SparseTimeSeries.jl

Package to handle timee series in julia
Author jonalm
Popularity
2 Stars
Updated Last
2 Years Ago
Started In
January 2020

SparseTimeSeries

Build Status Codecov

If you are looking for general time series functionality, check out the much more mature TimeSeries.jl package first.

Functionality overview

The package supports, value of arbitrary type and any timestamp which can be sorted.

The key data types are the Event, which wraps a (timestamp, value) pair; the Segment which wraps a (time start, time end, value) triplet; the EventSeries (subtype of AbstracVector), which holds the time series.

The EventSeries has, in addition to the standard AbstracVector interface, the following methods:

  • align(::EventSeries...) returns a tuple of EventSeries containing subsets of the corresponding series input, such that the time domain of each output series corresponds to the largest common time domain of the input series. (See select below.)
  • cumtime(::EventSeries, value) returns the cumulative time for which the series takes the input value.
  • fill_forward_event(::EventSeries, time) returns the most recent Event prior to input time.
  • fill_forward_value(::EventSeries, time) returns the most recent value prior to input time.
  • fuse(;named_eventseries) returns a new a new EventSeries with time sorted Events for each timestamp in the input series, where the values are named tuples containing the fill forward value of all input time series.
  • segments(events) returns an iterator over all Segements defined by consecutive Events in the input.
  • select(::EventSeries, tstart, tend) returns an EventSeries which is a subset of the input series, containing the Events in the time domain [tstart, tend]. The endpoint values are set by filling forward.
  • splice(;named_eventseries...) returns a new a new EventSeries with time sorted Events for each timestamp in the input series, where the values are values are name-value pairs.

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