mio::ARIMAutils Namespace Reference

Classes
struct	ARIMA_GAP
class	Normalization

Enumerations
enum	ObjectiveFunction { CSS_MLE , MLE , CSS }
enum	OptimizationMethod {   Nelder_Mead , Newton_Line_Search , Newton_Trust_Region_Hook_Step , Newton_Trust_Region_Double_Dog_Leg ,   Conjugate_Gradient , BFGS , LBFGS , BFGS_MTM }

Functions
std::vector< double >	slice (const std::vector< double > &vec, size_t start, size_t N)
std::vector< double >	slice (const std::vector< double > &vec, size_t start)
std::vector< double >	arange (size_t start, size_t N)
double	calcVecMean (const std::vector< double > &vec)
double	stdDev (const std::vector< double > &vec)
std::vector< double >	toVector (const std::vector< MeteoData > &vecM, const std::string &paramname)
std::vector< double >	toVector (const std::vector< MeteoData > &vecM, const size_t &paramindex)
std::vector< double >	decideDirection (const std::vector< double > &data, const std::string &direction, bool forward, size_t gap_loc, size_t length)
size_t	searchBackward (ARIMA_GAP &last_gap, const size_t &pos, const size_t &paramindex, const std::vector< MeteoData > &vecM, const Date &resampling_date, const double &i_window_size)
size_t	searchForward (ARIMA_GAP &last_gap, const size_t &pos, const size_t &paramindex, const std::vector< MeteoData > &vecM, const Date &resampling_date, const double &i_window_size, const size_t &indexP1)
bool	requal (const Date &date1, const Date &date2)
static void	adjustDataStartDate (ARIMA_GAP &last_gap, const std::vector< MeteoData > &vecM, const Date &resampling_date, Date &data_start_date, Date &data_end_date)
static void	adjustGap (const ARIMA_GAP &last_gap, const std::vector< MeteoData > &vecM, const Date &resampling_date, Date &data_start_date, Date &data_end_date, const double &window_size)
void	computeARIMAGap (ARIMA_GAP &last_gap, const size_t &pos, const size_t &paramindex, const std::vector< MeteoData > &vecM, const Date &resampling_date, size_t &indexP1, size_t &indexP2, double &before_window, double &after_window, double &window_size, Date &data_start_date, Date &data_end_date)
double	mostLikelyValue (const std::vector< double > &vec)
double	computeSamplingRate (Date data_start_date, Date data_end_date, std::vector< MeteoData > vecM)
static Date	findFirstDateWithSamplingRate (const std::vector< MeteoData > &vecM, const double sampling_rate, const Date &data_start_date, const Date &data_end_date)
Date	adjustStartDate (const std::vector< MeteoData > &vecM, const ARIMA_GAP &last_gap, Date data_start_date, const Date &data_end_date)
template<typename T >
T	findMinMax (const std::vector< T > &vec, bool findMin)
template<typename T >
void	reverseVector (std::vector< T > &vec)
template<typename T >
std::vector< T >	reverseVectorReturn (const std::vector< T > &vec)
Date	findFirstDateWithSamplingRate (const std::vector< MeteoData > &vecM, const double sampling_rate, const Date &data_start_date, Date &data_end_date)
template<typename T >
std::string	convertVectorsToString (const std::vector< std::vector< T > > &vecs)
template<typename T >
void	printVectors (const std::vector< std::vector< T > > &vecs)
template<typename T >
void	printVectors (const std::vector< Date > &vec1, const std::vector< T > &vec2)

Variables
const std::map< ObjectiveFunction, std::string >	ObjectiveFunctionMap
const std::map< OptimizationMethod, std::string >	OptimizationMethodMap

Enumeration Type Documentation

ObjectiveFunction

enum mio::ARIMAutils::ObjectiveFunction

Enumerator
CSS_MLE
MLE
CSS

OptimizationMethod

enum mio::ARIMAutils::OptimizationMethod

Enumerator
Nelder_Mead
Newton_Line_Search
Newton_Trust_Region_Hook_Step
Newton_Trust_Region_Double_Dog_Leg
Conjugate_Gradient
BFGS
LBFGS
BFGS_MTM

Function Documentation

adjustDataStartDate()

static void mio::ARIMAutils::adjustDataStartDate ( ARIMA_GAP &  last_gap, const std::vector< MeteoData > &  vecM, const Date &  resampling_date, Date &  data_start_date, Date &  data_end_date  )

static

adjustGap()

static void mio::ARIMAutils::adjustGap ( const ARIMA_GAP &  last_gap, const std::vector< MeteoData > &  vecM, const Date &  resampling_date, Date &  data_start_date, Date &  data_end_date, const double &  window_size  )

static

adjustStartDate()

Date mio::ARIMAutils::adjustStartDate	(	const std::vector< MeteoData > &	vecM,
		const ARIMA_GAP &	last_gap,
		Date	data_start_date,
		const Date &	data_end_date
	)

arange()

std::vector< double > mio::ARIMAutils::arange	(	size_t	start,
		size_t	N
	)

calcVecMean()

double mio::ARIMAutils::calcVecMean

(

const std::vector< double > &

vec

)

computeARIMAGap()

void mio::ARIMAutils::computeARIMAGap	(	ARIMA_GAP &	last_gap,
		const size_t &	pos,
		const size_t &	paramindex,
		const std::vector< MeteoData > &	vecM,
		const Date &	resampling_date,
		size_t &	indexP1,
		size_t &	indexP2,
		double &	before_window,
		double &	after_window,
		double &	window_size,
		Date &	data_start_date,
		Date &	data_end_date
	)

computeSamplingRate()

double mio::ARIMAutils::computeSamplingRate	(	Date	data_start_date,
		Date	data_end_date,
		std::vector< MeteoData >	vecM
	)

convertVectorsToString()

template<typename T >

std::string mio::ARIMAutils::convertVectorsToString

(

const std::vector< std::vector< T > > &

vecs

)

decideDirection()

std::vector< double > mio::ARIMAutils::decideDirection	(	const std::vector< double > &	data,
		const std::string &	direction,
		bool	forward,
		size_t	gap_loc,
		size_t	length
	)

findFirstDateWithSamplingRate() [1/2]

static Date mio::ARIMAutils::findFirstDateWithSamplingRate ( const std::vector< MeteoData > &  vecM, const double  sampling_rate, const Date &  data_start_date, const Date &  data_end_date  )

static

findFirstDateWithSamplingRate() [2/2]

Date mio::ARIMAutils::findFirstDateWithSamplingRate	(	const std::vector< MeteoData > &	vecM,
		const double	sampling_rate,
		const Date &	data_start_date,
		Date &	data_end_date
	)

findMinMax()

template<typename T >

T mio::ARIMAutils::findMinMax	(	const std::vector< T > &	vec,
		bool	findMin
	)

mostLikelyValue()

double mio::ARIMAutils::mostLikelyValue

(

const std::vector< double > &

vec

)

printVectors() [1/2]

template<typename T >

void mio::ARIMAutils::printVectors	(	const std::vector< Date > &	vec1,
		const std::vector< T > &	vec2
	)

printVectors() [2/2]

template<typename T >

void mio::ARIMAutils::printVectors

(

const std::vector< std::vector< T > > &

vecs

)

requal()

bool mio::ARIMAutils::requal	(	const Date &	date1,
		const Date &	date2
	)

reverseVector()

template<typename T >

void mio::ARIMAutils::reverseVector

(

std::vector< T > &

vec

)

reverseVectorReturn()

template<typename T >

std::vector< T > mio::ARIMAutils::reverseVectorReturn

(

const std::vector< T > &

vec

)

searchBackward()

size_t mio::ARIMAutils::searchBackward	(	ARIMA_GAP &	last_gap,
		const size_t &	pos,
		const size_t &	paramindex,
		const std::vector< MeteoData > &	vecM,
		const Date &	resampling_date,
		const double &	i_window_size
	)

searchForward()

size_t mio::ARIMAutils::searchForward	(	ARIMA_GAP &	last_gap,
		const size_t &	pos,
		const size_t &	paramindex,
		const std::vector< MeteoData > &	vecM,
		const Date &	resampling_date,
		const double &	i_window_size,
		const size_t &	indexP1
	)

slice() [1/2]

std::vector< double > mio::ARIMAutils::slice	(	const std::vector< double > &	vec,
		size_t	start
	)

slice() [2/2]

std::vector< double > mio::ARIMAutils::slice	(	const std::vector< double > &	vec,
		size_t	start,
		size_t	N
	)

stdDev()

double mio::ARIMAutils::stdDev

(

const std::vector< double > &

vec

)

toVector() [1/2]

std::vector< double > mio::ARIMAutils::toVector	(	const std::vector< MeteoData > &	vecM,
		const size_t &	paramindex
	)

toVector() [2/2]

std::vector< double > mio::ARIMAutils::toVector	(	const std::vector< MeteoData > &	vecM,
		const std::string &	paramname
	)

Variable Documentation

ObjectiveFunctionMap

const std::map< ObjectiveFunction, std::string > mio::ARIMAutils::ObjectiveFunctionMap

Initial value:

= {
            {CSS_MLE, "CSS_MLE"},
            {MLE, "MLE"},
            {CSS, "CSS"},
        }

OptimizationMethodMap

const std::map< OptimizationMethod, std::string > mio::ARIMAutils::OptimizationMethodMap

Initial value:

= {
            {Nelder_Mead, "Nelder_Mead"},
            {Newton_Line_Search, "Newton_Line_Search"},
            {Newton_Trust_Region_Hook_Step, "Newton_Trust_Region_Hook_Step"},
            {Newton_Trust_Region_Double_Dog_Leg, "Newton_Trust_Region_Double_Dog_Leg"},
            {Conjugate_Gradient, "Conjugate_Gradient"},
            {BFGS, "BFGS"},
            {LBFGS, "LBFGS"},
            {BFGS_MTM, "BFGS_MTM"},
        }