[R] Forecasting with STL

felipe araujo
Wed, 05 Jan 2011 17:46:35 -0000

Dear list,

We have been using STL for seasonal decomposition, and would like to use the
trend and seasonal component to forecast n steps ahead.

There is no function called predict.stl, and inside an stl object there is no
loess model to be predicted either.

Our solution is to apply loess or lm using the trend of stl as
auto-regressors after which we use predict.lm or predict.loess, and then apply
seasonal modifiers to predicted data.

Is there a more straight forward way to do this? Some function we are missing?

Thank you in advance.

Felipe Araujo

Researcher in finance and economics
Rio de Janeiro, Brasil





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