[R] Time Series Decomposition On Zoo Objects: Errors

Roy Mendelssohn roy.mendelssohn at noaa.gov
Fri Apr 4 00:04:15 CEST 2014

The state-space approach has the advantage in the appropriate situations that  you can model the trends and seasonals and cycles in a way that doesn't assume stationarity and provides a lot of flexibility.  To me a lot of it depends on if the nature of the irregularity is an inherent property of the data themselves or of the observation process - for example if it makes sense to say the physical observable is there every month but we just have not been able to observe.  I have fit state-space models to reasonably sparse data with what appear to be good results.  

If you want I can send you some examples off-line.


On Apr 3, 2014, at 2:54 PM, Rich Shepard <rshepard at appl-ecosys.com> wrote:

> On Thu, 3 Apr 2014, Roy Mendelssohn wrote:
>> How irregular is irregular. kalman filter based methods, such as those in
>> KFAS and DLM, can handle missing data, and often "irregular" data can be
>> thought of as regular data with missing values, A lot depends on how
>> irregular and how big the gaps, to the point where the analysis can be
>> calculated but is not very meaningful.
> Roy,
>  The degree of irregularity varies with the data set. It varies greatly.
> Sometimes, monthly samples are missed because the streambed is dry, or
> because there are several meters of snow on top of the channel. Sometimes
> regulators have permit holders stop analyzing for a chemical constituent,
> then there's an agency staff change and that constituent is back on the list
> of chemicals to be monitored. Some times fish are present, other times
> they're not.
>> Don't know if this helps.
>  Yes, it does. I'll read up on Kalman filters, on state-space models with
> missing data modifications in Shumway & Stoffer (3rd Ed.), and on gamm.
> Thanks,
> Rich
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Roy Mendelssohn
Supervisory Operations Research Analyst
Environmental Research Division
Southwest Fisheries Science Center
1352 Lighthouse Avenue
Pacific Grove, CA 93950-2097

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