Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume
The seasonal and trend decomposition of a univariate time-series based on Loess (STL) has several advantages over traditional methods. It deals with any periodicity length, enables seasonality change over time, allows missing values, and is robust to outliers. However, it does not handle trading day...
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Croatian Operational Research Society
2021-01-01
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| Schriftenreihe: | Croatian Operational Research Review |
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| Online-Zugang: | https://hrcak.srce.hr/file/377389 |
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