[R] Help with stl
ssefick at gmail.com
Tue Sep 2 14:35:50 CEST 2008
#from the ?stl examples
#in g are the residuals, sesonal trend, and the remainder. It looks
like you are going to have to #model this decompostion to get at what
On Tue, Sep 2, 2008 at 12:50 AM, Ryan <rhafen at purdue.edu> wrote:
> <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.
>> R-help <at> r-project.org mailing list
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
> 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.
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
Southeastern Natural Sciences Academy
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so little or so large that all they really do for us is puff us up and
make us feel like gods. We are mammals, and have not exhausted the
annoying little problems of being mammals.
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