Seasonal decomposition using STL+

Performs an STL-like seasonal decomposition. It can handle missing values and does allow a multiplicative decomposition.

Usage

stlplus(
  series,
  period,
  multiplicative = TRUE,
  swindow = 7,
  twindow = 0,
  lwindow = 0,
  sdegree = 0,
  tdegree = 1,
  ldegree = 1,
  sjump = 0,
  tjump = 0,
  ljump = 0,
  robust = NULL,
  ninnerloop = 1,
  nouterloop = 15,
  weight_threshold = 0.001,
  weight_function = c("biweight", "uniform", "triangular", "epanechnikov", "tricube",
    "triweight"),
  legacy = FALSE
)

Arguments

series

Numeric vector. Input time series to be decomposed.

period

Numeric scalar. Seasonal period of the series. For example, use 12 for monthly data with yearly seasonality, 4 for quarterly data, or 7 for daily data with weekly seasonality. In the current implementation, this value is passed to Java as an integer.

multiplicative

Logical. If TRUE, a multiplicative decomposition is used. If FALSE, an additive decomposition is used.

swindow

Integer. Length of the seasonal smoothing window.

twindow

Integer. Length of the trend smoothing window. If set to 0, the value is selected automatically by the underlying Java implementation.

lwindow

Integer. Length of the low-pass filter used to remove the trend from the seasonal component. If set to 0, the value is selected automatically by the underlying Java implementation.

sdegree

Integer. Degree of the local polynomial used for seasonal smoothing. Usually 0 or 1.

tdegree

Integer. Degree of the local polynomial used for trend smoothing. Usually 0 or 1.

ldegree

Integer. Degree of the local polynomial used for low-pass smoothing. Usually 0 or 1.

sjump

Integer. Number of jumps used in the computation of the seasonal component. Values greater than zero speed up the computation by evaluating the smoother at fewer points and interpolating between them.

tjump

Integer. Number of jumps used in the computation of the trend component.

ljump

Integer. Number of jumps used in the computation of the low-pass component.

robust

Boolean. Analogue to robust parameter in stats::stl (see details)

ninnerloop

Integer. Number of inner iterations of the STL algorithm.

nouterloop

Integer. Number of outer iterations used to compute robust weights. Set to 0 to disable robust fitting.

weight_threshold

Numeric scalar in [0, 0.3]. Threshold used in the computation of robust weights.

weight_function

Character string specifying the weighting function used by the LOESS smoothers. One of "biweight", "uniform", "triangular", "epanechnikov", "tricube" or "triweight".

legacy

Logical. If TRUE, uses the legacy MAD computation of the underlying implementation. This option is mainly provided for backward compatibility.

Value

An object of class "hf_decomposition", consisting of a list with two elements:

decomposition

A data.frame containing the original series, the seasonally adjusted series, the trend, seasonal and irregular components, fitted values and robust weights (see details).

parameters

A list containing the main parameters used for the decomposition.

Details

This function provides an R interface to the JD+ Java implementation of STL decomposition. It decomposes a time series into trend, seasonal and irregular components and returns the result as an object of class "hf_decomposition".

The returned decomposition contains the following columns:

series

The original input series.

sa

The seasonally adjusted series (trend+irregular for additive, trend*irregular for multiplicative decomposition).

t

The trend component.

s

The seasonal component.

i

The irregular component.

fit

The fitted values from the decomposition (trend+seasonal(s) for additive, trend*seasonal(s) for multiplicative decomposition).

weights

The final robust weights.

If multiplicative = TRUE, the decomposition is interpreted as a multiplicative decomposition. If multiplicative = FALSE, it is interpreted as an additive decomposition.

If robust = TRUE, the parameters nouterloop and ninnerloop are overwritten, so that 15 iterations of the outer loop and one run of the inner loop are completed. If robust = FALSE, nouterloop is set to 0, and ninnerloop is set to 2.

See also

plot.hf_decomposition

Examples

decomp <- stlplus(
  series = rjd3toolkit::ABS$X0.2.09.10.M,
  period = 12
)
#> Error in .jcheck(): java.lang.UnsupportedClassVersionError: jdplus/highfreq/base/r/FractionalAirlineProcessor 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

plot(decomp)
#> Error: object 'decomp' not found