On Wed, 22 Oct 2003, Andrew White wrote: > I am trying to understand the nuances of STL (seasonal trend > decomposition with loess) based on William Cleveland's (and others?) > original development. I do not understand the specification or use of > "frequency components" or equivalent "low-pass filter" components in > the stl() function.
Have you read the original paper? -- I found it helped. > I have run the stl() function on a standard example data (co2) in both > S-Plus and in R version 1.8 and the stacked-panel plots are different. > The R version shows only rawdata, seasonal, (long-term) trend and then > remainder (residual). The S-Plus version of the plot shows in addition > plots for the specified "frequency components". Why ? Not the same function! > In both versions of stl() the user specifies a univariate time series, > and the length of window for a seasonal component, a trend component > and one or more frequency (or low-pass filter) component(s). > > Using the data "co2" as example, the S-Plus specification is something > like: > stl(co2, ss.window=17, fc.window=c(101,25), fc.degree=c(1,2))) > > The near-equivalent specification of stl in R is something like: > stl(co2, s.window=17, l.window=c(101,25), l.degree=c(1,2)) > > The user has the option of selecting multiple frequency components in > S-Plus asa concatenation of values, as: fc.window =c(101,25) as the > S-Plus stl help page example shows. It is NOT clear if such a > specification actually works in the R implementation of stl(), although > summary() of the stl output object shows that the values are entered > and stored in the routine. > > Can anyone help explain the use and "tuning" of "frequency components" > in S-Plus version of STL and the parallel "low-pass filter" components > in R ? the RESULTS of specified frequency components show up in the > stl.plot in S-Plus as additional plot panels, whereas the low-pass > filter results do not! Only the raw-data, then seasonal, then trend, > and finally residuals plots are stacked up. This is what confuses me > the most: why the same routine from Wm. Cleveland and same named > function would show 2 different results and plot formats in S-Plus vs R. It's not the same routine. The R one is the one taken from the R reference, and I don't know what exactly is in S-PLUS but it is not the same code. > Thanks very much for any help with this matter. > Aloha from Hawaii, Andy White -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
