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Trend Analysis

Stochastic Modeling and Environmental Change

  1. Andrew Harvey

Published Online: 15 SEP 2006

DOI: 10.1002/9780470057339.vat025

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Harvey, A. 2006. Trend Analysis. Encyclopedia of Environmetrics. 6.

Author Information

  1. University of Cambridge, UK

Publication History

  1. Published Online: 15 SEP 2006

Abstract

The question of defining a trend is one which has exercised the minds of statisticians for many years. In much of the statistical literature, a trend is conceived of as that part of a series which changes relatively slowly over time. Viewed in terms of prediction, the estimated trend is that part of the series which when extrapolated gives the clearest indication of the future long-term movements in the series. Trend analysis is best carried out by means of unobserved-component, or structural, time-series models. The trend components in structural time-series models are always set up in such a way that their forecast functions indicate the long-term movements in the series, and the trend within the series can be obtained by signal extraction methods.