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stlplus

This package contains enhancements to the Seasonal Trend Decomposition using Loess (STL) implementation that comes with base R, stl().

Here are some of the added features over stl():

• Can handle NA values
• Higher order loess smoothing (more than just local constant and linear)
• Automated parameter choices for local quadratic
• Frequency component smoothing beyond seasonal and trend
• Plot methods for diagnostics

For (very) experimental inference, prediction, and variance reduction at endpoints, see the operator package.

References

• Cleveland, R. B., Cleveland, W. S., McRae, J. E., & Terpenning, I. (1990). STL: A seasonal-trend decomposition procedure based on loess. Journal of Official Statistics, 6(1), 3-73.
• Hafen, R. P. “Local regression models: Advancements, applications, and new methods.” (2010).

Installation

devtools::install_github("hafen/stlplus")

License

This software is released under the BSD license. Please read the license document.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.