This paper focuses on developing a new data-driven procedure for decomposing seasonal time series based on local regression. Formula of the asymptotic optimal bandwidth hA in the current context is given. Methods for estimating the unknowns in hA are investigated. A data-driven algorithm for...

In this paper a robust data-driven procedure for decomposing seasonal time series based on a generalized Berlin Method (BV, Berliner Verfahren) as proposed by Heiler and Michels (1994) is discussed. The basic robust algorithm used here is an adaptation of the LOWESS (LOcally Weighted Scatterplot...