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 ?
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.
Thanks very much for any help with this matter. Aloha from Hawaii, Andy White
email: [EMAIL PROTECTED]; [EMAIL PROTECTED]
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