time_series.hpp File Reference

Time series analysis. More...

#include <cmath>
#include <cstddef>
#include <iterator>
#include <stdexcept>
#include <utility>
#include <vector>
#include "statcpp/basic_statistics.hpp"

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Namespaces
namespace	statcpp

Functions
template<typename Iterator >
double	statcpp::autocorrelation (Iterator first, Iterator last, std::size_t lag)
	Calculate autocorrelation coefficient (lag k)
template<typename Iterator >
std::vector< double >	statcpp::acf (Iterator first, Iterator last, std::size_t max_lag)
	Calculate autocorrelation function (ACF) (from lag 0 to max_lag)
template<typename Iterator >
std::vector< double >	statcpp::pacf (Iterator first, Iterator last, std::size_t max_lag)
	Calculate partial autocorrelation function (PACF) (Durbin-Levinson algorithm)
template<typename Iterator1 , typename Iterator2 >
double	statcpp::mae (Iterator1 first1, Iterator1 last1, Iterator2 first2)
	Mean Absolute Error (MAE)
template<typename Iterator1 , typename Iterator2 >
double	statcpp::mse (Iterator1 first1, Iterator1 last1, Iterator2 first2)
	Mean Squared Error (MSE)
template<typename Iterator1 , typename Iterator2 >
double	statcpp::rmse (Iterator1 first1, Iterator1 last1, Iterator2 first2)
	Root Mean Squared Error (RMSE)
template<typename Iterator1 , typename Iterator2 >
double	statcpp::mape (Iterator1 first1, Iterator1 last1, Iterator2 first2)
	Mean Absolute Percentage Error (MAPE)
template<typename Iterator >
std::vector< double >	statcpp::moving_average (Iterator first, Iterator last, std::size_t window)
	Simple moving average.
template<typename Iterator >
std::vector< double >	statcpp::exponential_moving_average (Iterator first, Iterator last, double alpha)
	Exponential moving average.
template<typename Iterator >
std::vector< double >	statcpp::diff (Iterator first, Iterator last, std::size_t order=1)
	Difference series (first-order or d-th order differencing)
template<typename Iterator >
std::vector< double >	statcpp::seasonal_diff (Iterator first, Iterator last, std::size_t period)
	Seasonal differencing.
template<typename Iterator >
std::vector< double >	statcpp::lag (Iterator first, Iterator last, std::size_t k)
	Generate lag series.

Detailed Description

Time series analysis.

Definition in file time_series.hpp.