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dec_w
2012 Apr 02
0
STL decomposition of time series with multiple seasonalities
...l 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 confident with this approach. And I would like to know if there are any other ways to decompose a series that has multiple seasonalities. Also,I have noticed that the tbats() function in the R forecast<http://cran.r-project.org/web/packages...