I would probably use a Dynamic Linear Model, combining seasonal component and regression. See package dlm and its vignette for examples.
HTH, Giovanni On Tue, 2011-02-01 at 11:01 +0000, Paolo Rossi wrote: > Hi list, > > > I would like to estimate and forecast the seasonal component of a series. My > model which uses daily data would be something y t = alpha + beta x SeasComp > t + gamma x OtherRegressors t. > > One approach to this would be use quarterly dummies, another to use a sine > function. The first would cause a step change when we move from a season to > another; the latter impose too much regularity in my data, i.e. symmetry > around y-axis and x-axis. > > I have looked at decompose and stl but could not find a way to forecast > the seasonal component. They dont allow for they presence of other > regressors either. Can someone let me know the best way for me to proceed > with this? > Thanks in advance > Paolo > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
