ARIMA Multiple Seasonal Decomposition (MSD) Control Chart
ARIMA does not have a theoretical frequency limit, but for computational efficiency and to minimize the potential loss of observations through differencing, we recommend using ARIMA – Multiple Seasonal Decomposition (MSD) for seasonal frequency greater than 52 (or with multiple frequencies). The seasonal component is first removed through decomposition, a nonseasonal ARIMA model fitted to the remainder (+trend), and then the seasonal component is added back in.As the name implies, Multiple Seasonal Decomposition (MSD) also accommodates multiple seasonality, for example the halfhourly data with a seasonal frequency of 48 observations per day and 336 observations per week.
An Individuals control chart of the residuals is created for this forecast method. The Moving Limits chart uses the one step prediction as the center line, so the control limits will move with the center line. If a BoxCox transformation is used then an inverse transformation is applied to calculate the control limits.
The popular “Add Data”, “Show Last 30” and “Scroll” features in SigmaXL Chart Tools are available for these control charts. For “Add Data”, the time series models are not refitted, but used to compute the residual values for the new data.
 Open Monthly Airline Passengers – Modified for Control Charts.xlsx (Sheet 1 tab). This is based on the Series G data from Box and Jenkins, monthly total international airline passengers for January 1949 to December 1960. A Ln transformation is applied (avoiding the need for a BoxCox transformation), a negative outlier is added at 50 (.25) and a level shift applied (+.25), starting at 100. The Multiple Seasonal Decomposition (MSD) option is not necessary for this data, but by way of introduction, we will use this to compare to the previous analysis.
 Click SigmaXL > Time Series Forecasting > ARIMA Control Chart > Multiple Seasonal Decomposition Control Chart. Ensure that the entire data table is selected. If not, Use Entire Data Table. Click Next.

Select Ln(Airline PassengersModified), click
Numeric Time Series Data (Y) >>. Uncheck
Display ACF/PACF/LB Plots and Display Residual
Plots. Check Seasonal Frequency with
Specify = 12. Leave Specify Model
Periods and BoxCox Transformation
unchecked.
 Click Model Options.
 We will use the default
Automatic Model Selection with AICc as
the Model Selection Criterion. Click OK
to return to the ARIMA Control Chart dialog. Click OK. The ARIMA
(MSD) control charts are produced:
We can clearly see the outofcontrol data points at 50, 51 and 100 on the Residuals Individuals chart. This is similar to what we observed previously with regular ARIMA Control Charts.
 Scroll down to view the ARIMA MSD Model
header:
 The ARIMA Model Summary is given as:
This is a summary of the model information for the deseasonalized data: ARIMA (0,1,1) with a constant. Seasonal Frequency = 12 using Decomposition and Model Selection Criterion = “AICc”. There are no seasonal terms in the model. The BoxCox Transformation is “N/A”.  We will not review the Parameter Estimates, Model Statistics and Forecast Accuracy as they are close to the ARIMA MSD values given earlier, although note that slight differences are due to the introduction of an outlier and a shift, as well now we are using all of the data, i.e., there are no withhold periods. Earlier we used a BoxCox Transformation with Lambda=0 and here we are using Ln of the data.
 Open HalfHourly Multiple Seasonal Electricity Demand  Taylor.xlsx (Sheet 1 tab). This is halfhourly electricity demand (MW) in England and Wales from Monday, June 5, 2000 to Sunday, August 27, 2000 (taylor, R forecast). This data has multiple seasonality with frequency = 48 (observations per day) and 336 (observations per week), with a total of 4032 observations. See the Run Chart, ACF/PACF Plots, Spectral Density Plot and Seasonal Trend Decomposition Plots for this data.
 We will first construct a classical Individuals Control Chart on the raw data. Click SigmaXL > Control Charts > Individuals. Ensure that the entire data table is selected. If not, check Use Entire Data Table. Click Next.

Select Demand, click Numeric Data Variable (Y)
>>. Click OK. An Individuals Control
Chart is produced:
With the high frequency seasonality, this control chart is meaningless.
 Click SigmaXL > Time Series Forecasting > ARIMA Control Chart > Multiple Seasonal Decomposition Control Chart. Ensure that the entire data table is selected. If not, check Use Entire Data Table. Click Next.
 Select Demand, click
Numeric Time Series Data (Y) >>. Uncheck
Display ACF/PACF/LB Plots and Display Residual
Plots. Check Seasonal Frequency with
Specify = 48 336. Leave Specify Model
Periods and BoxCox Transformation
unchecked.
 Click Model Options.
 We will use the default
Automatic Model Selection with AICc as
the Model Selection Criterion. Click OK
to return to the ARIMA MSD Control Chart dialog. Click OK. The
ARIMA MSD control charts are produced:

Scroll down to view the ARIMA MSD Model header:

The ARIMA Model Summary is given as:
 We will not review the Parameter Estimates, Model Statistics and Forecast Accuracy as they are close to the ARIMA MSD values given earlier, although note that now we are using all of the data, i.e., there are no withhold periods.
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