Open KevinG1002 opened 3 weeks ago
The seasonality is captured by the autoregressive models
What do you exactly mean by that? I guess my question was not specific enough: I recall that when running analyze
a Matrix was returned with points belonging to the seasonal component extracted from the original signal passed into analyze
. I understand the autoregressive models capture these but is there a way within your framework to extract the parametric values that yield these seasonal components so that one could potentially manipulate these and/or plot seasonal components several forecasting steps ahead?
Thanks,
Kevin
The PredictionData
structure looks like this
mutable struct PredictionData
trend_parameters
trend_regressor
seasonal_models
seasonal_predictions
end
the seasonal_models
contain AR models from which you can get the parameters using the function ControlSystemsBase.denvec
. The AR models themselves are transfer functions from ControlSystemsBase
and they are estimated using ControlSystemIdentification.jl.
Hello,
I noted the existence of the function
fit_trend
that returns a regressor matrix and polynomial coefficients of some pre-specified order n. I was wondering if a similar function existed to fit for seasonality? When using theanalyze
function, how are the periodic signals extracted?Best,
Kevin