[SciPy-Dev] STL / LOESS seasonal trend decomposition

[Pierre GM]

Oh my, old memories... I haven't touched that piece of code in 5 years. The
package was stuck in the sandbox because nobody really  tested it but me,
and I ended not really needing STL anyway...
At that time, the MaskedArray-as-subclass implementation wasn't part of
numpy per se. Some trivial work will be needed in renaming some of the
imports and we need to think about future adaptations (w/ or w/o NA), but
that should remain rather easy. Don't hesitate to contact me offlist if
needed (faster answers that way).
On May 10, 2012 3:15 PM, "Skipper Seabold" <jsseabold at gmail.com> wrote:

> On Thu, May 10, 2012 at 5:52 AM, Andreas H. <lists at hilboll.de> wrote:
> > Hi,
> >
> > googling for a Python implementation of STL (seasonal trend
> > decomposition based on Loess, see
> > http://cs.wellesley.edu/~cs315/Papers/stl%20statistical%20model.pdf)
> > found this:
> >
> >
> >
> http://projects.scipy.org/scipy/browser/trunk/scipy/sandbox/pyloess/mpyloess.py?rev=3473
> >
> > Can anyone tell me something about the status of this code? I'll
> > probably need this for my work anyway, and thought it might be nice to
> > bring it to a level at which it could be included into some package.
> > Where would it belong? scipy.stats? statsmodels?
> >
>
> Statsmodels would definitely be interested in including something like
> this. It doesn't look like the original implementation is BSD
> compatible with SciPy/statsmodels though because of the "without fee"
>
>
> http://projects.scipy.org/scipy/browser/trunk/scipy/sandbox/pyloess/LICENSE.txt?rev=3473
>
> If you can code something up that doesn't rely on this, then by all
> means. If it helps (I don't know the details of STL yet), we have a
> LOWESS implementation here.
>
>
> http://statsmodels.sourceforge.net/devel/generated/statsmodels.nonparametric.api.lowess.html#statsmodels.nonparametric.api.lowess
>
> Any feedback on speed would be welcome, if you're comparing with the
> above code. I've also started working on Seasonal ARIMA models in a
> branch of my fork (jseabold) of statsmodels. I'd be interested to
> compare STL to our other filtering methods used to decompose economic
> time series into trend and cycle components
>
> http://statsmodels.sourceforge.net/devel/tsa.html#other-time-series-filters
>
> Skipper
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