Nonparametric Method of Least Squares: Accounting for Seasonality

Abstract

We consider the problem of restoring a nonparametric dependence described by the sum of linear trend and seasonal component, i.e., a periodic function with the known period. We obtain the asymptotic distribution of the parameter estimates and the trend component. We find the mathematical expectation of the residual sum of squares. We also develop the methods of estimation of the seasonal component and construction of the interval forecast.