Package com.imsl.stat

Class TimeSeriesOperations

java.lang.Object
com.imsl.stat.TimeSeriesOperations
All Implemented Interfaces:
Serializable, Cloneable
public class TimeSeriesOperations extends Object implements Serializable, Cloneable
A class of operations and methods for objects of class TimeSeries.
See Also:

  • Constructor Details

    • TimeSeriesOperations

      public TimeSeriesOperations()
      Constructor for TimeSeriesOperations.

  • Method Details

    • getMeanCenteredSeries

      public double[][] getMeanCenteredSeries(TimeSeries timeSeries)
      Returns the mean-centered values of all the series in a TimeSeries object.
      Parameters:
      timeSeries - a TimeSeries object
      Returns:
      a double matrix containing the mean-centered values

    • getMeanCenteredSeries

      public double[] getMeanCenteredSeries(TimeSeries timeSeries, int k)
      Returns the mean-centered values of the k-th series in a TimeSeries object.
      Parameters:
      timeSeries - a TimeSeries object
      k - an int, the column index of the series
      Returns:
      a double array containing the mean-centered values

    • setMergeRule

      public void setMergeRule(TimeSeriesOperations.MergeRule mergeRule)
      Sets the rule that defines how two time series are merged.
      Parameters:
      mergeRule - a MergeRule value.

    • setCombineMethod

      public void setCombineMethod(TimeSeriesOperations.CombineMethod combineMethod)
      Sets the method for combining synchronous time series values.
      Parameters:
      combineMethod - a CombineMethod value.

    • setCombineFunction

      public void setCombineFunction(TimeSeriesOperations.Function function)
      Sets the combine function to a user supplied function. Must be defined when combineMethod = CombineMethod.CUSTOM.
      Parameters:
      function - a Function that defines how two values should be combined.

    • backshift

      public TimeSeries backshift(TimeSeries ts, int lag)
      Returns the backshifted version of the time series. For a given lag \(l \ge 0 \) the backshift operation is defined as: $$ B^ly_t = y_{t-l} $$.
      Parameters:
      ts - a TimeSeries object.
      lag - an int specifying the lag.
      Returns:
      TimeSeries with values at index i the same as the original series values at position i-lag;

    • stack

      public double[] stack(TimeSeries ts)
      Stacks or vectorizes the values of a multivariate TimeSeries.
      Parameters:
      ts - TimeSeries
      Returns:
      A double[] array of length T*numberOfSeries with the index 1,...,numberOfSeries varying fastest.

    • merge

      public TimeSeries merge(TimeSeries ts1, TimeSeries ts2)
      Merges two time series objects.
      Parameters:
      ts1 - a TimeSeries object.
      ts2 - a TimeSeries object.
      Returns:
      a TimeSeries object resulting from merging ts1 and ts2.