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dec01
2012 Apr 02
0
STL decomposition of time series with multiple seasonalities
...onent 2 and irregular component). As far as I know, the STL procedure for decomposing a series in R only allows one seasonal component, so I have tried decomposing the series twice. First, by setting the frequency to be the first seasonal component using the following code:
ser = ts(data, freq=48)
dec_1 = stl(ser, s.window="per")
Then, I decomposed the irregular component of the decomposed series (dec_1) by setting the frequency to be the second seasonal component, such that:
ser2 = ts(dec_1$time.series[,3], freq=336)
dec_2 = stl(ser2, s.window="per")
I'm not very confid...