Seasonal adjustment in Python and Scipy

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+3 Q:

Seasonal adjustment in Python and Scipy

Hello

I am looking to seasonally adjust monthly data, using Python. As you can see from these series: www.emconfidential.com, there is a high seasonal component to the data. I would like to adjust for this so that I can better guage if the series trend is rising or falling. Anybody know how to do this easily using scipy or other Python library?

Not sure on the programming aspect of this but I would seriously consider moving averages to solve this.

ridecar2 2010-01-14 20:01:07

That works for a 12 period moving average, the only problem is that what if I want to extrapolate from the last 3 or 6 months of data, to start getting an idea of the developing trend? Then I need a proper seasonal adjustment.

Thomas Browne 2010-01-14 20:17:03

+1 A:

There's no magical python library that will do seasonal adjustments for you. Applications that do this kind of thing tend to be rather large.

You'll need to work out the maths yourself and then use scipy to calculate the rest for you.

DisplacedAussie 2010-01-14 20:44:15

Thanks I think you're right that I'll just program it myself. Your PDF is a good source. However not quite true that there are no python libraries that do this: http://hydroclimpy.sourceforge.net/generated/scikits.hydroclimpy.core.ts_addons.deseasonalize.html#scikits.hydroclimpy.core.ts_addons.deseasonalizeProblem is above is not the algorithm I want. I am looking for an X12 Arima implementation.

Thomas Browne 2010-01-14 21:34:02

Hi Thomas,

I noticed you were looking for a Python x12a implementation, and that you came to the conclusion that you needed to code it yourself.

I was wondering if you ever did finish it? If so I'd be interested.

Thanks,

Andreas

Andreas 2010-07-20 09:45:12

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Seasonal adjustment in Python and Scipy

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