[R] Estimation and Forecast of Seasonal Component

[Giovanni Petris]

I would probably use a Dynamic Linear Model, combining seasonal
component and regression. See package dlm and its vignette for
examples. 

HTH,
Giovanni

On Tue, 2011-02-01 at 11:01 +0000, Paolo Rossi wrote:
> Hi list,
> 
> 
> I would like to estimate and forecast the seasonal component of a series. My
> model which uses daily data would be something y t = alpha + beta x SeasComp
> t + gamma x OtherRegressors t.
> 
> One approach to this would be use quarterly dummies, another to use a sine
> function. The first would cause a step change when we move from a season to
> another;  the latter impose too much regularity in my data, i.e. symmetry
> around y-axis and x-axis.
> 
> I  have looked at decompose and stl but could  not find a way to forecast
> the seasonal component. They dont allow for they presence of other
> regressors either. Can someone let me know the best way for me to proceed
> with this?
> Thanks in advance
> Paolo
> 
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