statsmodels.tsa.seasonal.seasonal_decompose¶

statsmodels.tsa.seasonal.
seasonal_decompose
(x, model='additive', filt=None, freq=None, two_sided=True, extrapolate_trend=0)[source]¶ Seasonal decomposition using moving averages
 Parameters
 xarray_like
Time series. If 2d, individual series are in columns.
 modelstr {“additive”, “multiplicative”}
Type of seasonal component. Abbreviations are accepted.
 filtarray_like
The filter coefficients for filtering out the seasonal component. The concrete moving average method used in filtering is determined by two_sided.
 freqint, optional
Frequency of the series. Must be used if x is not a pandas object. Overrides default periodicity of x if x is a pandas object with a timeseries index.
 two_sidedbool
The moving average method used in filtering. If True (default), a centered moving average is computed using the filt. If False, the filter coefficients are for past values only.
 extrapolate_trendint or ‘freq’, optional
If set to > 0, the trend resulting from the convolution is linear leastsquares extrapolated on both ends (or the single one if two_sided is False) considering this many (+1) closest points. If set to ‘freq’, use freq closest points. Setting this parameter results in no NaN values in trend or resid components.
 Returns
 resultsDecomposeResult
A object with seasonal, trend, and resid attributes.
See also
statsmodels.tsa.filters.bk_filter.bkfilter
,statsmodels.tsa.filters.cf_filter.xffilter
,statsmodels.tsa.filters.hp_filter.hpfilter
,statsmodels.tsa.filters.convolution_filter
,statsmodels.tsa.seasonal.STL
Notes
This is a naive decomposition. More sophisticated methods should be preferred.
The additive model is Y[t] = T[t] + S[t] + e[t]
The multiplicative model is Y[t] = T[t] * S[t] * e[t]
The seasonal component is first removed by applying a convolution filter to the data. The average of this smoothed series for each period is the returned seasonal component.