Structural Analysis of Time Series Using the SAS/ETS® UCM Procedure
Rajesh Selukar, SAS Institute
This article introduces the SAS/ETS® UCM procedure, which uses structural models to analyze time series data. Structural models provide regression-like decomposition of the response series into latent components (such as trend, seasonal, or other periodic components) and linear and nonlinear regression effects. Apart from the series forecasts, structural modeling provides estimates of these unobserved components; these estimates are very useful in practical decision making. In SAS® 9.2 the UCM procedure contains several new features: incorporation of linear and nonlinear regression effects with time-varying coefficients, approximation of long and complex seasonal patterns by using splines and trigonometric polynomials, detection of structural change, and additional ODS graphics. A few real-life examples illustrate the functionality of the UCM procedure.