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Schlicht, Ekkehart (2017): Season. Mathematica Packages for Seasonal Adjustment.

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Abstract

This Zip-Archive provides Mathematica packages and documentation for the seasonal adjustment method proposed by Schlicht and Pauly (1983) and Schlicht (1984) covering Mathematica versions 5 to 11. The method makes use of non-parametric splines. It decomposes a time series into a trend, a seasonal component, and an irregular component. The method combines the trend filter proposed by Leser (1961) (also known as the HP-Filter), the seasonal filter proposed by Schlicht and Pauly (1983) and the orthogonal parametrization proposed by Schlicht (1984). In contrast to prevailing methods, it is based on an explicit statistical model (state-space) and estimates the smoothing parameters by a maximum-likelihood method.

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