statsample-timeseries

Statsample-Timeseries is an extension to Statsample, a suite for advanced statistics with Ruby.

Description

Statsample-Timeseries is extension of Statsample, and incorporates helpful time series functions, estimation techniques, and modules, such as:

• ACF
• PACF
• ARIMA
• Kalman Filter
• Log Likelihood
• Autocovariances
• Moving Averages

Statsample-Timeseries is part of the SciRuby project.

Dependency

Please install rb-gsl which is a Ruby wrapper over GNU Scientific Library. It enables us to use various minimization techniques during estimations.

Installation

gem install statsample-timeseries

Usage

To use the library:

require 'statsample-timeseries'

See Ankur's blog posts for explanations and examples.

Documentation

The API doc is online. For more code examples see also the test files in the source tree.

Contributing

• Fork the project.
• Create your feature branch
• Add/Modify code.
• Write equivalent documentation and tests.
• Run rake test to verify that all tests pass.
• Push your branch.
• Pull request. :)

Project home page

For information on the source tree, documentation, issues and how to contribute, see http://github.com/SciRuby/statsample-timeseries.

Copyright

Copyright (c) 2013 Ankur Goel and the Ruby Science Foundation. See LICENSE.txt for further details.

Statsample is (c) 2009-2013 Claudio Bustos and the Ruby Science Foundation.