stl                    package:ts                    R Documentation

Seasonal Decomposition of Time Series by Loess

Description:

     Decompose a time series into seasonal, trend and irregular
     components using `loess', acronym STL.

Usage:

     stl(x, s.window, s.degree = 0,
         t.window = NULL, t.degree = 1,
         l.window = nextodd(period), l.degree = t.degree, 
         s.jump = ceiling(s.window/10),
         t.jump = ceiling(t.window/10),
         l.jump = ceiling(l.window/10),
         robust = FALSE,
         inner = if(robust)  1 else 2,
         outer = if(robust) 15 else 0,
         na.action = na.fail)

Arguments:

       x: univariate time series to be decomposed. This should be an
          object of class `"ts"' with a frequency greater than one.

s.window: either the character string `"periodic"' or the span (in
          lags) of the loess window for seasonal extraction, which
          should be odd.  This has no default.

s.degree: degree of locally-fitted polynomial in seasonal extraction. 
          Should be zero or one.

t.window: the span (in lags) of the loess window for trend extraction,
          which should be odd.  If `NULL', the default,
          `nextodd(ceiling((1.5*period) / (1-(1.5/s.window))))', is
          taken.

t.degree: degree of locally-fitted polynomial in trend extraction. 
          Should be zero or one.

l.window: the span (in lags) of the loess window of the low-pass filter
          used for each subseries.  Defaults to the smallest odd
          integer greater than or equal to `frequency(x)' which is
          recommended since it prevents competition between the trend
          and seasonal components.  If not an odd integer its given
          value is increased to the next odd one.

l.degree: degree of locally-fitted polynomial for the subseries
          low-pass filter.  Must be 0 or 1.

s.jump, t.jump, l.jump: integers at least one to increase speed of the
          respective smoother.  Linear interpolation happens between
          every `*.jump'th value.

  robust: logical indicating if robust fitting be used in the `loess'
          procedure.

   inner: integer; the number of `inner' (backfitting) iterations;
          usually very few (2) iterations suffice.

   outer: integer; the number of `outer' robustness iterations.

na.action: action on missing values.

Details:

     The seasonal component is found by loess smoothing the seasonal
     sub-series (the series of all January values, ...); if `s.window =
     "periodic"' smoothing is effectively replaced by taking the mean.
     The seasonal values are removed, and the remainder smoothed to
     find the trend. The overall level is removed from the seasonal
     component and added to the trend component. This process is
     iterated a few times.  The `remainder' component is the residuals
     from the seasonal plus trend fit.

     Several methods for the resulting class `"stl"' objects, see,
     `plot.stl'.

Value:

     `stl' returns an object of class `"stl"' with components 

time.series: a multiple time series with columns `seasonal', `trend'
          and `remainder'.

 weights: the final robust weights (all one if fitting is not done
          robustly).

    call: the matched call.

     win: integer (length 3 vector) with the spans used for the `"s"',
          `"t"', and `"l"' smoothers.

     deg: integer (length 3) vector with the polynomial degrees for
          these smoothers.

    jump: integer (length 3) vector with the ``jumps'' (skips) used for
          these smoothers.

      ni: number of inner iterations

      no: number of outer robustness iterations

Note:

     This is similar to but not identical to the `stl' function in
     S-PLUS. The `remainder' component given by S-PLUS is the sum of
     the `trend' and `remainder' series from this function.

Author(s):

     B.D. Ripley; Fortran code by Cleveland et al. (1990) from
     `netlib'.

References:

     R. B. Cleveland, W. S. Cleveland, J.E.  McRae, and I. Terpenning
     (1990) STL:  A  Seasonal-Trend  Decomposition  Procedure Based on
     Loess. Journal of Official Statistics, 6, 3-73.

See Also:

     `plot.stl' for `stl' methods; `loess' in package `modreg' (which
     is not actually used in `stl').

Examples:

     data(nottem)
     plot(stl(nottem, "per"))
     plot(stl(nottem, s.win = 4, t.win = 50, t.jump = 1))

     data(co2)
     plot(stllc <- stl(log(co2), s.window=21))
     summary(stllc)
     ## linear trend, strict period.
     plot(stl(log(co2), s.window="per", t.window=1000))

     ## Two STL plotted side by side :    
     data(UKLungDeaths)
             stmd <- stl(mdeaths, s.w = "per") # un-robust
     summary(stmR <- stl(mdeaths, s.w = "per", robust = TRUE))
     op <- par(mar = c(0, 4, 0, 3), oma = c(5, 0, 4, 0), mfcol = c(4, 2))
     plot(stmd, set.pars=NULL, labels = NULL,
          main = "stl(mdeaths, s.w = \"per\",  robust = FALSE / TRUE )")
     plot(stmR, set.pars=NULL)
     # mark the `outliers' :    
     (iO <- which(stmR $ weights  < 1e-8)) # 10 were considered outliers
     sts <- stmR$time.series
     points(time(sts)[iO], .8* sts[,"remainder"][iO], pch = 4, col = "red")
     par(op)# reset    

