Help with stl

 <rkevinburton <at> charter.net> writes:

I just realized after some tips and a little digging that what I was trying to

do "manually" has already been

done. I was trying to fit my data using 'lm' then taking the "residual" data

and trying to do a spectral

estimate (for seasonality) usiing fft and then passing the "residual" of all

of that to arima to get the

irregular portion of the time series forecast equation. I found 'stl' that

advertises that it does all of

this (and probably better than my efforts). The only problem that I found was

that it takes a time-series

object. Time-series objects don't handle missing observations. Say I only have

two observations for the

year (enough to fit a line through). I can easily fit a line through the

observation points but if I add in

zeros for the missing observations least squares will un
 doubtedly throw my observations out and fit the "wrong" line. The other steps

will more than likely have

residual data so I don't have to worry for these steps about missing data. Has

anyon!

 e used 'stl' with missing observations? If so what sort of tricks did you use

to get around the missing data

and time series?

Thank you.

Kevin

Someone can correct me if I am wrong, but R's STL implementation
uses the Fortran version of stl, which in interest of speed does not
allow for missing observations.  If you use the stl implemented in S,
you should be able to have missing observations.

If you read the original stl paper, the algorithm is described and is
pretty straightforward to implement or do your own variation on.