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Re-implement STL to correctly support non-seasonal data and exogenous regressors #62

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mitchelloharawild opened this issue Jun 19, 2019 · 1 comment
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Re-implement STL to correctly support non-seasonal data and exogenous regressors #62

mitchelloharawild opened this issue Jun 19, 2019 · 1 comment
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When asking for an STL decomposition, it should always use an STL decomposition. The current behaviour of calling Friedman's SuperSmoother for non-seasonal data is incorrect and can cause confusion and inconsistencies with features.

This will require re-implementing STL, and while doing so it would be worthwhile to add support for exogenous regressors.
@mitchelloharawild mitchelloharawild added this to the v0.2.0 milestone Jun 19, 2019
@mitchelloharawild mitchelloharawild self-assigned this Jun 19, 2019
@mitchelloharawild mitchelloharawild added the enhancement New feature or request label Jun 19, 2019
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Current STL source code is here: https://github.com/wch/r-source/blob/trunk/src/library/stats/src/stl.f

@mitchelloharawild mitchelloharawild removed this from the v0.2.0 milestone Mar 16, 2021
@mitchelloharawild mitchelloharawild mentioned this issue Feb 3, 2022
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