Data Seasonal Adjustment using Cubic Splines

Hello everybody,

Im trying to calculate the intraday seasonal factor of my data set using a cubic spline. I have 90 days and each day has 24 observations, so in total I have 2160 observations.

My data for one day looks like this:

Hr Vol

00 880

01 950

02 789

03 680

.....

22 990

23 1000

24 890

I used a cubic spline to fit my data and try to get the seasonal factor, but after I do this I have no idea of how to seasonally adjust my dataset. I want to use a multiplicative model, so my adjusted data would have the form of y_adjusted = y / seasonal_factor.Do you have any suggestions of how could I do this? I have read that the seasonal factor should be the sum of the trading volumes from 00-24 hours, but when I divide my y by this total sum of trading volumes, it doesnt make sense because I get trading volumes of 0.6 or so.

clear all
clc

data = load('91days.txt');
buy90 = data ( 1 : 2160 , 1);
x = 1 : 1: 24; % Number of Knots
xx = linspace(1,24);
y = reshape( buy90, length(x), []);

    for j = 1 : 1 : 75

        a = y( : , j : j + 15);
        mean_16d = mean ( a , 2 );
        mean_day = mean(mean_16d);

        pp_24 = spline(x,mean_16d);
        v = ppval(pp_24,xx);
        plot(x,mean_16d(x))
        hold on
        plot(xx,v,'r');

    end

I hope you can give me a hint. Thank you and have a nice day,

Lu

Answer 1

[Thomas]

I'm assuming this is what you are looking for

c=rand(2160,1);   % random data 2160 observation
q=reshape(c,24,[]);  % reshaping 24 observations for 90 days 24x90 matrix

out=spline(1:90,q,r); % this uses the matlab cubic spline fcn.

% any given hour to check the season variation
 plot(1:24,q(:,1),'o',1:24,out(1,:))   % this plots the variation across the 90 days for hour 1 (00)

etc..

[Lu]

Dear Thomas,

Thank you for your answer. I tried your code and it plots the season variation as you said, but is there a way to save in a vector this season variation? because everytime I type for example a=out(1,:), it gives me back the electricity volumes of the first day. Also, is your r=1:24?

Thank you so much,

Lourdes