
Hi
 
I suggest the "forecast" package and the paper available here
 
http://ideas.repec.org/p/msh/ebswps/2007-6.html
 
JHK
> Date: Thu, 18 Sep 2008 14:22:00 -0700> From: rkevinburton@charter.net> To: r-sig-finance@stat.math.ethz.ch> Subject: [R-SIG-Finance] Time Series Decomposition> > Hi: > > I've been struggling with the following problem and was just > wondering if someone knew of any solid references in the literature > for what i'm attempting. I think what i'm attempting is fairly > straightforward: I have a time series that has a level, a trend and > seasonal component. I want to model all three of the pieces and put them > back together to build a forecasting model. I tried > to use stl but the seasonal component (in the data) is clearly chaging over time so > the stl models the seasonal piece incorrectly/incompletely (with the amplitude basically fixed for each "season") and this causes all the > other components to be subsequently modelled incorrectly also. So, I was > looking for somewhat of a less black boxy approach that > I can really get my hands around as far as what's going on. Then, with > that knowledge, maybe I can figure out a way to deal with > the fact that the seasonal component ( the magnitude ) is changing over > time. I have heard that I can use DLMs ( dynamic linear > models for this ) but they are pretty complicated so I was wondering if > anyone knew of simpler approaches or something in the literature > that I can read and understand. I have been looking at going the arima > route but the time series texts that I have don't do in depth coverage > of a time series decomposition. They talk about how to use the arima > framework to model a seasonal time series but I have a trend in my > series also. And I also want to model the level after the seasonal and trend is > taken out ? So, if anyone could help me out with references for > what I want to do, it would be greatly appreciated. > > Kevin> rkevinburton@charter.net> > _______________________________________________> R-SIG-Finance@stat.math.ethz.ch mailing list> https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only.> -- If you want to post, subscribe first.
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