# -*- coding: utf-8 -*-
"""Descriptive Statistics for Time Series
Created on Sat Oct 30 14:24:08 2010
Author: josef-pktd
License: BSD(3clause)
"""
import numpy as np
from . import stattools as stt
#todo: check subclassing for descriptive stats classes
[docs]class TsaDescriptive(object):
'''collection of descriptive statistical methods for time series
'''
[docs] def __init__(self, data, label=None, name=''):
self.data = data
self.label = label
self.name = name
[docs] def filter(self, num, den):
from scipy.signal import lfilter
xfiltered = lfilter(num, den, self.data)
return self.__class__(xfiltered, self.label, self.name + '_filtered')
[docs] def detrend(self, order=1):
from . import tsatools
xdetrended = tsatools.detrend(self.data, order=order)
return self.__class__(xdetrended, self.label, self.name + '_detrended')
[docs] def fit(self, order=(1,0,1), **kwds):
from .arima_model import ARMA
self.mod = ARMA(self.data)
self.res = self.mod.fit(order=order, **kwds)
#self.estimated_process =
return self.res
[docs] def acf(self, nlags=40):
return stt.acf(self.data, nlags=nlags)
[docs] def pacf(self, nlags=40):
return stt.pacf(self.data, nlags=nlags)
[docs] def periodogram(self):
#doesn't return frequesncies
return stt.periodogram(self.data)
# copied from fftarma.py
[docs] def plot4(self, fig=None, nobs=100, nacf=20, nfreq=100):
data = self.data
acf = self.acf(nacf)
pacf = self.pacf(nacf)
w = np.linspace(0, np.pi, nfreq, endpoint=False)
spdr = self.periodogram()[:nfreq] #(w)
if fig is None:
import matplotlib.pyplot as plt
fig = plt.figure()
ax = fig.add_subplot(2,2,1)
namestr = ' for %s' % self.name if self.name else ''
ax.plot(data)
ax.set_title('Time series' + namestr)
ax = fig.add_subplot(2,2,2)
ax.plot(acf)
ax.set_title('Autocorrelation' + namestr)
ax = fig.add_subplot(2,2,3)
ax.plot(spdr) # (wr, spdr)
ax.set_title('Power Spectrum' + namestr)
ax = fig.add_subplot(2,2,4)
ax.plot(pacf)
ax.set_title('Partial Autocorrelation' + namestr)
return fig