Decomposition of Seasonal Time Series: A Model for the Census X-11 Program

Abstract

This paper shows that the linear filter version of the Census X-11 program for time-series decomposition can be approximately justified in terms of an additive model with stochastic trend, seasonal and noise components. Optimal estimates of the trend and seasonal components are obtained from the model and found to be in close agreement with the corresponding estimates for the Census procedure. This approach makes it possible to assess the appropriateness of the Census method. Two examples are given, one showing that the use of the X-11 procedure is largely appropriate and the other much less so.