Hi all,
I am trying to analyse a time series data and want to make trend-season
decomposition using STL approach in R. However I found the decomposition
result seems to be sensitive to data points even with the robust option.
More specifically, suppose I have a few years of monthly data. Using stl, I
got a decomposition T1 + S1 + R1. Then I deleted the most recent two or
three data points, the resulted decomposition T2 + S2 + R2 are totally
different from the one with full data, especially for the beginning of time
series which is weird. I would have expected that wouldn't be changed much
due to the local nature of STL.
May I ask for any thoughts and help on this issue? Many thanks!
Best regards,
Eric
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