.n4.nabble.com/strength-of-seasonal-component-td3517033.html
."

Possibly your code "MASS::rlm(mean price ~ month)" will result in Spurious
regression; you would make wrong impression of your estimated beta coef. as
in presence of the spurious regression they no longer have t-distribution.
May be you should try with "MASS::rlm(diff(log(mean price)) ~ month)?"

And secondly decomposition using standard approach is some sort of
**deterministic** act therefore, you would not get any measure of "strength"
in Statistical inference sense. To get that, I think above regression
approach would be handy.

HTH

Thanks and regards,
_____________________________________________________

Arun Kumar Saha, FRM
QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST
Visit me at: http://in.linkedin.com/in/ArunFRM
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