Include more than one period in seasonal decomposition

[jrmontag]

Currently, the decompose method takes a single period value for the decomposition. This could be extended to accept an iterable of frequency values which are sequentially factored out of the observation to build up the seasonal component.

Another option would be to automatically calculate the top frequencies/periodicities to factor out by calling out to a scipy FFT routine and setting some thresholding about how big (or small) a frequency component must be before we stop.

[JoshuaC3]

FYI another possibility for multiple seasonality: https://robjhyndman.com/papers/multiseasonal.pdf Admittedly, this seems rather more complex but could be useful.