6.
Process or Product Monitoring and Control
6.4. Introduction to Time Series Analysis 6.4.4. Univariate Time Series Models


Seasonality 
Many time series display seasonality.
By seasonality, we mean periodic fluctuations. For example, retail
sales tend to peak for the Christmas season and then decline after
the holidays. So time series of retail sales will typically show
increasing sales from September through December and declining sales
in January and February.
Seasonality is quite common in economic time series. It is less common in engineering and scientific data. If seasonality is present, it must be incorporated into the time series model. In this section, we discuss techniques for detecting seasonality. We defer modeling of seasonality until later sections. 

Detecting Seasonality 
he following graphical techniques can be used to detect seasonality.
The run sequence plot is a recommended first step for analyzing any time series. Although seasonality can sometimes be indicated with this plot, seasonality is shown more clearly by the seasonal subseries plot or the box plot. The seasonal subseries plot does an excellent job of showing both the seasonal differences (between group patterns) and also the withingroup patterns. The box plot shows the seasonal difference (between group patterns) quite well, but it does not show within group patterns. However, for large data sets, the box plot is usually easier to read than the seasonal subseries plot. Both the seasonal subseries plot and the box plot assume that the seasonal periods are known. In most cases, the analyst will in fact know this. For example, for monthly data, the period is 12 since there are 12 months in a year. However, if the period is not known, the autocorrelation plot can help. If there is significant seasonality, the autocorrelation plot should show spikes at lags equal to the period. For example, for monthly data, if there is a seasonality effect, we would expect to see significant peaks at lag 12, 24, 36, and so on (although the intensity may decrease the further out we go). 

Example without Seasonality  The following plots are from a data set of southern oscillations for predicting el nino.  
Run Sequence Plot 
No obvious periodic patterns are apparent in the run sequence plot. 

Seasonal Subseries Plot 
The means for each month are relatively close and show no obvious pattern. 

Box Plot 
As with the seasonal subseries plot, no obvious seasonal pattern is apparent. Due to the rather large number of observations, the box plot shows the difference between months better than the seasonal subseries plot. 

Example with Seasonality  The following plots are from a data set of monthly CO_{2} concentrations. A linear trend has been removed from these data.  
Run Sequence Plot 
This plot shows periodic behavior. However, it is difficult to determine the nature of the seasonality from this plot. 

Seasonal Subseries Plot 
The seasonal subseries plot shows the seasonal pattern more clearly. In this case, the CO_{2} concentrations are at a minimun in September and October. From there, steadily the concentrations increase until June and then begin declining until September. 

Box Plot 
As with the seasonal subseries plot, the seasonal pattern is quite evident in the box plot. 