package stl implements Seasonal-Trend Decompositions by LOESS of time series. It is a direct implementation of Cleveland et al (1990), which was written in Fortran '77.
This package does not implement the KD-Tree indexing for nearest neighbour search for the LOESS component as implemented in the original Netlib library. Instead, a straightforwards algorithm is implemented, focusing on clarity and understandability.
There were some parts that were "inlined" and unrolled manually for performance purposes - the tricube function and local neighbour functions for example. The original more mathematical implemetnations have been left in there for future reference.
Additionally, because multiplicative models are common in time series decompositions, Box-Cox transform functions (and generator) have also been provided.
This package has very minimal dependencies. These are the listing of the dependencies: