[R] Help with stl

Ryan rhafen at purdue.edu
Tue Sep 2 06:50:18 CEST 2008

 <rkevinburton <at> charter.net> writes:

> I just realized after some tips and a little digging that what I was trying to
do "manually" has already been
> done. I was trying to fit my data using 'lm' then taking the "residual" data
and trying to do a spectral
> estimate (for seasonality) usiing fft and then passing the "residual" of all
of that to arima to get the
> irregular portion of the time series forecast equation. I found 'stl' that
advertises that it does all of
> this (and probably better than my efforts). The only problem that I found was
that it takes a time-series
> object. Time-series objects don't handle missing observations. Say I only have
two observations for the
> year (enough to fit a line through). I can easily fit a line through the
observation points but if I add in
> zeros for the missing observations least squares will un
>  doubtedly throw my observations out and fit the "wrong" line. The other steps
will more than likely have
> residual data so I don't have to worry for these steps about missing data. Has
>  e used 'stl' with missing observations? If so what sort of tricks did you use
to get around the missing data
> and time series?
> Thank you.
> Kevin
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Someone can correct me if I am wrong, but R's STL implementation 
uses the Fortran version of stl, which in interest of speed does not 
allow for missing observations.  If you use the stl implemented in S, 
you should be able to have missing observations.

If you read the original stl paper, the algorithm is described and is 
pretty straightforward to implement or do your own variation on.

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