使用卷积过滤器的Python statsmodel seasonal_decompose()文档

时间:2018-03-14 08:29:16

标签: time-series python statsmodels

我想更好地理解python seasonal_decompose()模块中statsmodel函数的工作原理。

文档有点稀疏,因为它只说明:

This is a naive decomposition. More sophisticated methods should be preferred.

The additive model is Y[t] = T[t] + S[t] + e[t]

The multiplicative model is Y[t] = T[t] * S[t] * e[t]

The seasonal component is first removed by applying a convolution filter to 
the data. The average of this smoothed series for each period is the returned
seasonal component.

是否有关于此方法的进一步文档?估算季节性成分后,如何提取趋势?我更愿意探索理论解释,而不是直接深入研究代码。

0 个答案:

没有答案