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
CRAN:
install.packages("stlplus")Github:
devtools::install_github("hafen/stlplus")License
This software is released under the BSD license. Please read the license document.