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Schlicht, Ekkehart ORCID logoORCID: https://orcid.org/0000-0001-8227-5451 (1981): A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle. In: Journal of the American Statistical Association, Bd. 76, Nr. 374: S. 374-378 [PDF, 1MB]

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Abstract

The decomposition of a given time series into trend, seasonal component, and irregular component is formulated as a minimization problem. The trend is chosen such that it is as smooth as possible; the seasonal component is chosen such that it exhibits a seasonal pattern as stable as possible; and the trend and seasonal components are jointly chosen such that the given time series is explained as well as possible by these two components; that is, the irregular component is minimized

Abstract

The so-called "Hodrick-Prescott Filter" is covered as a special case

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