Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition

Lin, W; Huang, JHZ; McElroy, T

Lin, W (corresponding author), Univ Int Business & Econ, Sch Int Trade & Econ, Beijing 100029, Peoples R China.; Lin, W (corresponding author), Capital Univ Econ & Business, Int Sch Econ & Management, Beijing 100070, Peoples R China.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (3): 487

Abstract

We propose a new seasonal adjustment method based on the Regularized Singular Value Decomposition (RSVD) of the matrix obtained by reshaping the seaso......

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