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Fit a LOESS smoother

Source: R/jd3_stl.R
loess.Rd

Applies a LOESS smoother to a numeric time series.

Usage

loess(series, window, degree = 1, jump = 0)

Arguments

series

Numeric vector. Input time series to be smoothed.

window

Integer. Length of the LOESS smoothing window. Larger values produce a smoother result.

degree

Integer. Degree of the local polynomial. Supported values are 0 for locally constant smoothing and 1 for locally linear smoothing. The default is 1.

jump

Integer. Number of jumps used to speed up the computation. If jump = 0, the smoother is evaluated at every observation. Values greater than zero evaluate the smoother at fewer points and interpolate between them. The default is 0.

Value

A numeric vector containing the smoothed series.

Details

This function provides a simple R interface to the JD+ Java implementation of the LOESS smoother used internally by the stlplus decomposition routines. It smoothes the input series using a local polynomial of degree 0 or 1.

This function is not the same as loess from the stats package. It does not use a formula interface and is intended for smoothing a single numeric series with the JD+ stlplus|loess implementation. Also, it can handle time series with missing values.

See also

stlplus, mstl, istl, loess

Examples

q <- stlplus(
  series = rjd3toolkit::ABS$X0.2.09.10.M,
  period = 12
)
#> Error in rJava::.jcall("jdplus/stl/base/r/StlDecomposition", "Ljdplus/toolkit/base/api/math/matrices/Matrix;",     "stl", as.numeric(series), as.integer(period), as.logical(multiplicative),     as.integer(swindow), as.integer(twindow), as.integer(lwindow),     as.integer(sdegree), as.integer(tdegree), as.integer(ldegree),     as.integer(sjump), as.integer(tjump), as.integer(ljump),     as.integer(ninnerloop), as.integer(nouterloop), as.numeric(weight_threshold),     toupper(as.character(weight_function)), as.logical(legacy)): RcallMethod: cannot determine object class

trend <- q$decomposition[, "t"]
#> Error in q$decomposition: object of type 'closure' is not subsettable

smoothed_trend <- loess(
  series = trend,
  window = 121
)
#> Error in .jcheck(): java.lang.UnsupportedClassVersionError: jdplus/stl/base/r/StlDecomposition has been compiled by a more recent version of the Java Runtime (class file version 65.0), this version of the Java Runtime only recognizes class file versions up to 61.0

ts.plot(
  cbind(trend, smoothed_trend),
  col = c("black", "red")
)
#> Error: object 'trend' not found