public void smoothSeasonal(int width, bool restoreEndPoints)
{
// Ensure that LOESS smoother width is odd and >= 3.
width = Math.Max(3, width);
if (width % 2 == 0)
{
width++;
}
// Quadratic smoothing of the seasonal component.
// Do NOT perform linear interpolation between smoothed points - the quadratic spline can accommodate
// sharp changes and linear interpolation would cut off peaks/valleys.
LoessBuilder builder = new LoessBuilder();
builder.Width = width;
builder.Degree = 2;
builder.Jump = 1;
builder.Data = this.fSeasonal;
LoessSmoother seasonalSmoother = builder.build();
double[] smoothedSeasonal = seasonalSmoother.smooth();
// TODO: Calculate the variance reduction in smoothing the seasonal.
// Update the seasonal with the smoothed values.
// TODO: This is not very good - it causes discontinuities a the endpoints.
// Better to transition to linear in the last half-smoother width.
// Restore the end-point values as the smoother will tend to over-modify these.
double s0 = this.fSeasonal[0];
double sN = this.fSeasonal[(this.fSeasonal.Length - 1)];
//System.arraycopy(smoothedSeasonal, 0, this.fSeasonal, 0, smoothedSeasonal.Length)
this.fSeasonal = new double[smoothedSeasonal.Length];
for (int i = 0; i < smoothedSeasonal.Length; i++)
{
this.fSeasonal[i] = smoothedSeasonal[i];
}
if (restoreEndPoints)
{
this.fSeasonal[0] = s0;
this.fSeasonal[this.fSeasonal.Length - 1] = sN;
}
for (int i = 0; (i < smoothedSeasonal.Length); i++)
{
fResiduals[i] = fData[i] - fTrend[i] - fSeasonal[i];
}
}
public CyclicSubSeriesSmoother(int width, int degree, int jump,
int dataLength, int periodicity,
int numPeriodsToExtrapolateBackward, int numPeriodsToExtrapolateForward)
{
this.fWidth = width;
this.fLoessSmootherFactory = new LoessBuilder();
this.fLoessSmootherFactory.Width = width;
this.fLoessSmootherFactory.Jump = jump;
this.fLoessSmootherFactory.Degree = degree;
this.fPeriodLength = periodicity;
this.fNumPeriods = (dataLength / periodicity);
this.fRemainder = (dataLength % periodicity);
this.fNumPeriodsToExtrapolateBackward = numPeriodsToExtrapolateBackward;
this.fNumPeriodsToExtrapolateForward = numPeriodsToExtrapolateForward;
this.fRawCyclicSubSeries = new double[periodicity][];
this.fSmoothedCyclicSubSeries = new double[periodicity][];
this.fSubSeriesWeights = new double[periodicity][];
// Bookkeeping: Write the data length as
//
// n = m * periodicity + r
//
// where r < periodicity. The first r sub-series will have length m + 1 and the remaining will have length m.
// Another way to look at this is that the cycle length is
//
// cycleLength = (n - p - 1) / periodicity + 1
//
// where p is the index of the cycle that we're currently in.
for (int period = 0; (period < periodicity); period++)
{
int seriesLength = (period < fRemainder) ? (fNumPeriods + 1) : fNumPeriods;
this.fRawCyclicSubSeries[period] = new double[seriesLength];
this.fSmoothedCyclicSubSeries[period] =
new double[(this.fNumPeriodsToExtrapolateBackward
+ (seriesLength + this.fNumPeriodsToExtrapolateForward))];
this.fSubSeriesWeights[period] = new double[seriesLength];
}
}
public SeasonalTrendLoess(double[] data, int periodicity, int ni, int no, LoessSettings seasonalSettings,
LoessSettings trendSettings, LoessSettings lowpassSettings)
{
this.fData = data;
int size = data.Length;
this.fPeriodLength = periodicity;
this.fSeasonalSettings = seasonalSettings;
this.fTrendSettings = trendSettings;
this.fLowpassSettings = lowpassSettings;
this.fInnerIterations = ni;
this.fRobustIterations = no;
this.fLoessSmootherFactory = new LoessBuilder();
this.fLoessSmootherFactory.Width = this.fTrendSettings.Width;
this.fLoessSmootherFactory.Degree = this.fTrendSettings.Degree;
this.fLoessSmootherFactory.Jump = this.fTrendSettings.Jump;
this.fLowpassLoessFactory = new LoessBuilder();
this.fLowpassLoessFactory.Width = this.fLowpassSettings.Width;
this.fLowpassLoessFactory.Degree = this.fLowpassSettings.Degree;
this.fLowpassLoessFactory.Jump = this.fLowpassSettings.Jump;
//
var builder = new CyclicSubSeriesSmootherBuilder();
builder.Width = seasonalSettings.Width;
builder.Degree = seasonalSettings.Degree;
builder.Jump = seasonalSettings.Jump;
builder.DataLength = size;
builder.extrapolateForwardAndBack(1);
builder.Periodicity = periodicity;
///
this.fCyclicSubSeriesSmoother = builder.build();
this.fDetrend = new double[size];
this.fExtendedSeasonal = new double[(size + (2 * this.fPeriodLength))];
}
