6.10 拓展阅读

关于SEATS和X11分解法现状的详细介绍可以参见 Dagum & Bianconcini (2016)Cleveland et al. (1990) 介绍了STL,并提供了算法的最好的讲解描述。关于在预测中应用STL可参见 Theodosiou (2011)

参考文献

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), 3–33. http://bit.ly/stl1990

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