Dear list, R-core,
The documentation of stats::stl explicitly refers to the paper by
Cleveland[1] to explain the parameters. However, the description is
confusing, with two descriptions seeming to refer to the same parameter in
the paper.
s.window: [...] the loess window for seasonal extraction, which should be
odd and at least 7, according to Cleveland et al
--> The phrase 'odd and at least 7' refers to Cleveland's
parameter n_(s),
section 3.5 of [1].
Confusing: Cleveland calls this 'seasonal smoothing', not extraction.
l.window: the span (in lags) of the loess window of the low-pass filter
used for each subseries.[...]
--> The description 'low-pass filter used for each subseries' also
seems to
correspond to Cleveland's parameter n_(s), in step two of the algorithm in
the reference. (section 2.2 of [1]).
Confusing: Cleveland does not apply a low-pass filter to each subseries[2].
The subseries are reconstructed to a single series and after that a
low-pass filter is applied (step 3 of the algorithm in section 2.2 of [1])
So what should it be? A literal reference to Cleveland's n_(s), n_(l), and
n_(t) would be really helpful here.
Thank you,
Best,
Mark
[1] https://www.wessa.net/download/stl.pdf
[2] well, technically he does in step 2 of the algorithm, but it is not
called a low-pass filter in the paper.
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