similar to: STL - time series seasonal decomposition sensitive to data points?

Displaying 20 results from an estimated 11000 matches similar to: "STL - time series seasonal decomposition sensitive to data points?"

2017 Jul 19
2
STL - time series seasonal decomposition sensitive to data points?
Hi all, I am trying to analyse a time series data and want to make trend-season decomposition using STL approach in R. However I found the decomposition result seems to be sensitive to data points even with the robust option. More specifically, suppose I have a few years of monthly data. Using stl, I got a decomposition T1 + S1 + R1. Then I deleted the most recent two or three data points, the
2012 Apr 02
0
STL decomposition of time series with multiple seasonalities
Hi all, I have a time series that contains double seasonal components (48 and 336) and I would like to decompose the series into the following time series components (trend, seasonal component 1, seasonal component 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,
2011 Oct 03
0
stl-decomposition with missing season
Dear all, I have a time series with a frequency of 10 days (so 36 yearly). one year is completely NA. Now I want to do a stl-decomposition, but using e.g. na.action= na.approx makes no sense for a whole year, of course. Is there a way of simulating this single year or to just make stl not using this year for the decomposition? -- View this message in context:
2011 Mar 11
0
Seasonality in STL Decomposition
I having issues with interpreting the results of STL decomposition. The following is the data used as well as the decompsed seasonality, trend and the remainder components. It is a weekly data. The original data doesn't appear to be seasonal. But there seems to be a periodic peak in the seasonal component. Can some one please let me know how to interpret the seasonality plot in this??? Also,
2011 May 18
1
Multiple plots on one device using stl
G'day, I am looking at monthly reports, and have three series of monthly data from 2007 to 2009. I would like to show the season decomposition of these two series side by side on the one device, however using plot doesn't seem to respect any use of layout(matrix(1:3, ncol=3)) or par(mfcol=c(1,3)). I'm guessing that this means that the plot(stl) perhaps uses them, but I can't find
2009 Oct 16
0
Problem with the stl function
Hi there, My name is Renan X. Cortes, student of Statistics, from south of Brazil, and I'd like to ask you a few questions about decomposition of time series. In R, when I fit the decomposition using the "stl" function, an object is returned when ask the summary of the fit, called STL.seasonal (%), STL.trend (%) and STL.remainder (%). Once the decomposition is additive,
2003 Jul 30
2
STL- TimeSeries Decomposition
Dear R Helpers, Currently I'm working with the ts package of R and created a TimeSerie from pixels extracted from satellite imagery(S10 NDVI data, 10 daily composites). I'm trying to decompose this signal in different signals (seasonal and trend). When testing out the STL method is says => Only univariate timeseries are allowed, but the current Timeserie I'm using is univariate!
2010 Feb 07
2
predicting with stl() decomposition
Hi mailinglist members, I’m actually working on a time series prediction and my current approach is to decompose the series first into a trend, a seasonal component and a remainder. Therefore I’m using the stl() function. But I’m wondering how to get the single components in order to predict the particular fitted series’. This code snippet illustrates my problem: series <-
2003 Oct 22
1
Help with STL function in R compared to S-Plus
I am trying to understand the nuances of STL (seasonal trend decomposition with loess) based on William Cleveland's (and others?) original development. I do not understand the specification or use of "frequency components" or equivalent "low-pass filter" components in the stl() function. I have run the stl() function on a standard example data (co2) in both S-Plus and
2004 Jul 18
2
stl,package=stats
Greetings: I'm using the time series decomposition routine "stl" from the package "stats". But how do I get the results into a vector to work with them? example: data(AirPassengers) m<-stl(AirPassengers,"per") print(m) This lists the output but can't figure out how to extract the individual series like seasonal, trend, irregular. Thanks, Bob
2010 Jul 09
1
stl function
Hi all, I'm working on decomposition and comparison of several time series. I'm interested in extracting the trend components for each time series using the stl function and overlaying them on one another. I'm not sure how to plot the trend function alone and to do the overlay using some kind of loop. If anyone has any insight that would be great! thanks, Katie -- View this
2008 Feb 26
0
adjusting monthplot() towards a seasonal diagnostic plot for stl()
Hi all, I would like to adjust the monthplot() of an stl() so that for a time-series with freq=12 (months): a) the curve on the panel for the k-th month graphs the seasonal values minus their monthly mean values b) add to the fig. the values of the k-th month of the seasonal + remainder, also minus their monthly mean values which corresponds to the 'seasonal diagnostic plot as described by
2012 Aug 22
0
pseudo-additive seasonal decomposition
Dear All, Would anyone happen to have tips on how to do a pseudo-additive seasonal decomposition in R? I am working on a ca. 20 year monthly time series on species abundance data, with annual peaks of varying magnitude and zero abundances between the seasonal occurrences. I have tried to use the package "x12", which utilizes x12arima, but without luck so far. More specifically, I am
2008 Oct 13
0
stl outlier help request
Currently I find that if I call stl() repeatedly I can use the weights array that is part of the stil output to detect outliers. I also find that if I repeatedly call stl() (replacing the outliers after each call) that the "remainder" portion of the stil output gets reduced. I am calling it like: for(.index in 1:4) { st <- stl(mt, s.window=frequency(mt), robust=TRUE)
2006 May 18
1
About "STL" function
Hi, I'm astudent in hydrobiology and I actually work on river's discharge and try to extract from my data the seasonal and trend components. I use STL function but I have several problems in understanding what this function have done. I'd like to know what means the IQR results which gave me some % about the seasonal component, trend component and the remainder component.
2008 Sep 02
2
More help with stl?
I don't understand the output of stl. As a simple example: y <- numeric(1:365) y[250] = 1 stl <- stl(ts(y, frequency=7), s.window="periodic") This returns without error but the results are puzzling to me. If you plot the results it is probably easiest to visualize what I mean. plot(stl) This shows the original data (a single spike at 250). A trend (which also shows a bump
2011 May 12
1
strength of seasonal component
Hi All, a) Is it possible to estimate the strength of seasonality in timeseries data. Say I have monthly mean prices of an ten different assets. I decompose the data using stl() and obtain the seasonal parameter for each month. Is it possible to order the assets based on the strength of seasonality? b) which gives a better estimate on seasonality stl() or a robust linear model like
2011 Feb 01
1
Estimation and Forecast of Seasonal Component
Hi list, I would like to estimate and forecast the seasonal component of a series. My model which uses daily data would be something y t = alpha + beta x SeasComp t + gamma x OtherRegressors t. One approach to this would be use quarterly dummies, another to use a sine function. The first would cause a step change when we move from a season to another; the latter impose too much regularity in
2008 Jul 22
1
rollmean and stl
I need to investigate how rollmean and the trend returned from stl differ. I am trying to find out exactly what the trend part of stl is (I have just started coding in R and do not know fortran). I need to extract this because it will be used in further calculations, and it needs to be verified to make sure that I am using the right process. I would like to use this to remove the seasonal
2001 May 11
1
output from STL
Hi All, How do I can create a new vector, i.e. 'seasonal' or 'trend' from the resultant seasonal or trend component of the Time.Series object produced by STL, and how I could superpose in the same graphic, i.e. original data and trend or seasonality? Thanks in advance! Antonio Antonio Rodr?guez Verdugo CICEM Agua del Pino Huelva Oceanography and Coastal Resources, PhD Program,