public void ShouldExtrapolateTwoPeriodsBackwardAndTwoPeriodsForward()
{
int period = 24;
double[] data = new double[2 * period];
double dx = 2 * Math.PI / period;
for (int i = 0; i < data.Length; ++i)
{
int amplitude = 10 - i / period;
data[i] = amplitude * Math.Sin(i * dx);
}
double[] extendedData = new double[6 * period];
var sssmoother = new CyclicSubSeriesSmoother(7, 1, 1, data.Length, period, 2, 2);
sssmoother.Smooth(data, extendedData, null);
for (int i = 0; i < extendedData.Length; ++i)
{
int amplitude = 12 - i / period; // Two extra for the extrapolation before.
double value = amplitude * Math.Sin(i * dx);
Assert.AreEqual(extendedData[i], value, 1.0e-11, $"Test point {i}");
}
}
public void TrendingSinusoidExtrapolationTest()
{
int period = 24;
double[] data = new double[2 * period];
double dx = 2 * Math.PI / period;
for (int i = 0; i < data.Length; ++i)
{
int amplitude = 10 - i / period;
data[i] = amplitude * Math.Sin(i * dx);
}
double[] extendedData = new double[4 * period];
var sssmoother = new CyclicSubSeriesSmoother(7, 1, 1, data.Length, period, 1, 1);
sssmoother.Smooth(data, extendedData, null);
for (int i = 0; i < extendedData.Length; ++i)
{
int amplitude = 11 - i / period; // An extra for the extrapolation before.
double value = amplitude * Math.Sin(i * dx);
Assert.AreEqual(extendedData[i], value, 1.0e-11, $"Test point {i}");
}
}
/// <summary>
/// Initialises a new instance.
/// </summary>
/// <param name="data">The data to be decomposed.</param>
/// <param name="periodicity">The periodicity of the data.</param>
/// <param name="cntInner">The number of inner iterations.</param>
/// <param name="cntOuter">The number of outer "robustness"
/// iterations.</param>
/// <param name="seasonalSettings">The settings for the LOESS smoother
/// for the cyclic sub-series.</param>
/// <param name="trendSettings">The settings for the LOESS smoother for
/// the trend component.</param>
/// <param name="lowpassSettings">The settings for the LOESS smoother
/// used in de-seasonalising.</param>
public SeasonalTrendLoess(IList <double> data, int periodicity, int cntInner,
int cntOuter, LoessSettings seasonalSettings,
LoessSettings trendSettings, LoessSettings lowpassSettings)
{
_data = data;
int size = data.Count;
_periodLength = periodicity;
_seasonalSettings = seasonalSettings;
_trendSettings = trendSettings;
_lowpassSettings = lowpassSettings;
_innerIterations = cntInner;
_outerIterations = cntOuter;
_loessSmootherFactory = new LoessSmootherBuilder()
.SetSettings(trendSettings);
_lowpassLoessFactory = new LoessSmootherBuilder()
.SetSettings(lowpassSettings);
_cyclicSubSeriesSmoother = new CyclicSubSeriesSmoother(
seasonalSettings, size, periodicity, 1, 1);
_detrend = new double[size];
_extendedSeasonal = new double[size + 2 * _periodLength];
}
