Hi Michael,

As far as I know, there is no Arima function in R that allows multiple
seasonal patterns.  There's 2 approaches you can take:
1. Use a matrix of dummy variables (e.g. jan/feb/mar/...dec and
mon/tues/wed/...sun) as an xreg term in the arima function.
2. Use a matrix of Fourrier terms to represent the different seasonal
patterns.

Rob Hyndman outlines the second approach on his
blog<http://robjhyndman.com/researchtips/longseasonality/>,
which might be a good starting point.  The primary disadvantage of these
approaches is that the seasonal term is assumed to be fixed over time.

-Zach

On Sun, Dec 11, 2011 at 9:56 PM, Michael <comtech.usa@gmail.com> wrote:

> sorry for the re-post...
>
> On Sun, Dec 11, 2011 at 8:22 PM, Michael <comtech.usa@gmail.com> wrote:
>
> > Hi all,
> >
> > I just couldn't find a R function which can fit multiple seasonal
> > patters...  i.e. in the following code:
> >
> > *arima(x = data, order = c(p, d, q), seasonal = list(order = c(P, D, Q),
> > period = S), ...
> > ***
> > *
> > there can be only one "period", am I right?
> >
> > What if the data seem to have three different seasonality cycles, 5, 12,
> > 21?
> >
> > Thanks a lot!
> > *
> >
>
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