Module: Stl

Defined in:
lib/stl.rb,
lib/stl/version.rb

Constant Summary collapse

VERSION = 
"0.4.2"

Class Method Summary collapse

Class Method Details

.decompose(series, period:, seasonal_length: nil, trend_length: nil, low_pass_length: nil, seasonal_degree: nil, trend_degree: nil, low_pass_degree: nil, seasonal_jump: nil, trend_jump: nil, low_pass_jump: nil, inner_loops: nil, outer_loops: nil, robust: false, iterations: nil, lambda: nil) ⇒ Object 



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# File 'lib/stl.rb', line 9

def decompose(
  series, period:,
  seasonal_length: nil, trend_length: nil, low_pass_length: nil,
  seasonal_degree: nil, trend_degree: nil, low_pass_degree: nil,
  seasonal_jump: nil, trend_jump: nil, low_pass_jump: nil,
  inner_loops: nil, outer_loops: nil, robust: false,
  iterations: nil, lambda: nil
)
  mstl = period.is_a?(Array)

  if !mstl && period < 2
    raise ArgumentError, "period must be greater than 1"
  end

  params = StlParams.new

  params.seasonal_length = seasonal_length if !seasonal_length.nil? && !(mstl && seasonal_length.is_a?(Array))
  params.trend_length = trend_length unless trend_length.nil?
  params.low_pass_length = low_pass_length unless low_pass_length.nil?

  params.seasonal_degree = seasonal_degree unless seasonal_degree.nil?
  params.trend_degree = trend_degree unless trend_degree.nil?
  params.low_pass_degree = low_pass_degree unless low_pass_degree.nil?

  params.seasonal_jump = seasonal_jump unless seasonal_jump.nil?
  params.trend_jump = trend_jump unless trend_jump.nil?
  params.low_pass_jump = low_pass_jump unless low_pass_jump.nil?

  params.inner_loops = inner_loops unless inner_loops.nil?
  params.outer_loops = outer_loops unless outer_loops.nil?
  params.robust = robust unless robust.nil?

  if series.is_a?(Hash)
    sorted = series.sort_by { |k, _| k }
    y = sorted.map(&:last)
  else
    y = series
  end

  if mstl
    mstl_params = MstlParams.new
    mstl_params.iterations = iterations unless iterations.nil?
    mstl_params.lambda = lambda unless lambda.nil?
    mstl_params.seasonal_lengths = seasonal_length if seasonal_length.is_a?(Array)
    mstl_params.stl_params = params
    _decompose_mstl(y, period, mstl_params)
  else
    raise ArgumentError, "iterations requires MSTL" unless iterations.nil?
    raise ArgumentError, "lambda requires MSTL" unless lambda.nil?
    _decompose(y, period, params, outer_loops.nil? ? robust : outer_loops > 0)
  end
end

.plot(series, result) ⇒ Object 



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# File 'lib/stl.rb', line 62

def plot(series, result)
  require "vega"

  if mstl?(result)
    raise "not implemented yet"
  end

  data =
    if series.is_a?(Hash)
      series.sort_by { |k, _| k }.map.with_index do |s, i|
        {
          x: iso8601(s[0]),
          series: s[1],
          seasonal: result[:seasonal][i],
          trend: result[:trend][i],
          remainder: result[:remainder][i]
        }
      end
    else
      series.map.with_index do |v, i|
        {
          x: i,
          series: v,
          seasonal: result[:seasonal][i],
          trend: result[:trend][i],
          remainder: result[:remainder][i]
        }
      end
    end

  if series.is_a?(Hash)
    x = {field: "x", type: "temporal"}
    x["scale"] = {type: "utc"} if series.keys.first.is_a?(Date)
  else
    x = {field: "x", type: "quantitative"}
  end
  x[:axis] = {title: nil, labelFontSize: 12}

  charts =
    ["series", "seasonal", "trend", "remainder"].map do |field|
      {
        mark: {type: "line"},
        encoding: {
          x: x,
          y: {field: field, type: "quantitative", scale: {zero: false}, axis: {labelFontSize: 12}}
        },
        width: "container",
        height: 100
      }
    end

  Vega.lite
    .data(data)
    .vconcat(charts)
    .config(autosize: {type: "fit-x", contains: "padding"})
    .width(nil) # prevents warning
    .height(nil) # prevents warning and sets div height to auto
end

.seasonal_strength(result) ⇒ Object 



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# File 'lib/stl.rb', line 121

def seasonal_strength(result)
  if mstl?(result)
    result[:seasonal].map do |s|
      strength(s, result[:remainder])
    end
  else
    strength(result[:seasonal], result[:remainder])
  end
end

.trend_strength(result) ⇒ Object 



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# File 'lib/stl.rb', line 131

def trend_strength(result)
  strength(result[:trend], result[:remainder])
end