ARIMA-model-based decomposition of time series in R
The tsdecomp R package

I have recently submitted a new package to CRAN. The tsdecomp package performs ARIMA-model-based decomposition of time series data. It is intended mainly for annual, quarterly and monthly time series.

Upon an ARIMA model fitted to the observed data, the procedures implemented in the package extract an estimate of trend and seasonal signals. The methodology is developed and described, among others, in Burman (1980) and Hillmer and Tiao (1982). An introduction to the methodology and the package in the form of a vignette is available here: https://www.jalobe.com/doc/tsdecomp.pdf.

The development of the package tsdecomp started as a pedagogical exercise. The current version has become relatively mature and provides interfaces that can be used by users not necessarily familiar with the methodology. It is nonetheless far from the capabilities of other software tools that have long been used by statistical offices, most notably SEATS and X13-ARIMA-SEATS.

If you try the package, feel free to contact me and raise any issues or questions. This feedback would help me to improve future versions of the package.

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