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stlplus

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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

Installation

CRAN:

install.packages("stlplus")

Github:

devtools::install_github("hafen/stlplus")

License

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

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Seasonal-Trend Decomposition using Loess (STL) in R

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