The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Smooth Tests for Seasonality

평활 계절성 검정

  • Lee, Geung-Hee (Department of Information Statistics, Korea National Open University)
  • 이긍희 (한국방송통신대학교 정보통계학과)
  • Received : 20101000
  • Accepted : 20101200
  • Published : 2011.02.28
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Abstract

When using X-12-ARIMA for seasonal adjustment, we usually check whether the series has stable seasonality or not via D8 F-tests, Kruskal-Wallis test, and the spectral diagnostics. In this paper, we develop several smooth tests for seasonality based on a Fourier series to improve the spectral diagnostics of X-12-ARIMA. A simulation study is conducted to compare five smooth tests for seasonality and X-12-ARIMA's D8 F-test an Kruskal-Wallis test. The simulation study shows that smooth tests for seasonality performed well compared with D8 F-tests and a Kruskal-Wallis test.

시계열에는 1년 주기의 계절변동이 포함되어 있다. 시계열의 기조적 움직임을 살펴보기 위해서는 시계열에서 계절 변동을 제거하는 계절조정이 필요하다. 계절조정 프로그램 X-12-ARIMA에서는 F검정과 Kruskal-Wallis검정으로 시계열에 존재하는 계절변동(계절성)을 식별하고, 스펙트럼 그래프로 계절조정후 불규칙변동에 계절변동이 남아 있는 지 점검한다. 본 연구에서는 평활 검정을 계절성 검정에 적용한 평활 계절성 검정을 제안하고, 그 특성을 모의실험과 실제 시계열에 대한 계절성 검정을 통해 살펴보았다. 모의실험 결과를 보면 평활 계절성 검정이 X-12-ARIMA의 스펙트럼 분석을 계량화하고, 계절성 검정인 F검정과 Kruskal-Wallis검정을 보완할 수 있을 것으로 판단된다.

Keywords

References

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