sparsetimeseries.jl's Introduction

SparseTimeSeries

If you are looking for general time series functionality, check out the much more mature TimeSeries.jl package first.

Functionality overview

The package supports, value of arbitrary type and any timestamp which can be sorted.

The key data types are the Event, which wraps a (timestamp, value) pair; the Segment which wraps a (time start, time end, value) triplet; the EventSeries (subtype of AbstracVector), which holds the time series.

The EventSeries has, in addition to the standard AbstracVector interface, the following methods:

align(::EventSeries...) returns a tuple of EventSeries containing subsets of the corresponding series input, such that the time domain of each output series corresponds to the largest common time domain of the input series. (See select below.)
cumtime(::EventSeries, value) returns the cumulative time for which the series takes the input value.
fill_forward_event(::EventSeries, time) returns the most recent Event prior to input time.
fill_forward_value(::EventSeries, time) returns the most recent value prior to input time.
fuse(;named_eventseries) returns a new a new EventSeries with time sorted Events for each timestamp in the input series, where the values are named tuples containing the fill forward value of all input time series.
segments(events) returns an iterator over all Segements defined by consecutive Events in the input.
select(::EventSeries, tstart, tend) returns an EventSeries which is a subset of the input series, containing the Events in the time domain [tstart, tend]. The endpoint values are set by filling forward.
splice(;named_eventseries...) returns a new a new EventSeries with time sorted Events for each timestamp in the input series, where the values are values are name-value pairs.

sparsetimeseries.jl's People

Contributors

Stargazers

Watchers

sparsetimeseries.jl's Issues

creating event series from an iterable of events

Is there an easy way to create an EventSeries out from an iterable of Events ?

julia> a = Event(123,"abc"); b = Event(456,"def"); c = Event(789,"ghi");
julia> s = EventSeries([a,b,c])
# I would expect this:
3-element EventSeries{Int64,Array{Int64,1},String,Array{String,1}}:
 {timest.: 123, value: abc}
 {timest.: 456, value: def}
 {timest.: 789, value: ghi}

strict selection for time series

select behavior for EventSeries is hard to understand:

julia> e = EventSeries([123, 456, 789], ["abc", "def", "ghi"])
3-element EventSeries{Int64,Array{Int64,1},String,Array{String,1}}:
 {timest.: 123, value: abc}
 {timest.: 456, value: def}
 {timest.: 789, value: ghi}

julia> select(e, 200, 600)
3-element EventSeries{Int64,Array{Int64,1},String,Array{String,1}}:
 {timest.: 200, value: abc}
 {timest.: 456, value: def}
 {timest.: 600, value: def}

julia> select(e, 200, 900)
ERROR: AssertionError: invaid time limits
Stacktrace:
 [1] select(::EventSeries{Int64,Array{Int64,1},String,Array{String,1}}, ::Int64, ::Int64) at /home/hugo/.julia/packages/SparseTimeSeries/25lgY/src/series_types.jl:219
 [2] top-level scope at REPL[36]:1

when selecting between 200 and 600, select seems to feed backwards instead of forward as mentioned in help
when selecting outside limits, the message says invaid (typo)
there could be an option to select events strictly between boundaries