Module: Stl

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

Constant Summary collapse

VERSION = 
"0.3.0"

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) ⇒ 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
)
  if period < 2
    raise ArgumentError, "period must be greater than 1"
  end

  params = StlParams.new

  params.seasonal_length(seasonal_length) unless seasonal_length.nil?
  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

  params.fit(y, period, outer_loops.nil? ? robust : outer_loops > 0)
end

.plot(series, result) ⇒ Object 



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# File 'lib/stl.rb', line 48

def plot(series, result)
  require "vega"

  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 103

def seasonal_strength(result)
  sr = result[:seasonal].zip(result[:remainder]).map { |a, b| a + b }
  [0, 1 - var(result[:remainder]) / var(sr)].max
end

.trend_strength(result) ⇒ Object 



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# File 'lib/stl.rb', line 108

def trend_strength(result)
  tr = result[:trend].zip(result[:remainder]).map { |a, b| a + b }
  [0, 1 - var(result[:remainder]) / var(tr)].max
end