Parameter-Free Domain-Agnostic Season Length Detection in Time Series

Spectral and Average Autocorrelation Zero Distance Density ('sazed') is a method for estimating the season length of a seasonal time series. 'sazed' is aimed at practitioners, as it employs only domain-agnostic preprocessing and does not depend on parameter tuning or empirical constants. The computation of 'sazed' relies on the efficient autocorrelation computation methods suggested by Thibauld Nion (2012, URL: < http://www.tibonihoo.net/literate_musing/autocorrelations.html>) and by Bob Carpenter (2012, URL: < https://lingpipe-blog.com/2012/06/08/autocorrelation-fft-kiss-eigen/>).


Overview

SAZED (Spectral and Average Autocorrelation Zero Distance Density) is a package and ensemble method for estimating the season length of a seasonal time series. SAZED is aimed at practitioners, as SAZED employs only domain-agnostic pre-processing and does not depend on parameter tuning or empirical constants.

Installation

This package requires the debian packages libxml2-dev, libfftw3-dev and zlib1g-dev. Once you have those, then simply execute:

install.packages("sazed")

Usage

Estimate the season length of a seasonal time series with the variations of the ensemble method SAZED:

library(sazed)
 
season_length <- 26
y <- sin(1:400*2*pi/season_length)
sazed(y)

All components of the SAZED ensemble are also available separately. For more information on them, see the package manual and examples therein.

News

sazedR 2.0.0

  • The previous version's main method, sazed, was replaced by a an improved variation of the SAZED ensemble. The old version is now available as the sazed.maj function.

sazedR 1.0.0

Initial release

Reference manual

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install.packages("sazedR")

2.0.0 by Tiago Santos, 24 days ago


Browse source code at https://github.com/cran/sazedR


Authors: Maximilian Toller [aut] , Tiago Santos [aut, cre] , Roman Kern [aut]


Documentation:   PDF Manual  


GPL-2 license


Imports bspec, dplyr, fftwtools, pracma, zoo


See at CRAN