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StructuralDecompose is an algorithm suited to the decomposition of a time series into it’s component terms of trend, seasonality and residuals. It is well suited to decompose a series in the presence of significant level shifts.
The algorithm outputs the decomposed trend, seasonality, residuals as well as anomalies detected.
You can install the development version of StructuralDecompose like so:
package(StructuralDecompose)
install_github("StructuralDecompose/StructuralDecompose")An example code:
Note that we can specify the break algorithm and the smoothing algorithm as well. If the setting is set to ‘auto’, it will optimize which algorithm to use.
It is best to keep the default algorithms.
library(StructuralDecompose)
StructuralDecompose <- function(Data, frequency = 12, break_algorithm = 'strucchange', smoothening_algorithm = 'lowess', break_level = 0.05, median_level = 0.5, mean_level = 0.5, level_length = 0.5, conf_level = 0.5)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.