Business Knowledge Series course
Presented by Terry Woodfield, Ph.D., Analytical Training Consultant, Education Division, SAS
This course addresses SAS/ETS software.
Introduction to Unobserved Components Models- overview of different models used for time series analysis
- some examples to motivate the decomposition of time series into components
Stochastic Models for Trend, Season, and Cycle Components- random walk and local linear trend
- stochastic cycle
- saturated and unsaturated trigonometric season
Handling of the Regression Effects- linear time-invariant regression
- nonlinear time-invariant regression
- time-varying regression coefficient model
- lagged response values
Irregular Component
UCM Procedure Syntax- component specification
- specification of different types of regression effects
- controlling observation span
- requesting variety of tabular and graphical output
Estimation Phase Output- parameter estimates
- fit summary
- residual diagnostics
- outlier summary
Forecast Phase Output- forecasts of the response variable and the model components
- interpolation of missing response values and smoothed estimates of the model components
Examples- several illustrative examples
- modeling tips
Statistical Framework Underlying the UC Models- UCMs as state space models
- one-step-ahead forecasts, likelihood, and state smoothing
Numerical Issues- how to determine the problem size
- trouble shooting parameter estimation and other problems
