STLDecomposition Implementation

Question

STLDecomposition Implementation

Opened this issue 5 years ago · 7 comments

Hello,
First of all thank you for open sourcing the package; it is excellently written.

One potential issue I've noticed: the STL Decomposition seems to be implemented using a rolling window method for detrending data, not the Loess method. Here is a code snippet from transformer_1d.py:

def _remove_trend(self, s):
        s_trend = s.rolling(
            window=(self.freq_ if self.freq_ % 2 else self.freq_ + 1),
            center=True,
        ).mean()
        return s - s_trend

Perhaps I'm missing something? The current implementation seems to be what Hyndman calls Classical Decomposition, and not STL.
There is a python library that does STL decompose and it is relatively lightweight. And if what I'm describing is indeed the behavior, can I work on implementing STL with Loess?

Any feedback would be greatly appreciated,
Thank you

Answer 1 · 2019-12-01T14:04:57.000Z

@yy910616 Thank you for raising the issue and sorry for the late response (we were on holiday these days in US). I will look into this issue this week and get back to you.

Answer 2 · 2019-12-02T15:58:21.000Z

@yy910616 I think you are right. I appreciate that you raised the problem. I'm gonna work on this and hopefully have it in the next release. Will keep you updated when a PR is ready to be reviewed.

Answer 3 · 2019-12-03T19:33:58.000Z

@yy910616 I just realize you proposed to work on the implementation. Sorry for missing it. You are definitely welcomed to join the contributors. I opened a WIP PR #18 for this issue.

Answer 4 · 2019-12-03T22:20:20.000Z

@tailaiw Awesome! I have pretty limited experience with open source but I'll definitely give it a shot.
Thanks for opening the PR, I've been doing some research on STL and I'll continue the discussion in the PR.

Answer 5 · 2019-12-10T22:06:40.000Z

After discussion in #18, we decided to remove the wrong implementation of STL decomposition, and merge two implementations of classic decomposition into the adtk.transformer.ClassicSeasonalDecomposition. We decided to hold on implementation of a new STL decomposition until statsmodels' release with its first implementation of STL algorithm.

Answer 6 · 2020-02-06T04:03:42.000Z

@yy910616 i just noticed that statsmodels v0.11 has been released.

Answer 7 · 2020-02-06T13:03:28.000Z

Nice. I'm looking into this. Thanks for pointing it out.