stlplus
This package contains enhancements to the Seasonal Trend
Decomposition using Loess (STL) implementation that comes with base R,
stl()
.
Here are some of the added features over stl()
:
- Can handle NA values
- Higher order loess smoothing (more than just local constant and
linear)
- Automated parameter choices for local quadratic
- Frequency component smoothing beyond seasonal and trend
- Plot methods for diagnostics
For (very) experimental inference, prediction, and variance reduction
at endpoints, see the operator package.
References
- Cleveland,
R. B., Cleveland, W. S., McRae, J. E., & Terpenning, I. (1990). STL:
A seasonal-trend decomposition procedure based on loess. Journal of
Official Statistics, 6(1), 3-73.
- Hafen,
R. P. “Local regression models: Advancements, applications, and new
methods.” (2010).
Installation
devtools::install_github("hafen/stlplus")
License
This software is released under the BSD license. Please read the license
document.