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SAS/ETS(R) 9.2 User's Guide

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The SIMILARITY Procedure

Time Series Differencing

After optionally transforming the series, the accumulated series can be simply or seasonally differenced using the INPUT or TARGET statement DIF= and SDIF= option. Simple and seasonal differencing are useful when you want to detrend or deseasonalize the time series before computing the similarity measures.

For example, suppose ${y_{t}}$ is a monthly time series, the following examples of the DIF= and SDIF= options demonstrate how to simply and seasonally difference the time series.

DIF=(1,3) specifies first, then third, order differencing. SDIF=(1,3) specifies first, then third, order seasonal differencing.

Additionally, assuming that ${y_{t}}$ is strictly positive, the INPUT or TARGET statement TRANSFORM= option and the DIF= and SDIF= options can be combined.

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