def precompute_ts_scaled(cls, ts: np.ndarray,
**kwargs) -> t.Dict[str, np.ndarray]:
"""Precompute a standardized time series.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
kwargs:
Additional arguments and previous precomputed items. May
speed up this precomputation.
Returns
-------
dict
The following precomputed item is returned:
* ``ts_scaled`` (:obj:`np.ndarray`): standardized time-series
values (z-score).
"""
precomp_vals = {} # type: t.Dict[str, np.ndarray]
if "ts_scaled" not in kwargs:
precomp_vals["ts_scaled"] = _utils.standardize_ts(ts=ts)
return precomp_vals
def _fit_ortho_pol_reg(
ts_trend: np.ndarray,
degree: int = 2
) -> statsmodels.regression.linear_model.RegressionResults:
"""Regress the time-series trend on orthogonal polinomials.
Parameters
----------
ts_trend : :obj:`np.ndarray`
One-dimensional time-series trend component.
degree : int, optional (default=2)
Degree of the highest order polynomial (and, therefore, the number
of distinct polynomials used).
Returns
-------
:obj:`statsmodels.regression.linear_model.RegressionResults`
Optimized parameters of the linear model of the time-series trend
component regressed on the orthogonal polynomials.
"""
X = _orthopoly.ortho_poly(ts=np.linspace(0, 1, ts_trend.size),
degree=degree,
return_coeffs=False)
X = statsmodels.tools.add_constant(X)
ts_trend_scaled = _utils.standardize_ts(ts=ts_trend)
return statsmodels.regression.linear_model.OLS(ts_trend_scaled,
X).fit()
def precompute_gaussian_model(cls,
ts: np.ndarray,
random_state: t.Optional[int] = None,
**kwargs) -> t.Dict[str, t.Any]:
"""Precompute a gaussian process model.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
random_state : int, optional
Random seed to optimize the gaussian process model, to keep
the results reproducible.
kwargs:
Additional arguments and previous precomputed items. May
speed up this precomputation.
Returns
-------
dict
The following precomputed item is returned:
* ``gaussian_model`` (:obj:`GaussianProcessRegressor`):
Gaussian process fitted model.
* ``gaussian_resid`` (:obj:`np.ndarray`): Gaussian process
model residuals (diference from the original time-series).
The following item is necessary and, therefore, also precomputed
if necessary:
* ``ts_scaled`` (:obj:`np.ndarray`): standardized time-series
values (z-score).
"""
precomp_vals = {} # type: t.Dict[str, t.Any]
ts_scaled = kwargs.get("ts_scaled")
if ts_scaled is None:
precomp_vals["ts_scaled"] = _utils.standardize_ts(ts=ts)
ts_scaled = precomp_vals["ts_scaled"]
if "gaussian_model" not in kwargs:
gaussian_model = _utils.fit_gaussian_process(
ts=ts, ts_scaled=ts_scaled, random_state=random_state)
precomp_vals["gaussian_model"] = gaussian_model
gaussian_model = kwargs.get("gaussian_model",
precomp_vals["gaussian_model"])
if "gaussian_resid" not in kwargs:
gaussian_resid = _utils.fit_gaussian_process(
ts=ts,
ts_scaled=ts_scaled,
gaussian_model=gaussian_model,
return_residuals=True)
precomp_vals["gaussian_resid"] = gaussian_resid
return precomp_vals
def ft_gaussian_r_sqr(
cls,
ts: np.ndarray,
random_state: t.Optional[int] = None,
ts_scaled: t.Optional[np.ndarray] = None,
gaussian_model: t.Optional[
sklearn.gaussian_process.GaussianProcessRegressor] = None,
) -> float:
"""R^2 from a gaussian process model.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
random_state : int, optional
Random seed to optimize the gaussian process model, to keep
the results reproducible.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
gaussian_model : :obj:`GaussianProcessRegressor`, optional
A fitted model of a gaussian process. Used to take advantage of
precomputations.
Returns
-------
float
R^2 of a gaussian process model.
References
----------
.. [1] B.D. Fulcher and N.S. Jones, "hctsa: A Computational Framework
for Automated Time-Series Phenotyping Using Massive Feature
Extraction, Cell Systems 5: 527 (2017).
DOI: 10.1016/j.cels.2017.10.001
.. [2] B.D. Fulcher, M.A. Little, N.S. Jones, "Highly comparative
time-series analysis: the empirical structure of time series and
their methods", J. Roy. Soc. Interface 10(83) 20130048 (2013).
DOI: 10.1098/rsif.2013.0048
"""
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
gaussian_model = _utils.fit_gaussian_process(
ts=ts_scaled,
random_state=random_state,
gaussian_model=gaussian_model,
ts_scaled=ts_scaled)
X = np.linspace(0, 1, ts_scaled.size).reshape(-1, 1)
r_squared = gaussian_model.score(X=X, y=ts_scaled)
return r_squared
def ft_resample_std(
cls,
ts: np.ndarray,
num_samples: int = 64,
sample_size_frac: float = 0.1,
ddof: int = 1,
random_state: t.Optional[int] = None,
ts_scaled: t.Optional[np.ndarray] = None) -> np.ndarray:
"""Time-series standard deviation from repeated subsampling.
A subsample of size L is L consecutive observations from the
time-series, starting from a random index in [0, len(ts)-L] range.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
num_samples : int, optional (default=64)
Number of time-series subsamples.
sample_size_frac : float, optional (default=0.1)
Size of each subsample proportional to the time-series length.
ddof : int, optional (default=1)
Degrees of freedom of the standard deviation.
random_state : int, optional
Random seed to ensure reproducibility.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
:obj:`np.ndarray`
Standard deviations from repeated subsampling.
"""
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
sample_std = _utils.apply_on_samples(ts=ts_scaled,
func=np.std,
num_samples=num_samples,
sample_size_frac=sample_size_frac,
random_state=random_state,
ddof=ddof)
return sample_std
def _fit_res_model_des(
ts: np.ndarray,
damped: bool = False,
ts_scaled: t.Optional[np.ndarray] = None,
) -> statsmodels.tsa.holtwinters.HoltWintersResultsWrapper:
"""Fit a double exponential smoothing model with additive trend.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
damped : bool, optional (default=False)
Whether or not the exponential smoothing model should include a
damping component.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
:obj:`statsmodels.tsa.holtwinters.HoltWintersResultsWrapper`
Results of a optimized double exponential smoothing model.
References
----------
.. [1] Holt, C. E. (1957). Forecasting seasonals and trends by
exponentially weighted averages (O.N.R. Memorandum No. 52).
Carnegie Institute of Technology, Pittsburgh USA.
https://doi.org/10.1016/j.ijforecast.2003.09.015
"""
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
with warnings.catch_warnings():
warnings.filterwarnings(
"ignore",
module="statsmodels",
category=statsmodels.tools.sm_exceptions.ConvergenceWarning)
model = statsmodels.tsa.holtwinters.ExponentialSmoothing(
endog=ts_scaled,
trend="additive",
damped=damped,
seasonal=None).fit()
return model
def _itrand_stat(cls,
ts: np.ndarray,
func_stats: t.Collection[t.Callable[[np.ndarray], float]],
strategy: str = "dist-dynamic",
prop_rep: t.Union[int, float] = 2,
prop_interval: float = 0.1,
ts_scaled: t.Optional[np.ndarray] = None,
random_state: t.Optional[int] = None) -> np.ndarray:
"""Calculate global statistics with iterative perturbation method.
In the iterative perturbation method, a copy of the time-series is
modified at each iteration. The quantity of observations modified and
the sample pool from which the new values are drawn depends on the
``strategy``selected. Then, a statistic is extracted after every `k`
iterations (given by ceil(ts.size * ``prop_interval``)).
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
func_stats : sequence of callable
Sequence of callables to extract the statistic values. Each
callable must receive a list of numeric values as the first
argument, and return a single numeric value.
strategy : str, optional (default="dist-dynamic")
The strategy used to perturb the current population. Must be one
of the following:
1. `dist-static`: (static distribution) one observation of the
current population is overwritten by one observation from the
original time-series.
2. `dist-dynamic`: (dynamic distribution) one observation of
the current population is overwritten by another observation
of the current population.
3. `permute`: two observations of the current population swaps
its positions.
prop_rep : int or float, optional (default=2)
Number of total iterations proportional to the time-series size.
This means that this process will iterate for approximately
ceil(prop_rep * ts.size) iterations. More rigorously, the number
of iterations also depends on the number of iterations that the
statistics are extracted, to avoid lose computations.
prop_interval : float, optional (default=0.1)
Interval that the statistics are extracted from the current
population, proportional to the time-series length.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
random_state : int, optional
Random seed to ensure reproducibility.
Returns
-------
:obj:`np.ndarray`
Statistics extracted from the dynamic population. Each row is
associated to a method from ``func_stats``, and each column is
one distinct extraction event, ordered temporally by index (i.e.
lower indices corresponds to populations more similar to the
starting state, and higher indices to populations more affected
by the process).
References
----------
.. [1] B.D. Fulcher and N.S. Jones, "hctsa: A Computational Framework
for Automated Time-Series Phenotyping Using Massive Feature
Extraction, Cell Systems 5: 527 (2017).
DOI: 10.1016/j.cels.2017.10.001
.. [2] B.D. Fulcher, M.A. Little, N.S. Jones, "Highly comparative
time-series analysis: the empirical structure of time series and
their methods", J. Roy. Soc. Interface 10(83) 20130048 (2013).
"""
if prop_rep <= 0:
raise ValueError(
"'prop_rep' must be positive (got {}).".format(prop_rep))
if prop_interval <= 0:
raise ValueError(
"'prop_interval' must be positive (got {}).".format(
prop_interval))
VALID_STRATEGY = ("dist-static", "dist-dynamic", "permute")
if strategy not in VALID_STRATEGY:
raise ValueError("'strategy' not in {} (got '{}')."
"".format(VALID_STRATEGY, strategy))
if not hasattr(func_stats, "__len__"):
func_stats = [func_stats] # type: ignore
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
rep_it = int(np.ceil(prop_interval * ts_scaled.size))
# Note: adding (num_it % rep_it) to avoid lose computation of
# the remaining iterations that do not produce a statistic.
num_it = int(np.ceil(prop_rep * ts_scaled.size))
num_it += (num_it % rep_it)
res = np.zeros((len(func_stats), 1 + num_it // rep_it))
ts_rnd = np.copy(ts_scaled)
ts_src = ts_scaled if strategy == "dist-static" else ts_rnd
swap = strategy == "permute"
stat_ind = 0
if random_state is not None:
np.random.seed(random_state)
inds_rnd = np.random.randint(ts_scaled.size, size=(num_it, 2))
for it, (ind_a, ind_b) in enumerate(inds_rnd):
if swap:
ts_rnd[ind_a], ts_src[ind_b] = ts_src[ind_b], ts_rnd[ind_a]
else:
ts_rnd[ind_a] = ts_src[ind_b]
if it % rep_it == 0:
for ind_f, func in enumerate(func_stats):
res[ind_f, stat_ind] = func(ts_rnd)
stat_ind += 1
return res if len(func_stats) > 1 else res.ravel()
def embed_dim_fnn(ts: np.ndarray,
lag: int,
dims: t.Union[int, t.Sequence[int]] = 16,
rtol: t.Union[int, float] = 10,
atol: t.Union[int, float] = 2,
ts_scaled: t.Optional[np.ndarray] = None) -> int:
"""Estimation of the False Nearest Neighbors proportion for each dimension.
The False Nearest Neighbors calculates the average number of false nearest
neighbors of each time-series observations, given a fixed embedding
dimension.
A false nearest neighbors are a pair of instances that are farther apart
in the appropriate embedding dimension, but close together in a smaller
dimension simply because both are projected in a innapropriate dimension.
Sure enough, we could have just use a `sufficiently large` embedding
dimension to remove all possibility of false nearest neighbors. However,
this strategy may imply in a lack of computational effciency, and all
statistical concerns that may arise in high dimensional data analysis.
The idea behind of analysing the proportion of false neighbors is to
estimate the minimum embedding dimension that makes only true neighbors
be close together in that given space.
Thus, it is expected that, given the appropriate embedding dimension, the
proportion of false neighbors will be close to zero.
Differently from the reference paper, here we are using the Chebyshev
distance (or maximum norm distance) rather than the Euclidean distance.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
lag : int
Embedding lag. You may want to check the `embed_lag` function
documentation for embedding lag estimation. Must be a stricly
positive value.
dims : int or sequence of int
Dimensions to estimate the Cao's `E1` and `E2` statistic values.
If integer, estimate all dimensions from 1 up to the given number.
If a sequence of integers, estimate the FNN proportion for all
given dimensions, and return the corresponding values in the same
order of the given dimensions.
All dimensions with non-positive values will receive a `np.nan`.
rtol : float, optional (default=10)
Relative tolerance between the relative difference of the distances
between each observation and its nearest neighbor $D_{d}$ in a given
dimension $d$, and the distance $D_{d+1}$ of the observation and the
same nearest neighbor in the next embedding dimension. It is used in
the first criteria from the reference paper to define which instances
are false neighbors. The default value (10) is the recommended value
from the original paper, and it means that nearest neighbors that are
ten times farther in the next dimension relative to the distance in
the current dimension are considered false nearest neighbors.
atol : float, optional (default=2)
Number of time-series standard deviations that an observation and
its nearest neighbor must be in the next dimension in order to be
considered false neighbors. This is the reference paper's second
criteria.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
:obj:`np.ndarray`
Proportion of false nearest neighbos for each given dimension. It is
used the union of both criterium to determine whether a pair of
neighbors are false neighbors in a fixed embedding dimension (i.e.,
any pair of neighbors considered false in either of the criterium
alone are considered false).
References
----------
.. [1] Determining embedding dimension for phase-space reconstruction using
a geometrical construction, Kennel, Matthew B. and Brown, Reggie and
Abarbanel, Henry D. I., Phys. Rev. A, volume 45, 1992, American
Physical Society.
"""
if lag <= 0:
raise ValueError("'lag' must be positive (got {}).".format(lag))
_dims: t.Sequence[int]
if np.isscalar(dims):
_dims = np.arange(1, int(dims) + 1) # type: ignore
else:
_dims = np.asarray(dims, dtype=int)
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
fnn_prop = np.zeros(len(_dims), dtype=float)
# Note: since we are using the standardized time-series, its standard
# deviation is always 1. However, we keep this variable to make clear
# the correspondence between the reference paper's formulas and what
# are programmed here.
ts_std = 1.0 # = np.std(ts_scaled)
for ind, dim in enumerate(_dims):
try:
emb_next = embed_ts(ts=ts_scaled, lag=lag, dim=dim + 1)
emb_cur = emb_next[:, 1:]
except ValueError:
fnn_prop[ind] = np.nan
continue
nn_inds, dist_cur = nn(embed=emb_cur)
emb_next_abs_diff = np.abs(emb_next[:, 0] - emb_next[nn_inds, 0])
dist_next = np.maximum(dist_cur, emb_next_abs_diff)
# Note: in the reference paper, there were three criteria for
# determining what is a False Nearest Neighbor. The first and second
# one are, respectively, related to the `crit_1` and `crit_2`
# variables. The third criteria is the union of the criteria, which
# means that the observation is considered a False Neighbor if either
# criteria accuses it as such. Here, we are using the third and
# therefore the most conservative criteria.
crit_1 = emb_next_abs_diff > rtol * dist_cur
crit_2 = dist_next > atol * ts_std
fnn_prop[ind] = np.mean(np.logical_or(crit_1, crit_2))
return fnn_prop
def embed_dim_cao(
ts: np.ndarray,
lag: int,
dims: t.Union[int, t.Sequence[int]] = 16,
ts_scaled: t.Optional[np.ndarray] = None,
) -> t.Tuple[np.ndarray, np.ndarray]:
"""Estimate Cao's metrics to estimate time-series embedding dimension.
The Cao's metrics are two statistics, `E1` and `E2`, used to estimate the
appropriate embedding metric of a time-series. From the `E1` statistic it
can be defined the appropriate embedding dimension as the index after the
saturation of the metric from a set of ordered lags.
The precise `saturation` concept may be a subjective concept, since this
metric can show some curious `artifacts` related to specific lags for
specific time-series, which will need deeper further investigation.
The `E2` statistics is to detect `false positives` from the `E1` statistic
since if is used to distinguish between random white noise and a process
generated from a true, non completely random, underlying process. If the
time-series is purely random white noise, then all values of `E2` will be
close to 1. If there exists a dimension with the `E2` metric estimated
`sufficiently far` from 1, then this series is considered not a white
random noise.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
lag : int
Embedding lag. You may want to check the `embed_lag` function
documentation for embedding lag estimation. Must be a stricly
positive value.
dims : int or sequence of int
Dimensions to estimate the Cao's `E1` and `E2` statistic values.
If integer, estimate all dimensions from 1 up to the given number.
If a sequence of integers, estimate all Cao's statistics for all
given dimensions, and return the corresponding values in the same
order of the given dimensions.
All dimensions with non-positive values will receive a `np.nan`
value for both Cao's metric.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
tuple of :obj:`np.ndarray`
`E1` and `E2` Cao's metrics, necessarily in that order, for all
given dimensions (and with direct index correspondence for the
given dimensions).
References
----------
.. [1] Liangyue Cao, Practical method for determining the minimum
embedding dimension of a scalar time series, Physica D: Nonlinear
Phenomena, Volume 110, Issues 1–2, 1997, Pages 43-50,
ISSN 0167-2789, https://doi.org/10.1016/S0167-2789(97)00118-8.
"""
if lag <= 0:
raise ValueError("'lag' must be positive (got {}).".format(lag))
_dims: t.Sequence[int]
if np.isscalar(dims):
_dims = np.arange(1, int(dims) + 1) # type: ignore
else:
_dims = np.asarray(dims, dtype=int)
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
ed, ed_star = np.zeros((2, len(_dims)), dtype=float)
for ind, dim in enumerate(_dims):
try:
emb_next = embed_ts(ts=ts_scaled, lag=lag, dim=dim + 1)
emb_cur = emb_next[:, 1:]
except ValueError:
ed[ind] = np.nan
ed_star[ind] = np.nan
continue
nn_inds, dist_cur = nn(embed=emb_cur)
emb_next_abs_diff = np.abs(emb_next[:, 0] - emb_next[nn_inds, 0])
# Note: 'chebyshev'/'manhattan'/'L1'/max norm distance of X and Y,
# both in the embed of (d + 1) dimensions, can be defined in respect
# to one dimension less:
# L1(X_{d+1}, Y_{d+1}) = |X_{d+1}, Y_{d+1}|_{inf}
# = max(|x_1 - y_1|, ..., |x_{d+1} - y_{d+1}|)
# = max(max(|x_1 - y_1|, ..., |x_d - y_d|), |x_{d+1} - y_{d+1}|)
# = max(L1(X_{d}, Y_{d}), |x_{d+1} - y_{d+1}|)
dist_next = np.maximum(dist_cur, emb_next_abs_diff)
# Note: 'ed' and 'ed_star' refers to, respectively, E_{d} and
# E^{*}_{d} from the Cao's paper.
ed[ind] = np.mean(dist_next / dist_cur)
ed_star[ind] = np.mean(emb_next_abs_diff)
# Note: the minimum embedding dimension is D such that e1[D]
# is the first index where e1 stops changing significantly.
e1 = ed[1:] / ed[:-1]
# Note: This is the E2(d) Cao's metric. Its purpose is to
# separate random time-series. For random-generated time-
# series, e2 will be 1 for any dimension. For deterministic
# data, however, e2 != 1 for some d.
e2 = ed_star[1:] / ed_star[:-1]
return e1, e2
def ft_sample_entropy(cls,
ts: np.ndarray,
embed_dim: int = 2,
embed_lag: int = 1,
threshold: float = 0.2,
metric: str = "chebyshev",
p: t.Union[int, float] = 2,
ts_scaled: t.Optional[np.ndarray] = None) -> float:
"""Sample entropy of the time-series.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
embed_dim : int, optional (default=2)
Embedding dimension.
embed_dim : int, optional (default=1)
Embedding lag.
threshold : float, optional (default=0.2)
Threshold to consider which observations are next to each other
after embedding.
metric : str, optional (default="chebyshev")
Distance metric to calculate the pairwise distance of the
observations after each embedding.
Check `scipy.spatial.distance.cdist` documentation for the complete
list of available distance metrics.
p : int or float, optional (default=2)
Power parameter for the minkowski metric. Used only if metric is
`minkowski`.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
float
Estimated sample entropy.
References
----------
.. [1] Physiological time-series analysis using approximate entropy and
sample entropy Joshua S. Richman and J. Randall Moorman, American
Journal of Physiology-Heart and Circulatory Physiology 2000 278:6,
H2039-H2049
.. [2] B.D. Fulcher and N.S. Jones, "hctsa: A Computational Framework
for Automated Time-Series Phenotyping Using Massive Feature
Extraction, Cell Systems 5: 527 (2017).
DOI: 10.1016/j.cels.2017.10.001
.. [3] B.D. Fulcher, M.A. Little, N.S. Jones, "Highly comparative
time-series analysis: the empirical structure of time series and
their methods", J. Roy. Soc. Interface 10(83) 20130048 (2013).
DOI: 10.1098/rsif.2013.0048
"""
def log_neigh_num(dim: int) -> int:
"""Logarithm of the number of nearest neighbors."""
embed = _embed.embed_ts(ts_scaled, dim=dim, lag=embed_lag)
dist_mat = scipy.spatial.distance.pdist(embed, metric=metric, p=p)
return np.log(np.sum(dist_mat < threshold))
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
sample_entropy = log_neigh_num(embed_dim) - log_neigh_num(embed_dim +
1)
return sample_entropy
def ft_approx_entropy(cls,
ts: np.ndarray,
embed_dim: int = 2,
embed_lag: int = 1,
threshold: float = 0.2,
metric: str = "chebyshev",
p: t.Union[int, float] = 2,
ts_scaled: t.Optional[np.ndarray] = None) -> float:
"""Approximate entropy of the time-series.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
embed_dim : int, optional (default=2)
Embedding dimension.
embed_dim : int, optional (default=1)
Embedding lag.
threshold : float, optional (default=0.2)
Threshold to consider which observations are next to each other
after embedding.
metric : str, optional (default="chebyshev")
Distance metric to calculate the pairwise distance of the
observations after each embedding.
Check `scipy.spatial.distance.cdist` documentation for the complete
list of available distance metrics.
p : int or float, optional (default=2)
Power parameter for the minkowski metric. Used only if metric is
`minkowski`.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
float
Estimated approximate entropy.
References
----------
.. [1] Pincus, S.M., Gladstone, I.M. & Ehrenkranz, R.A. A regularity
statistic for medical data analysis. J Clin Monitor Comput 7,
335–345 (1991). https://doi.org/10.1007/BF01619355
.. [2] B.D. Fulcher and N.S. Jones, "hctsa: A Computational Framework
for Automated Time-Series Phenotyping Using Massive Feature
Extraction, Cell Systems 5: 527 (2017).
DOI: 10.1016/j.cels.2017.10.001
.. [3] B.D. Fulcher, M.A. Little, N.S. Jones, "Highly comparative
time-series analysis: the empirical structure of time series and
their methods", J. Roy. Soc. Interface 10(83) 20130048 (2013).
DOI: 10.1098/rsif.2013.0048
"""
def neigh_num(dim: int) -> int:
"""Mean-log-mean of the number of radius neighbors."""
embed = _embed.embed_ts(ts_scaled, dim=dim, lag=embed_lag)
dist_mat = scipy.spatial.distance.cdist(embed,
embed,
metric=metric,
p=p)
return np.mean(np.log(np.mean(dist_mat < threshold, axis=1)))
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
approx_entropy = neigh_num(embed_dim) - neigh_num(embed_dim + 1)
return approx_entropy
def ft_ami_curvature(
cls,
ts: np.ndarray,
noise_range: t.Tuple[float, float] = (0, 3),
noise_inc_num: float = 10,
lag: t.Optional[t.Union[str, int]] = None,
random_state: t.Optional[int] = None,
ts_scaled: t.Optional[np.ndarray] = None,
max_nlags: t.Optional[int] = None,
detrended_acfs: t.Optional[np.ndarray] = None,
) -> float:
"""Estimate the Automutual information curvature.
The Automutual information curvature is estimated using iterative noise
amplification strategy.
In the iterative noise amplification strategy, a random white noise
is sampled from a normal distribution (mean 0 and variance 1). Then,
this same noise is iteratively amplified from a uniformly spaced
scales in ``noise_range`` range and added to the time-series. The
automutual information is calculated from the perturbed time-series
for each noise amplification.
The automutual information curvature is the angular coefficient of a
linear regression of the automutual information onto the noise scales.
The lag used for every iteration is fixed from the start and, if not
fixed by the user, it is estimated from the autocorrelation function
by default.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
noise_range : tuple of float, optional (default=(0, 3))
A tuple of floats in the form (min_scale, max_scale) for the noise
amplication range.
noise_inc_num: float, optional (default=10)
Number of noise amplifications. The parameter ``noise_range`` will
be split evenly into ``noise_inc_num`` parts.
lag : int or str, optional
Lag to calculate the statistic. It must be a strictly positive
value, None or a string in {`acf`, `acf-nonsig`, `ami`}. In the
last two type of options, the lag is estimated within this method
using the given strategy method (or, if None, it is used the
strategy `acf-nonsig` by default) up to ``max_nlags``.
1. `acf`: the lag corresponds to the first non-positive value
in the autocorrelation function.
2. `acf-nonsig`: lag corresponds to the first non-significant
value in the autocorrelation function (absolute value below
the critical value of 1.96 / sqrt(ts.size)).
3. `ami`: lag corresponds to the first local minimum of the
time-series automutual information function.
random_state : int, optional
Random seed to ensure reproducibility.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
max_nlags : int, optional
If ``lag`` is None, then a single lag will be estimated from the
first negative value of the detrended time-series autocorrelation
function up to `max_nlags`, if any. Otherwise, lag 1 will be used.
Used only if ``detrended_acfs`` is None.
detrended_acfs : :obj:`np.ndarray`, optional
Array of time-series autocorrelation function (for distinct ordered
lags) of the detrended time-series. Used only if ``lag`` is None.
If this argument is not given and the previous condiditon is meet,
the autocorrelation function will be calculated inside this method
up to ``max_nlags``.
Returns
-------
float
Estimated automutual information curvature.
References
----------
.. [1] Fraser AM, Swinney HL. Independent coordinates for strange
attractors from mutual information. Phys Rev A Gen Phys.
1986;33(2):1134‐1140. doi:10.1103/physreva.33.1134
.. [2] B.D. Fulcher and N.S. Jones, "hctsa: A Computational Framework
for Automated Time-Series Phenotyping Using Massive Feature
Extraction, Cell Systems 5: 527 (2017).
DOI: 10.1016/j.cels.2017.10.001
.. [3] B.D. Fulcher, M.A. Little, N.S. Jones, "Highly comparative
time-series analysis: the empirical structure of time series and
their methods", J. Roy. Soc. Interface 10(83) 20130048 (2013).
DOI: 10.1098/rsif.2013.0048
.. [4] Thomas M. Cover and Joy A. Thomas. 1991. Elements of information
theory. Wiley-Interscience, USA.
"""
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
# Note: casting lag to an array since 'ft_ami_detrended' demands
# a sequence of lags.
_lag = np.asarray([
_embed.embed_lag(ts=ts_scaled,
lag=lag,
max_nlags=max_nlags,
detrended_acfs=detrended_acfs)
])
if random_state is not None:
np.random.seed(random_state)
# Note: the noise is fixed from the start, and amplified at each
# iteration.
gaussian_noise = np.random.randn(ts_scaled.size)
noise_std = np.linspace(*noise_range, noise_inc_num)
ami = np.zeros(noise_inc_num, dtype=float)
for ind, cur_std in enumerate(noise_std):
ts_corrupted = ts_scaled + cur_std * gaussian_noise
ami[ind] = cls.ft_ami_detrended(ts=ts_corrupted,
num_bins=32,
lags=_lag,
return_dist=False)
model = sklearn.linear_model.LinearRegression().fit(
X=noise_std.reshape(-1, 1), y=ami)
curvature = model.coef_[0]
return curvature
def _fit_res_model_ets(
ts: np.ndarray,
damped: bool = False,
grid_search_guess: bool = True,
ts_period: t.Optional[int] = None,
ts_scaled: t.Optional[np.ndarray] = None,
) -> statsmodels.tsa.holtwinters.HoltWintersResultsWrapper:
"""Fit a triple exponential smoothing model with additive components.
Parameters
----------
ts : :obj:`np.ndarray`
One-dimensional time-series values.
damped : bool, optional (default=False)
Whether or not the exponential smoothing model should include a
damping component.
grid_search_guess : bool, optional (default=True)
If True, used grid search (a.k.a. brute force) to search for good
starting parameters. If False, this method becomes more less
computationally intensive, but may fail to converge with higher
chances.
ts_period : int, optional
Time-series period.
ts_scaled : :obj:`np.ndarray`, optional
Standardized time-series values. Used to take advantage of
precomputations.
Returns
-------
:obj:`statsmodels.tsa.holtwinters.HoltWintersResultsWrapper`
Results of a optimized triple exponential smoothing model.
References
----------
.. [1] Winters, Peter R. Forecasting Sales by Exponentially Weighted
Moving Averages, 1960, INFORMS, Linthicum, MD, USA
https://doi.org/10.1287/mnsc.6.3.324
.. [2] Charles C. Holt, Forecasting seasonals and trends by
exponentially weighted moving averages, International Journal of
Forecasting, Volume 20, Issue 1, 2004, Pages 5-10, ISSN 0169-2070,
https://doi.org/10.1016/j.ijforecast.2003.09.015.
"""
ts_scaled = _utils.standardize_ts(ts=ts, ts_scaled=ts_scaled)
ts_period = _period.get_ts_period(ts=ts_scaled, ts_period=ts_period)
with warnings.catch_warnings():
warnings.filterwarnings(
"ignore",
module="statsmodels",
category=statsmodels.tools.sm_exceptions.ConvergenceWarning)
model = statsmodels.tsa.holtwinters.ExponentialSmoothing(
endog=ts_scaled,
trend="additive",
seasonal="additive",
damped=damped,
seasonal_periods=ts_period).fit(use_brute=grid_search_guess)
return model
