Papers › RobustSTL: A Robust Seasonal-Trend Decomposition Algorithm for Long Time Series

RobustSTL: A Robust Seasonal-Trend Decomposition Algorithm for Long Time Series

5 Dec 2018arXiv:1812.01767archive 2025-07-28

Qingsong Wen, Jingkun Gao, Xiaomin Song, Liang Sun, Huan Xu, Shenghuo Zhu

Decomposing complex time series into trend, seasonality, and remainder components is an important task to facilitate time series anomaly detection and forecasting. Although numerous methods have been proposed, there are still many time series characteristics exhibiting in real-world data which are not addressed properly, including 1) ability to handle seasonality fluctuation and shift, and abrupt change in trend and reminder; 2) robustness on data with anomalies; 3) applicability on time series with long seasonality period. In the paper, we propose a novel and generic time series decomposition algorithm to address these challenges. Specifically, we extract the trend component robustly by solving a regression problem using the least absolute deviations loss with sparse regularization. Based on the extracted trend, we apply the the non-local seasonal filtering to extract the seasonality component. This process is repeated until accurate decomposition is obtained. Experiments on different synthetic and real-world time series datasets demonstrate that our method outperforms existing solutions.

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