[R] stl outlier help request

rkevinburton at charter.net rkevinburton at charter.net
Mon Oct 13 23:34:58 CEST 2008

Currently I find that if I call stl() repeatedly I can use the weights array that is part of the stil output to detect outliers. I also find that if I repeatedly call stl() (replacing the outliers after each call) that the "remainder" portion of the stil output gets reduced. I am calling it like:

    for(.index in 1:4)
      st <- stl(mt, s.window=frequency(mt), robust=TRUE)
      outliers <- which(st $ weights  < 1e-8)
      if(length(outliers) > 0)
            # Replace the outliers with the season + trend
           mt[outliers] <- st$time.series[,"seasonal"][outliers] + st$time.series[,"trend"][outliers]

My question is, "is there a better way?". One improvement would be to use the square of the remainder as a stopping criteria rather than a hard-coded loop. Not being familiar with the arguments to stl (inner, outer, etc.) and their bearing on the wieghts I don't know if there is a better way by simply specifying these arguments. So far increasing these arguments above the default values does not seem to reduce the remainder or weights array. I realize that I could look at the source but before I do I would like to request some comments from those who have used this function probably more than I.

Thank you.


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