ts 1.0.0 → 1.0.1

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 28be043c878e154e056aca129a35fb9a2c225e1d
-  data.tar.gz: 9f6582a2e8298dcabfe7103daeedb37eec3fd2ee
+  metadata.gz: 22f6b0505160ceb7fe7c019d4c101aacbd35039c
+  data.tar.gz: 76a7f282ebfd76d98e430708d0a78ada36b4ad59
 SHA512:
-  metadata.gz: 79d5dbdade0dd0c12f9213a34f6f4f36dbe84252874d04e9189da4bb6c9e74bfe25e6ccf7e95b3b13304426518e3da815b9c683afc3c45e904a4e4b1329bb2f3
-  data.tar.gz: e285a9dcc3389ff35de9891cd4dbef0af18d72a05f1ebe5a6f6ae179547f741007be9518a46c74fc05760bba0fe91af5298c5a96cd41f915d30e26ec51dc7212
+  metadata.gz: cadb0aea96d5b5614455f618ca3759f6446e0dae53ece7259d851a2fbe7aa0bbef94675d2eb7ffaea53413f3468b2388aef59acae307c87c3beb72e3831dc9f0
+  data.tar.gz: d77c9c1418a81bf0415a33b9cc0d664c8cfa32137065ee2446f3d2cccbb28f105a24d1b3647f4c4502ed4a15b3fe0182eadae22dadef8575b7fc87060b5be3d6

data/.gitignore

@@ -0,0 +1 @@
+*.gem

data/lib/ts.rb

@@ -6,7 +6,7 @@
 #
 class TS
 
-  Version = "1.0.0"
+  Version = "1.0.1"
 
   include Enumerable
 
@@ -36,6 +36,33 @@ class TS
     TS.new(@data.map { |v| yield *v })
   end
 
+  # run a simple moving average, and return a new TS instance
+  # +size+ the size of the window 
+  def sma size
+    buf = []
+    sum = 0
+
+    map { |t, v|
+      buf << v
+      sum += v
+
+      if buf.size > size
+        sum -= buf.shift
+      end
+
+      [t, sum / buf.size]
+    }
+  end
+
+  # generate some statistics from the values of the series
+  # returns {
+  #   :num => ...,
+  #   :min => ...,
+  #   :max => ...,
+  #   :sum => ...,
+  #   :mean => ...,
+  #   :stddev => ...,
+  # }
   def stats
     return @stats if @stats
 
@@ -47,8 +74,8 @@ class TS
     each { |time, val|
       min = val if val < min
       max = val if val > max
-      sum = sum + val
-      sum2 = sum2 + val ** 2
+      sum += val
+      sum2 += val ** 2
     }
 
     @stats = {
@@ -104,10 +131,14 @@ class TS
     TS.new(@data[0..idx-1])
   end
 
+  # fetch the value at a given index
+  # +idx+ the array index of the data
   def value_at idx
     @data[idx].last
   end
 
+  # fetch the time at a given index
+  # +idx+ the array index of the data
   def time_at idx
     @data[idx].first
   end
@@ -118,15 +149,24 @@ class TS
     bsearch time, 0, size - 1
   end
 
+  # get the timestamp series
   def timestamps
     @data.transpose.first
   end
 
+  # get the value series
   def values
     @data.transpose.last
   end
 
-  # Run a regression and calculate r, r2, the slope, and intercept
+  # Run a regression on the series.  Useful for weak projections
+  # and testing if your project is accurate (r2 =~ 1)
+  #
+  # returns {
+  #   :r2 => ...,
+  #   :slope => ...,
+  #   :y_intercept => ...
+  # }
   def regression
     return @regression if @regression
 
@@ -135,22 +175,40 @@ class TS
     t_mean = times.reduce(:+) / size
     v_mean = values.reduce(:+) / size
 
-    slope = (0..size - 1).inject(0) { |sum, n|
+    slope = (0..size - 1).inject(0.0) { |sum, n|
       sum + (times[n] - t_mean) * (values[n] - v_mean)
-    } / times.inject { |sum, n|
+    } / times.inject(0.0) { |sum, n|
       sum + (n - t_mean) ** 2
     }
 
-    # now r2
     r = slope * (stddev(times) / stddev(values))
 
     @regression = {
-      :r2 => r ** 2,
+      :r2 => r * r,
       :slope => slope,
       :y_intercept => v_mean - (slope * t_mean)
     }
   end
 
+  # Project the value at a given time using the regresion
+  #
+  # y = mx + b
+  # 
+  # +time+ the timestamp of the value you wish to predict
+  def projected_value time
+    regression[:slope] * time + regression[:y_intercept]
+  end
+
+  # Estimate the time for a given value.  Assumes a fairly linear
+  # model.
+  #
+  # x = (y - b) / m
+  #
+  # +value+ the timestamp of the value you wish to predict
+  def projected_time value
+    (value - regression[:y_intercept]) / regression[:slope]
+  end
+
   private
 
   # Find the nearest index for a given time (fuzzy search)
@@ -169,6 +227,7 @@ class TS
     end
   end
 
+  # calculate the std deviation of the 1d data set
   def stddev data
     sum  = 0.0
     sum2 = 0.0
@@ -176,7 +235,7 @@ class TS
       sum  += v
       sum2 += v ** 2
     }
-    Math.sqrt(sum2 / data.size - (sum / data.size) ** 2)
+    Math.sqrt((sum2 / data.size) - ((sum / data.size) ** 2))
   end
 
 end

data/test/test_ts.rb

@@ -50,11 +50,25 @@ class TSTest < Test::Unit::TestCase
   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
+    assert_in_delta 0.0, @ts.regression[:y_intercept], 0.1
   end
 
   def test_collect
     assert @ts.map { |t, v| [t, v * 2] }.stats[:min] == 2
   end
 
+  def test_sma
+    assert_equal [2000, 2], @ts.data[1]
+    assert_equal [2000, 1.5], @ts.sma(7).data[1]
+  end
+
+  def test_projection
+    assert_equal 5000, @ts.projected_value(5000000)
+  end
+
+  def test_projection_time
+    assert_equal 5000000, @ts.projected_time(5000)
+    assert_equal -1000, @ts.projected_time(-1)
+  end
+
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: ts
 version: !ruby/object:Gem::Version
-  version: 1.0.0
+  version: 1.0.1
 platform: ruby
 authors:
 - Dan Simpson