## 4.3 STL Features

The STL decomposition discussed in Chapter 3 is the basis for several more features.

A time series decomposition can be used to measure the strength of trend and seasonality in a time series. Recall that the decomposition is written as \[ y_t = T_t + S_{t} + R_t, \] where \(T_t\) is the smoothed trend component, \(S_{t}\) is the seasonal component and \(R_t\) is a remainder component. For strongly trended data, the seasonally adjusted data should have much more variation than the remainder component. Therefore Var\((R_t)\)/Var\((T_t+R_t)\) should be relatively small. But for data with little or no trend, the two variances should be approximately the same. So we define the strength of trend as: \[ F_T = \max\left(0, 1 - \frac{\text{Var}(R_t)}{\text{Var}(T_t+R_t)}\right). \] This will give a measure of the strength of the trend between 0 and 1. Because the variance of the remainder might occasionally be even larger than the variance of the seasonally adjusted data, we set the minimal possible value of \(F_T\) equal to zero.

The strength of seasonality is defined similarly, but with respect to the detrended data rather than the seasonally adjusted data: \[ F_S = \max\left(0, 1 - \frac{\text{Var}(R_t)}{\text{Var}(S_{t}+R_t)}\right). \] A series with seasonal strength \(F_S\) close to 0 exhibits almost no seasonality, while a series with strong seasonality will have \(F_S\) close to 1 because Var\((R_t)\) will be much smaller than Var\((S_{t}+R_t)\).

These measures can be useful, for example, when you have a large collection of time series, and you need to find the series with the most trend or the most seasonality. These and other STL-based features are computed using the `feat_stl()`

function.

```
%>%
tourism features(Trips, feat_stl)
#> # A tibble: 304 x 12
#> Region State Purpose trend_strength seasonal_strengt… seasonal_peak_y…
#> <chr> <chr> <chr> <dbl> <dbl> <dbl>
#> 1 Adelaide South A… Busine… 0.451 0.380 3
#> 2 Adelaide South A… Holiday 0.541 0.601 1
#> 3 Adelaide South A… Other 0.743 0.189 2
#> 4 Adelaide South A… Visiti… 0.433 0.446 1
#> 5 Adelaid… South A… Busine… 0.453 0.140 3
#> 6 Adelaid… South A… Holiday 0.512 0.244 2
#> 7 Adelaid… South A… Other 0.584 0.374 2
#> 8 Adelaid… South A… Visiti… 0.481 0.228 0
#> 9 Alice S… Norther… Busine… 0.526 0.224 0
#> 10 Alice S… Norther… Holiday 0.377 0.827 3
#> # … with 294 more rows, and 6 more variables: seasonal_trough_year <dbl>,
#> # spikiness <dbl>, linearity <dbl>, curvature <dbl>, stl_e_acf1 <dbl>,
#> # stl_e_acf10 <dbl>
```

We can then use these features in plots to identify what type of series are heavily trended and what are most seasonal.

```
%>%
tourism features(Trips, feat_stl) %>%
ggplot(aes(x = trend_strength, y = seasonal_strength_year,
col = Purpose)) +
geom_point() +
facet_wrap(vars(State))
```

Clearly, holiday series are most seasonal which is unsurprising. The strongest trends tend to be in Western Australia and Victoria. The most seasonal series can also be easily identified and plotted.

```
%>%
tourism features(Trips, feat_stl) %>%
filter(
== max(seasonal_strength_year)
seasonal_strength_year %>%
) left_join(tourism, by = c("State", "Region", "Purpose")) %>%
ggplot(aes(x = Quarter, y = Trips)) +
geom_line() +
facet_grid(vars(State, Region, Purpose))
```

This shows holiday trips to the most popular ski region of Australia.

The `feat_stl()`

function returns several more features other than those discussed above.

`seasonal_peak_year`

indicates the timing of the peaks — which month or quarter contains the largest seasonal component. This tells us something about the nature of the seasonality. In the Australian tourism data, if Quarter 3 is the peak seasonal period, then people are travelling to the region in winter, whereas a peak in Quarter 1 suggests that the region is more popular in summer.`seasonal_trough_year`

indicates the timing of the troughs — which month or quarter contains the smallest seasonal component.`spikiness`

measures the prevalence of spikes in the remainder component \(R_t\) of the STL decomposition. It is the variance of the leave-one-out variances of \(R_t\).`linearity`

measures the linearity of the trend component of the STL decomposition. It is based on the coefficient of a linear regression applied to the trend component.`curvature`

measures the curvature of the trend component of the STL decomposition. It is based on the coefficient from an orthogonal quadratic regression applied to the trend component.`stl_e_acf1`

is the first autocorrelation coefficient of the remainder series.`stl_e_acf10`

is the sum of squares of the first ten autocorrelation coefficients of the remainder series.