The airline passenger series, given as Series G in Box and Jenkins (1976), is often used in time series literature as an example of a nonstationary seasonal time series. This series is a monthly series consisting of the number of airline passengers who traveled during the years 1949 to 1960. Its main features are a steady rise in the number of passengers from year to year and the seasonal variation in the numbers during any given year. It also exhibits an increase in variability around the trend. A transformation is used to stabilize this variability. The following DATA step prepares the -transformed passenger series analyzed in this example:

   data seriesG;
      set sashelp.air;
      logair = log( air );
   run;

The following statements produce a time series plot of the series by using the TIMESERIES procedure (see Chapter 27, The TIMESERIES Procedure ). The trend and seasonal features of the series are apparent in the plot in Figure 29.1.

   proc timeseries data=seriesG plot=series;
      id date interval=month;
      var logair;
   run;

Figure 29.1 Series Plot of Log-Transformed Airline Passenger Series

In this example this series is modeled using an unobserved component model called the basic structural model (BSM). The BSM models a time series as a sum of three stochastic components: a trend component , a seasonal component , and random error . Formally, a BSM for a response series can be described as

Each of the stochastic components in the model is modeled separately. The random error , also called the irregular component, is modeled simply as a sequence of independent, identically distributed (i.i.d.) zero-mean Gaussian random variables. The trend and the seasonal components can be modeled in a few different ways. The model for trend used here is called a locally linear time trend. This trend model can be written as follows:

These equations specify a trend where the level as well as the slope is allowed to vary over time. This variation in slope and level is governed by the variances of the disturbance terms and in their respective equations. Some interesting special cases of this model arise when you manipulate these disturbance variances. For example, if the variance of is zero, the slope will be constant (equal to ); if the variance of is also zero, will be a deterministic trend given by the line . The seasonal model used in this example is called a trigonometric seasonal. The stochastic equations governing a trigonometric seasonal are explained later (see the section Modeling Seasons). However, it is interesting to note here that this seasonal model reduces to the familiar regression with deterministic seasonal dummies if the variance of the disturbance terms in its equations is equal to zero. The following statements specify a BSM with these three components:

   proc ucm data=seriesG;
      id date interval=month;
      model logair;
      irregular;
      level;
      slope;
      season length=12 type=trig print=smooth;
      estimate;
      forecast lead=24 print=decomp;
   run;

The PROC UCM statement signifies the start of the UCM procedure, and the input data set, seriesG, containing the dependent series is specified there. The optional ID statement is used to specify a date, datetime, or time identification variable, date in this example, to label the observations. The INTERVAL=MONTH option in the ID statement indicates that the measurements were collected on a monthly basis. The model specification begins with the MODEL statement, where the response series is specified (logair in this case). After this the components in the model are specified using separate statements that enable you to control their individual properties. The irregular component is specified using the IRREGULAR statement and the trend component is specified using the LEVEL and SLOPE statements. The seasonal component is specified using the SEASON statement. The specifics of the seasonal characteristics such as the season length, its stochastic evolution properties, etc., are specified using the options in the SEASON statement. The seasonal component used in this example has a season length of 12, corresponding to the monthly seasonality, and is of the trigonometric type. Different types of seasonals are explained later (see the section Modeling Seasons).

The parameters of this model are the variances of the disturbance terms in the evolution equations of , , and and the variance of the irregular component . These parameters are estimated by maximizing the likelihood of the data. The ESTIMATE statement options can be used to specify the span of data used in parameter estimation and to display and save the results of the estimation step and the model diagnostics. You can use the estimated model to obtain the forecasts of the series as well as the components. The options in the individual component statements can be used to display the component forecasts—for example, PRINT=SMOOTH option in the SEASON statement requests the displaying of smoothed forecasts of the seasonal component . The series forecasts and forecasts of the sum of components can be requested using the FORECAST statement. The option PRINT=DECOMP in the FORECAST statement requests the printing of the smoothed trend and the trend plus seasonal component ().

The parameter estimates for this model are displayed in Figure 29.2.