M3 - Trend and Seasonality

Learning Objectives

The learning goals for this module are:

• Learn how to estimate and model a trend component;
• Learn how to estimate and model a seasonal component;
• Discuss the difference of deterministic and stochastic trend;
• Discuss stationarity tests to detect trend;
• Develop a script in R to identify and model trend and seasonal component.

Slides

Here is a link to the slide deck used in class. The code used to generate the Amazon Inflow plots on the slides is linked below.

• Amazon Inflow - Trend and Seasonality Modeling

Resources

Additional information and resources for this module will be found below.

• Time Series Analysis with Applications - Cryer and Shan - Chapter 3: Trends
  

• Additional readings on seasonal dummies

• Package Kendall Documentation

Recordings (optional)

• Video 1: Linear trend
• Video 2: Non-linear trend and seasonal trend
• Video 3: Trend and seasonal component estimation in R

Deliverables

For this module you will complete Assignment 3. The due date for A04 is Feb 5. And you will also complete Assignment 4.