#R_函数#Decompose

decompose {forecast} R Documentation

Classical Seasonal Decomposition by Moving Averages

Description

Decompose a time series into seasonal, trend and irregular components using moving averages. Deals with additive or multiplicative seasonal component.

Usage

decompose(x, type=c("additive", "multiplicative"), filter=NULL)

Arguments

x

A time series.

type

The type of seasonal component. Can be abbreviated.

filter

A vector of filter coefficients in reverse time order (as for AR or MA coefficients), used for filtering out the seasonal component. If NULL, a moving average with symmetric window is performed.

Details

The additive model used is:

Y[t]=T[t] + S[t] + e[t]

The multiplicative model used is:

Y[t]=T[t] * S[t] * e[t]

The function first determines the trend component using a moving average (if filter is NULL, a symmetric window with equal weights is used), and removes it from the time series. Then, the seasonal figure is computed by averaging, for each time unit, over all periods. The seasonal figure is then centered. Finally, the error component is determined by removing trend and seasonal figure (recycled as needed) from the original time series.

Value

An object of class "decomposed.ts" with following components:

seasonal

The seasonal component (i.e., the repeated seasonal figure)

figure

The estimated seasonal figure only

trend

The trend component

random

The remainder part

type

The value of type

#

这个函数，主要用移动平均把趋势分解成季节影响，本身趋势，随机影响三部分。

#ts

> xx<-ts(1:1095,start=c(2011,1,1),frequency=365) #DATA=1:1095;起始时间是2011年1月1日;一年为一个周期

#decompose

> f<-decompose(xx) 

> plot(f)