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PRESENTATION
GROUP 5
TOPIC
Simple Introduction to the relation
between function values under cyclic
behavior (Time Series).
Ergodic Behavior
Group Members
Marnel Altius 14/0935/2686
Juan Peterkin 13/0935/2213
Javed Khan 13/0935/2750
Godfrey Bess 14/0935/0202
Yonnick Adolph 14/0935/2094
Delon Thomas 13/0935/1787
TOPICS COVERED:
1.) Introduction into Time series
2.)Introduction in Ergodic Theory
3.) Time series decomposition
4.) Applications
The Trend
It is the general tendency of a time series to
Seasonal variations
This is the regular wavelike fluctuations of
constant period.
They have a period of no longer than a year.
Cyclical variation
They are medium-term quasi regular
Irregular or random
variations
They are fluctuations due to unpredictable
Random process
Stationary process
ErgodicTheory
Random process
Random process is a process representing
Stationary process
Inmathematicsandstatistics, astationary
Since
is not a
ErgodicTheory
A simple definition would be the study of the
ErgodicProcess
Ergodic-This term denotes a system which
Example
TakeNresistors (Nshould be very large) and plot the voltage
Ergodic Theorems
Since the main concern of ergodic theory is
Decomposition of a Time
series
cyclical fluctuations:
G=TxC
C Cyclic Component as an normalized
index
COMBINATION OF MULTIPLICATIVE
AND ADDITIVE MODEL
Other Models exist which usually take the
Trend Analysis
Trend Analysis can be done using a variety of
Trend Analysis
This refers to collecting data with the aim of
Linear Filtering:
to improve results.
Exponential Smoothing
Unlike SMA, this technique involves the automatic weighting of past data
with weights that decrease exponentially with time. That is, the older
observations get a decreasing weighting while new observations receives a
greater weighting.
New forecast = old forecast + (latest observation old forecast)
= 2/(m+1)
m = number of obervations comparable to the SMA
where is the smoothing constant and can be between 0 to 1.
Actual
Exponential forecasts
Quarter
Sales (units)
values 0.2
values 0.8
Spring
450
Summer
440
448
442
Fall
460
452
456
Winter
480
464
476
38
Linear Trend
When
the graph of a trend component takes the shape of a straight line the forecast
value can be determined by the linear regression method of the following equations:
Least squares method:
b1 = n() ()()
n() ()2
b0 = ( b1 /n
Where- b1 is the gradient of a line
b0 is the intercept of the y axis
n is the number of values
y = Trend
x = time
a = y intercept
m = gradient of the line
Then use the least squares method to find the trend equation.
Seasonal Variation
By definition, is repetitive and predictable
Step 2
Because (T+C+S+I)-(T+C)= S+I
Difference between observed value and the
moving average which is => X G = D
Step 1 + 2
Step 3
The irregular component is reduced calculating
the averages S' over all years, one for each
quarter. It is assumed that the irregular
component will cancel when summed together.
Step 4
The final seasonal estimates have to sum up
to 0. A correction value is used to allow this to
happen.
Step 5
When the seasonal figures have been
Seasonal adjustment of a
multiplicative series
Step 1
First the symmetric moving averages of the
observations are calculated by G=TC as a first
estimate over the trend and the cycle.
Step 2
T and C are then removed from the series, and
this is done in a multiplicative model by division,
i.e. the fraction Q is calculated
Step 3
The different seasonal estimates are joint,
exactly as it was done in the additive
model, by calculation of an average over the
years, S.
Step 4
The averages S' are normalized so that the
calculated seasonal factors each varies
around 1, i.e. they sum up to 4. The
normalization is here performed by a
multiplication of each seasonal factor with 4,
and then dividing each factor with their sum.
Step 5
Residuals
They are what remains after the seasonal,
badly affected
Small residual small fluctuations forecast
not badly affected
Residuals vs Predicted
Values
If the model gives an adequate fit to the data and
Applications
Applications
Trend Analysis can be applied to a wide cross
Applications
Importance of Seasonal Variation
Knowledge of past trends can be projected
into the future
To measure seasonal effect
To eliminate seasonality
It aids short term forecasting and planning.
Sources
Time Series and Forecasting
->www.mcgrawhill.ca/college/lind
http://web.mit.edu/13.42/www/handouts/readi
ng-randomprocesses.pdf
Question 1
The enrolment in the School of Engineering at
Years
Quarter
observed values
2001
2002
2003
2004
2005
Winter
Spring
Summer
Fall
Winter
Spring
Summer
Fall
Winter
Spring
Summer
Fall
Winter
Spring
Summer
Fall
Winter
Spring
Summer
Fall
2033
1871
714
2318
2174
2069
840
2413
2370
2254
927
2704
2625
2478
1136
3001
2803
2668
multiplicative
Normalized
Quaterly
Average
1.261950109
1.177673797
1.102211847
0.458164246
additive
Deseasonaliz
ed Values
1726
1697
1558
1837
1846
1877
1833
1912
2012
2045
2023
2143
2229
2248
2479
2378
2380
2421
Normalize Deseasonalize
d Quaterly
d Values
Average
1655
1659
1847
542.87760
1775
42
377.90885
1796
42
212.29427
1857
08
1133.0807
1973
3
1870
1992
2042
2060
2161
2247
2266
2269
2458
2425
2456
3500
3000
2500
f(x) = 49.29x + 1567.66
2000
observed values
Deseasonalized Values
1500
1000
500
0
1
10
11
12
13
14
15
16
17
18
Question 2
Find the trend using a 4 year simple moving
average.
Year
Sales
1996
58436
1997
59994
1998
61515
1999
63182
2000
67989
2001
70448
2002
72601
2003
75482
2004
78341
2005
81111
3 year moving
Average
59981.67
61563.67
64228.67
67206.33
70346
72843.67
75474.67
78311.33
4 year moving
Average
60781.75
63170
65783.5
68555
71630
74218
76883.75
EMA 0.5
57657
59233.5
60681.5
60778.5
66759.5
69371.5
71160.5
74052.5
76956
85000
EMA is more
80000
75000
Sales
70000
Linear (Sales)
4 year moving
Average
65000
EMA 0.5
60000
55000
50000
10
Question 3
The inventory turnover rates for Bassett
Year
2001 I
II
III
IV
2002 I
II
III
IV
2003 I
II
III
IV
2004 I
II
III
IV
2005 I
II
III
IV
Quarter
Obsevered
Value X
4.4
6.1
11.7
7.2
4.1
6.6
11.1
8.6
3.9
6.8
12
9.7
5
7.1
12.7
9
4.3
5.2
10.8
7.6
multiplicative
Correct
Deseasi
ed
onalize
Quarterl
d
y
Values
Average
7.9
7.4
7.9
6.3
0.55537
6
7.4
0.82613
8
8.0
1.48149
9
7.5
1.13698
7
7.6
7.0
8.2
8.1
8.5
9.0
8.6
8.6
7.9
7.7
6.3
7.3
6.7
additive
Correct
Deseasi
ed
onalize
Quarterl
d
y
Values
Average
7.9
7.5
7.9
6.1
3.50026
7.6
1.38464
8.0
3.83411
5
7.3
1.05078
1
7.5
7.4
8.2
8.2
8.6
8.5
8.5
8.9
7.9
7.8
6.6
7.0
6.5
14
12
10
8
Obsevered Value X
Deseasionalized Values
0
1
10
11
12
13
14
15
16
17
18
19
20
Question 4
Sales of roof material, by quarter, since 1999
Year
1999
2000
2001
2002
2003
2004
2005
Quarter
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
Obsevered
Value X
210
180
60
246
214
216
82
230
246
228
91
280
258
250
113
298
279
267
116
304
302
290
114
310
321
291
120
320
sales.
b.Deseasonalize the data
multiplicative
Correct
ed
Deseasi
Quarter onalize
ly
d
Averag Values
e
177
161
137
196
1.1875
02
180
1.1192
36
193
0.4382
42
187
1.2550
19
183
207
204
208
223
217
223
258
237
235
239
265
242
254
259
260
247
270
260
274
255
Correct
ed
Deseasi
Quarter onalize
ly
d
Averag Values
e
168
154
185
189
42.339
29
172
26.005
95
190
124.85
1
207
56.505
95
173
204
202
216
223
216
224
238
241
237
241
241
247
260
264
239
253
279
265
245
263
350
300
250
200
Obsevered Value X
Deseasionalized Values
150
100
50
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28
Year
Quarter
Obsevered Value X
2000
2001
2002
2003
2004
2005
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
142
312
488
208
146
318
512
212
160
330
602
187
158
338
572
176
162
380
563
200
162
362
587
205
indexes.
b. Interpret the typical seasonal pattern
c. deseaonalize the data
Corrected
Quarterly
Average
Deseasionalize
d Values
1.819307881
0.544666132
0.518127331
1.117898656
274
279
268
382
282
284
281
389
309
295
331
343
305
302
314
323
313
340
309
367
313
324
323
376
Corrected
Quarterly
Average
Deseasionalized
Values
242.0759608
-94.09070583
-154.3740392
28.67596084
296
283
246
302
300
289
270
306
314
301
360
281
312
309
330
270
316
351
321
294
316
333
345
299
700
600
500
400
300
200
100
0
1
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
(X1+X2+X3+X4)/4
Step two: Remove the trend and cyclical component and compute the value Q, where Q=X/G.
Step three: For the same quarter of each year find the sum of the average of the Q values.
This value is S.
Step four: find the normalized averages or seasonal factor S using the equation S= (4S/)
Step five: the seasonal adjustment is conducted by dividing the X values by the seasonal
factor S.
Additive method:
Step one: Calculate Moving Averages G using the equation ([X 1/2]+X2+X3+X4+[X5/2])/4 or
(X1+X2+X3+X4)/4
Step two: Remove the trend and cyclical component and compute the value Q, where Q=X-G.
Step three: For the same quarter of each year find the sum of the average of the Q values.
This value is S.
Step four: find the normalized averages or seasonal factor S using the equation S=S - ()/4
Step five: the seasonal adjustment is conducted by subtracting the X values by the seasonal
factor S.
Trend equations
Q1) = 49.29022498t + 1567.660482 (multi)
48.5059232t + 1584.071334 (add)
Q2) = 2624.575758t +544747.3333