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

CRAN:

install.packages("stlplus")

Github:

devtools::install_github("hafen/stlplus")

License

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