6.10 Further reading

  • A detailed modern discussion of SEATS and X11 decomposition methods is provided by Dagum & Bianconcini (2016).
  • Cleveland et al. (1990) introduced STL, and still provides the best description of the algorithm.
  • For a discussion of forecasting using STL, see Theodosiou (2011).

Bibliography

Cleveland, R. B., Cleveland, W. S., McRae, J. E., & Terpenning, I. J. (1990). STL: A seasonal-trend decomposition procedure based on loess. Journal of Official Statistics, 6(1), 3–73. http://www.jos.nu/Articles/abstract.asp?article=613

Dagum, E. B., & Bianconcini, S. (2016). Seasonal adjustment methods and real time trend-cycle estimation. Springer. [Amazon]

Theodosiou, M. (2011). Forecasting monthly and quarterly time series using STL decomposition. International Journal of Forecasting, 27(4), 1178–1195. https://doi.org/10.1016/j.ijforecast.2010.11.002