ts 1.0.0

checksums.yaml

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data/README.md

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+### ts.rb
+
+Utility class for time series data, which does not require periodicity.
+
+##### Install
+
+```
+gem install ts
+```
+
+##### Usage
+
+```ruby
+require "ts"
+
+ts = TS.new([
+  [time, value],
+  # ...
+  [time, value]
+])
+
+ts.each { |time, value|
+  #...
+}
+
+ts.stats
+ts.slice start, finish
+ts.after time
+ts.before time
+```
+
+See rdoc for all methods.

data/Rakefile

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+require "rake/testtask"
+
+Rake::TestTask.new do |t|
+  t.libs << "test"
+end
+
+desc "Run tests"
+task :default => :test

data/lib/ts.rb

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+#
+# TS
+#
+# Utility class for [timestamp, number] tuples, where periodicity is not
+# guaranteed.
+#
+class TS
+
+  Version = "1.0.0"
+
+  include Enumerable
+
+  attr_reader :data
+
+  # +data+ an array of [timestamp/time, number] tuples
+  def initialize data
+    if data.nil?
+      raise "Cannot instantiate timeseries without data"
+    end
+
+    @data = data
+  end
+
+  # The number of elements in the set
+  def size
+    @data.size
+  end
+
+  # see Enumerable
+  def each
+    @data.each { |v| yield *v }
+  end
+
+  # map the [time,value] tuples into other [time,value] tuples
+  def map
+    TS.new(@data.map { |v| yield *v })
+  end
+
+  def stats
+    return @stats if @stats
+
+    min  = Float::MAX
+    max  = Float::MIN
+    sum  = 0.0
+    sum2 = 0.0
+  
+    each { |time, val|
+      min = val if val < min
+      max = val if val > max
+      sum = sum + val
+      sum2 = sum2 + val ** 2
+    }
+
+    @stats = {
+      :num => size,
+      :min => min,
+      :max => max,
+      :sum => sum,
+      :mean => sum / size,
+      :stddev => Math.sqrt((sum2 / size) - ((sum / size) ** 2))
+    }
+  end
+
+  # slice a timeseries by timestamps
+  # +t1+ start time
+  # +t2+ end time
+  def slice t1, t2
+    idx1 = nearest(t1)
+    idx2 = nearest(t2)
+
+    # don't include a value not in range
+    if time_at(idx1) < t1
+      idx1 += 1
+    end
+
+    # slice goes up to, but doesn't include, so only
+    # add if the nearest is less than
+    if time_at(idx2) < t2
+      idx2 += 1
+    end
+
+    TS.new(@data[idx1..idx2])
+  end
+
+  # give the timeseries with values after time
+  # +time+ the time boundary
+  def after time
+    idx = nearest(time)
+    if time_at(idx) <= time
+      idx += 1
+    end
+
+    TS.new(@data[idx..-1])
+  end
+
+  # give the timeseries with values before time
+  # +time+ the time boundary
+  def before time
+    idx = nearest(time)
+    if time_at(idx) < time
+      idx += 1
+    end
+
+    TS.new(@data[0..idx-1])
+  end
+
+  def value_at idx
+    @data[idx].last
+  end
+
+  def time_at idx
+    @data[idx].first
+  end
+
+  # find the nearest idx for a given time 
+  # using a fuzzy binary search
+  def nearest time
+    bsearch time, 0, size - 1
+  end
+
+  def timestamps
+    @data.transpose.first
+  end
+
+  def values
+    @data.transpose.last
+  end
+
+  # Run a regression and calculate r, r2, the slope, and intercept
+  def regression
+    return @regression if @regression
+
+    times, values = @data.transpose
+
+    t_mean = times.reduce(:+) / size
+    v_mean = values.reduce(:+) / size
+
+    slope = (0..size - 1).inject(0) { |sum, n|
+      sum + (times[n] - t_mean) * (values[n] - v_mean)
+    } / times.inject { |sum, n|
+      sum + (n - t_mean) ** 2
+    }
+
+    # now r2
+    r = slope * (stddev(times) / stddev(values))
+
+    @regression = {
+      :r2 => r ** 2,
+      :slope => slope,
+      :y_intercept => v_mean - (slope * t_mean)
+    }
+  end
+
+  private
+
+  # Find the nearest index for a given time (fuzzy search)
+  def bsearch time, idx1, idx2
+    mid = ((idx2 - idx1) / 2.0).floor.to_i + idx1
+    if idx1 == mid
+      diff1 = (time_at(idx1) - time).abs
+      diff2 = (time_at(idx2) - time).abs
+      diff2 > diff1 ? idx1 : idx2
+    elsif time < time_at(mid)
+      bsearch time, idx1, mid
+    elsif time > time_at(mid)
+      bsearch time, mid, idx2
+    else
+      mid
+    end
+  end
+
+  def stddev data
+    sum  = 0.0
+    sum2 = 0.0
+    data.each { |v|
+      sum  += v
+      sum2 += v ** 2
+    }
+    Math.sqrt(sum2 / data.size - (sum / data.size) ** 2)
+  end
+
+end

data/test/test_ts.rb

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+require "test/unit"
+require "ts"
+
+class TSTest < Test::Unit::TestCase
+
+  def setup
+    raw = (1..1000).map { |i|
+      [i * 1000, i.to_f]
+    }
+    @ts = TS.new(raw)
+  end
+
+  def test_init
+    assert_equal 1000, @ts.size
+  end
+
+  def test_enum
+    assert_equal 1000, @ts.count
+  end
+
+  def test_stats
+    assert_equal 1, @ts.stats[:min]
+    assert_equal 1000, @ts.stats[:max]
+    assert_equal 1000, @ts.stats[:num]
+    assert_equal (1000 * (1000 + 1)) / 2, @ts.stats[:sum]
+    assert_in_delta 288, @ts.stats[:stddev], 1.0
+    assert_in_delta 500, @ts.stats[:mean], 1.0
+  end
+
+  def test_slice
+    assert_equal 3, @ts.slice(1000, 3000).size
+  end
+
+  def test_after
+    assert_equal 999, @ts.after(1000).size
+  end
+
+  def test_before
+    assert_equal 1, @ts.before(2000).size
+  end
+
+  def test_timestamps
+    assert_equal 1000, @ts.timestamps.size
+  end
+
+  def test_values
+    assert_equal 1000, @ts.values.last
+  end
+
+  def test_regression
+    assert_in_delta 0.001, @ts.regression[:slope], 0.001
+    assert_in_delta 1.0, @ts.regression[:r2], 0.01
+    assert_in_delta -1.5, @ts.regression[:y_intercept], 0.1
+  end
+
+  def test_collect
+    assert @ts.map { |t, v| [t, v * 2] }.stats[:min] == 2
+  end
+
+end

data/ts.gemspec

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+$:.push File.expand_path("../lib", __FILE__)
+require "ts"
+
+spec = Gem::Specification.new do |s|
+  s.name = "ts"
+  s.version = TS::Version
+  s.date = "2013-08-14"
+  s.summary = "Utility gem for numeric time series data"
+  s.email = "dan.simpson@gmail.com"
+  s.homepage = "https://github.com/dansimpson/ts.rb"
+  s.description = "Utilities for numeric time series data"
+  s.has_rdoc = true
+  
+  s.authors = ["Dan Simpson"]
+
+  s.files = `git ls-files`.split("\n")
+  s.test_files = `git ls-files -- {test,spec,features}/*`.split("\n")
+  s.executables = `git ls-files -- bin/*`.split("\n").map{ |f| File.basename(f) }
+
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: ts
+version: !ruby/object:Gem::Version
+  version: 1.0.0
+platform: ruby
+authors:
+- Dan Simpson
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2013-08-14 00:00:00.000000000 Z
+dependencies: []
+description: Utilities for numeric time series data
+email: dan.simpson@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- .gitignore
+- README.md
+- Rakefile
+- lib/ts.rb
+- test/test_ts.rb
+- ts.gemspec
+homepage: https://github.com/dansimpson/ts.rb
+licenses: []
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.0.3
+signing_key: 
+specification_version: 4
+summary: Utility gem for numeric time series data
+test_files: []