Re: [R] strength of seasonal component

From: Arun Kumar Saha <arun.kumar.saha_at_gmail.com>
Date: Fri, 13 May 2011 10:12:00 +0530


Answering question as in "
http://r.789695.n4.nabble.com/strength-of-seasonal-component-td3517033.html ."

Possibly your code "MASS::rlm(mean price ~ month)" will result in Spurious regression; you would make wrong impression of your estimated beta coef. as in presence of the spurious regression they no longer have t-distribution. May be you should try with "MASS::rlm(diff(log(mean price)) ~ month)?"

And secondly decomposition using standard approach is some sort of **deterministic** act therefore, you would not get any measure of "strength" in Statistical inference sense. To get that, I think above regression approach would be handy.

HTH Thanks and regards,


Arun Kumar Saha, FRM
QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM


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