[Rd] Proposed modification to decompose() and plot.decomposed.ts()

From: Rob J Hyndman <Rob.Hyndman_at_monash.edu>
Date: Wed, 06 Apr 2011 17:55:58 +1000

The decompose() function truncates the seasonal component unnecessarily. I've modified the function to fix this problem, and also added the original data to the object returned (to enable better plotting).

I've also modified the plot.decomposed.ts() function so that it plots the original data in the top panel rather than the reconstructed data. The difference between the two is that the reconstructed data has missing values at the two ends whereas the original data does not.

Please find the revised code below. I hope this can find its way into the stats package in a future release.

Regards,
Rob Hyndman

# Replacement for decompose function in the stats package
# Only changes are (1) the seasonal component is complete instead of truncated
# and (2) the original data is included in the returned object.

decompose <- function (x, type = c("additive", "multiplicative"), filter = NULL)
{
   type <- match.arg(type)
   l <- length(x)
   f <- frequency(x)
   if (f <= 1 || length(na.omit(x)) < 2 * f)
       stop("time series has no or less than 2 periods")
   if (is.null(filter))
       filter <- if (!f%%2)
           c(0.5, rep(1, f - 1), 0.5)/f
       else rep(1, f)/f
   trend <- filter(x, filter)
   season <- if (type == "additive")
       x - trend
   else x/trend
   season <- na.omit(c(as.numeric(window(season, start(x) +
       c(1, 0), end(x))), as.numeric(window(season, start(x),
       start(x) + c(0, f)))))
   periods <- l%/%f
   index <- c(0, cumsum(rep(f, periods - 2)))
   figure <- numeric(f)
   for (i in 1L:f) figure[i] <- mean(season[index + i])
   figure <- if (type == "additive")
       figure - mean(figure)
   else figure/mean(figure)
   # Following lines are only changes
   seasonal <- ts(rep(figure, periods+1)[1:l], start = start(x), frequency = f)
   structure(list(x=x, seasonal = seasonal, trend = trend, random =
if (type ==
       "additive") x - seasonal - trend else x/seasonal/trend,
       figure = figure, type = type), class = "decomposed.ts")
}

# Changed definition of observed to use passed data rather than construct on fly

plot.decomposed.ts <- function (x, ...)
{
   plot(cbind(observed = x$x, trend = x$trend, seasonal = x$seasonal,
random = x$random),
       main = paste("Decomposition of", x$type, "time series"), ...)
}

-- 
-------------------------------------------------------------
Rob J Hyndman
Professor of Statistics, Monash University
www.robjhyndman.com

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Received on Thu 07 Apr 2011 - 08:43:18 GMT

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