Seasonal-trend decomposition for Rust

Andrew Kane

Last update: Dec 14, 2022

Related tags

Miscellaneous stl-rust

Overview

STL Rust

Seasonal-trend decomposition for Rust

Installation

Add this line to your application’s Cargo.toml under [dependencies]:

stlrs = "0.1"

Getting Started

Decompose a time series

let series = vec![
    5.0, 9.0, 2.0, 9.0, 0.0, 6.0, 3.0, 8.0, 5.0, 8.0,
    7.0, 8.0, 8.0, 0.0, 2.0, 5.0, 0.0, 5.0, 6.0, 7.0,
    3.0, 6.0, 1.0, 4.0, 4.0, 4.0, 3.0, 7.0, 5.0, 8.0
];
let period = 7; // period of the seasonal component

let res = stlrs::params().fit(&series, period);

Get the components

res.seasonal();
res.trend();
res.remainder();

Robustness

Use robustness iterations

let res = stlrs::params().robust(true).fit(&series, period);

Get robustness weights

res.weights();

Parameters

Set parameters

stlrs::params()
    .seasonal_length(7)     // length of the seasonal smoother
    .trend_length(15)       // length of the trend smoother
    .low_pass_length(7)     // length of the low-pass filter
    .seasonal_degree(0)     // degree of locally-fitted polynomial in seasonal smoothing
    .trend_degree(1)        // degree of locally-fitted polynomial in trend smoothing
    .low_pass_degree(1)     // degree of locally-fitted polynomial in low-pass smoothing
    .seasonal_jump(1)       // skipping value for seasonal smoothing
    .trend_jump(2)          // skipping value for trend smoothing
    .low_pass_jump(1)       // skipping value for low-pass smoothing
    .inner_loops(2)         // number of loops for updating the seasonal and trend components
    .outer_loops(0)         // number of iterations of robust fitting
    .robust(false)          // if robustness iterations are to be used

Credits

This library was ported from the Fortran implementation.

References

STL: A Seasonal-Trend Decomposition Procedure Based on Loess

History

View the changelog

Contributing

Everyone is encouraged to help improve this project. Here are a few ways you can help:

Report bugs
Fix bugs and submit pull requests
Write, clarify, or fix documentation
Suggest or add new features

To get started with development:

git clone https://github.com/ankane/stl-rust.git
cd stl-rust
cargo test

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Comments

Use `num_traits` to add compatibility with `f64`

This commit makes the various structs and functions generic over float types, and tests that things work for both f32 and f64 types.

Unfortunately the code is a little less readable now due to various trait bounds and generic calls :( There may be a better way of doing this with num_traits that I'm not aware of.

Happy to add some docs, etc if you think this is mergeable 👍

opened by sd2k 2