ISmTramoSeats.SD

Syntax

SD: Integer;

Description

The SD property determines the order of seasonal differentiation.

Comments

The property is used, if ISmTramoSeats.ArimaOrderSearch = ArimaOrderSearchType.FixOrder or ISmTramoSeats.ArimaOrderSearch = ArimaOrderSearchType.FixOnlyDiff.

Example

To execute the example, add links to the MathFin, Stat system assemblies.

Sub UserProc;
Var
    tramoseats: Smtramoseats;
    y1, y2: Array[36] Of double;
    i, j, res: Integer;
    Value, Trend, HolidaySeries: Array Of Double;
Begin
    tramoseats := New SmTramoSeats.Create;
     // Values of explained series

    y1[0] := 284;    y1[1] := 277;   y1[2] := 338;    y1[3] := 363;     y1[4] := 376;   y1[5] := 388;
    y1[6] := 407;    y1[7] := 427;   y1[8] := 368;    y1[9] := 356;     y1[10] := 353;  y1[11] := Double.Nan;
    y1[12] := 248;   y1[13] := 263;  y1[14] := 322;   y1[15] := 396;    y1[16] := 412;  y1[17] := 451;
    y1[18] := 457;   y1[19] := 457;  y1[20] := 463;   y1[21] := 443;    y1[22] := 411;  y1[23] := 398;
    y1[24] := 335;   y1[25] := 321;  y1[26] := 393;   y1[27] := 418;    y1[28] := 431;  y1[29] := Double.Nan;

    y1[30] := 583;   y1[31] := 578;  y1[32] := 497;   y1[33] := 519;    y1[34] := 528;  y1[35] := 508;
    y2[0] := 8848;   y2[1] := 9295;   y2[2] := 11186;  y2[3] := 12779;  y2[4] := 11616;  y2[5] := 15562;
    y2[6] := 16066;  y2[7] := 17710;  y2[8] := 15128;  y2[9] := 13462;  y2[10] := 12491; y2[11] := 12831;
    y2[12] := 9339;  y2[13] := 10371; y2[14] := 12407; y2[15] := 14298; y2[16] := 13608; y2[17] := 17711;
    y2[18] := 18655; y2[19] := 19595; y2[20] := 18635; y2[21] := 16713; y2[22] := 15445; y2[23] := 16312;
    y2[24] := 12749; y2[25] := 12726; y2[26] := 15567; y2[27] := 17243; y2[28] := 19476; y2[29] := 26609;
    y2[30] := 30729; y2[31] := 32499; y2[32] := 27643; y2[33] := 25719; y2[34] := 24747; y2[35] := 24326;
     // General settings

     // Calculation period
    tramoseats.ModelPeriod.FirstPoint := 1;
    tramoseats.ModelPeriod.LastPoint := 36;
     //Select explanatory variable
    tramoseats.Serie.Value := y1;
     //Quarters or months
    tramoseats.SeasonalComponentCycleType := SeasonalityCycleType.Month;  // months
    tramoseats.StartPeriod.Year := 2010;
    tramoseats.StartPeriod.MonthOrQuarter := 4;
     //Missing data treatment

    tramoseats.MissingData.Method := MissingDataMethod.SampleAverage;
     /// Working day and holiday adjustments ///
     // Whether to use a separate series as working day or holiday adjustment (for example, y2 series)
    tramoseats.UseHolidaySeries := True;
    tramoseats.HolidaySeries := y2;
     // Working day adjustment
    tramoseats.TradingDayEffects := TradingDayEffectsType.WeekendWeekday;
     // Automatic control of working day adjustment is enabled
    tramoseats.TradingDayIfSignificant := True;
     // Easter adjustment
    tramoseats.EasterEffect := EasterEffectType.Auto;
     /// ARIMA options

    tramoseats.RunSeats := True;
    tramoseats.ForecastHorizon := 8;
     // Source series transformation
    tramoseats.Transformation := TransformationLogLevelType.None;
     // Seasonal differentiation orders
    tramoseats.SD := 1;
     // Only differentiation orders are set
    tramoseats.ArimaOrderSearch := ArimaOrderSearchType.FixOnlyDiff;
     // Outlier detection mode
    tramoseats.OutliersDetection := OutliersType.AutoDetectAll;
     // Model calculation
    res := tramoseats.Execute;

    Debug.WriteLine(tramoseats.Errors);
    For i := 0 To tramoseats.WarningsCount - 1 Do
        Debug.WriteLine(tramoseats.Warnings[i]);
    End For;
    If (res = 0) Then
        Debug.WriteLine("Explained series:");
        Value := tramoseats.Serie.Value;
        For j := 0 To Value.Length - 1 Do
            Debug.Indent;
            Debug.WriteLine(Value[j]);
            Debug.Unindent;
        End For;
        Debug.WriteLine("Trend component:");
        Trend := tramoseats.Trend;

        For j := 0 To Trend.Length - 1 Do
            Debug.Indent;
            Debug.WriteLine(Trend[j]);
            Debug.Unindent;
        End For;
        Debug.WriteLine("Working day /holiday adjustment:");
        HolidaySeries := tramoseats.HolidaySeries;
        For j := 0 To HolidaySeries.Length - 1 Do
            Debug.Indent;
            Debug.WriteLine(HolidaySeries[j]);
            Debug.Unindent;
        End For;
    End If;
End Sub UserProc;

After executing the example, the model is created using the TRAMO/SEATS methods:

Sample period and calculation period start date are set manually.
Parameter of seasonal differentiation is set.

The console window displays calculated components.