Class: TimeSeriesData

Inherits:
Object show all
Defined in:
lib/ruuuby/math/stats/time_series_data.rb

Overview

Documentation

MSE | scale-dependent; can’t be used to compare accuracy across time series w/ different scales | MAPE | not scale-dependent; can’t be used when percentages don’t make sense | MASE | independent of scale and usable on all scales |

LEADING | leading -> anticipates future LAGGING | lagging -> validate upcoming trend MOMENTUM | help identify momentum (attribute w/ relation to time) VOLATILITY | measure delta of price movement VOLUME |

LAGGING | simple_moving_average, moving_average_convergence_divergence(MACD) | bollinger_bands, average_true_range, standard_deviation | volume_rate_of_change LEADING | parabolic_stop_and_reverse(parabolic SAR) | stochastic_oscillator, commodity_channel_index(CCI), relative_strength_index(RSI) | chaikin_oscillator, on_balance_volume(OBV)

Constant Summary collapse

BITWISE_FLAGS = 
::Ruuuby::BitwiseFlag.new(%w(has_zero? has_negative? normalized? even? strictly_increasing? strictly_decreasing? all_same?))

Instance Method Summary collapse

Instance Method Details

#correlation_with(data) ⇒ Float Also known as: R

Raises:

  • (ArgumentError) 


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# File 'lib/ruuuby/math/stats/time_series_data.rb', line 51

def correlation_with(data)

#healthy? ⇒ Boolean

TODO: un-sorted data not covered atm, wip TODO: in future, offer score between 0-1.0 once there are a significant amount of attributes to track



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# File 'lib/ruuuby/math/stats/time_series_data.rb', line 74

def healthy?
  self.outliers_lower.

#outliers_lower ⇒ Array 



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# File 'lib/ruuuby/math/stats/time_series_data.rb', line 79

def outliers_lower
  outliers = []
  boundary = self.boundary_outliers_min
  (0...self.len).

#outliers_upper ⇒ Array 



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# File 'lib/ruuuby/math/stats/time_series_data.rb', line 87

def outliers_upper
  outliers = []
  boundary = self.boundary_outliers_max
  (0...self.len).

#R²(data) ⇒ Float Also known as: r_squared

helps show relation between the ‘dependent variable` and 1 or more `independent variables`

Raises:

  • (ArgumentError) 


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# File 'lib/ruuuby/math/stats/time_series_data.rb', line 68

def R