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Merged
mikecroucher merged 5 commits into from
Sep 23, 2019
Merged

changes to cp_pelt.ipynb #9

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ed47b4a
added ctype explanation and created data file
caleb-hamilton May 5, 2019
6c9a467
switched back to hardcoded y and fixed bad tick labels in plot
caleb-hamilton Aug 30, 2019
3af8e41
cleaned up extra cells
caleb-hamilton Aug 30, 2019
ed16e5e
more cleanup and final hardcode of historic event labels
caleb-hamilton Aug 30, 2019
56aebbb
Merge branch 'master' into master
mikecroucher Sep 23, 2019
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59 changes: 37 additions & 22 deletions time_series_analysis/cp_pelt.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -13,8 +13,10 @@
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"execution_count": 25,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"y = [\n",
Expand Down Expand Up @@ -45,13 +47,15 @@
"cell_type": "markdown",
"metadata": {},
"source": [
"We wish to look for changes in the mean, which is selected using the following `ctype` value in the NAG routine"
"We wish to look for changes in the mean, assuming the data comes from Normal distributions, which is selected by setting the `ctype` parameter of the `cp_pelt` routine to `1`. Other values for `ctype` can be used for different distributions and properties of the data, but the plot in this notebook assumes `ctype = 1`."
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"execution_count": 26,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"ctype = 1"
Expand All @@ -66,8 +70,10 @@
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"execution_count": 46,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"param = [0.2]"
Expand All @@ -82,8 +88,10 @@
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"execution_count": 47,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"from naginterfaces.library import tsa\n",
Expand All @@ -101,7 +109,7 @@
},
{
"cell_type": "code",
"execution_count": 5,
"execution_count": 48,
"metadata": {},
"outputs": [
{
Expand Down Expand Up @@ -138,7 +146,7 @@
},
{
"cell_type": "code",
"execution_count": 6,
"execution_count": 49,
"metadata": {},
"outputs": [
{
Expand Down Expand Up @@ -223,7 +231,7 @@
" };\n",
"\n",
" this.imageObj.onunload = function() {\n",
" fig.ws.close();\n",
" this.ws.close();\n",
" }\n",
"\n",
" this.ws.onmessage = this._make_on_message_function(this);\n",
Expand Down Expand Up @@ -698,7 +706,7 @@
"mpl.figure.prototype.toolbar_button_onmouseover = function(tooltip) {\n",
" this.message.textContent = tooltip;\n",
"};\n",
"mpl.toolbar_items = [[\"Home\", \"Reset original view\", \"fa fa-home icon-home\", \"home\"], [\"Back\", \"Back to previous view\", \"fa fa-arrow-left icon-arrow-left\", \"back\"], [\"Forward\", \"Forward to next view\", \"fa fa-arrow-right icon-arrow-right\", \"forward\"], [\"\", \"\", \"\", \"\"], [\"Pan\", \"Pan axes with left mouse, zoom with right\", \"fa fa-arrows icon-move\", \"pan\"], [\"Zoom\", \"Zoom to rectangle\", \"fa fa-square-o icon-check-empty\", \"zoom\"], [\"\", \"\", \"\", \"\"], [\"Download\", \"Download plot\", \"fa fa-floppy-o icon-save\", \"download\"]];\n",
"mpl.toolbar_items = [[\"Home\", \"Reset original view\", \"fa fa-home icon-home\", \"home\"], [\"Back\", \"Back to previous view\", \"fa fa-arrow-left icon-arrow-left\", \"back\"], [\"Forward\", \"Forward to next view\", \"fa fa-arrow-right icon-arrow-right\", \"forward\"], [\"\", \"\", \"\", \"\"], [\"Pan\", \"Pan axes with left mouse, zoom with right\", \"fa fa-arrows icon-move\", \"pan\"], [\"Zoom\", \"Zoom to rectangle\", \"fa fa-square-o icon-check-empty\", \"zoom\"], [\"\", \"\", \"\", \"\"], [\"Download\", \"Download plot\", \"fa fa-floppy-o icon-save\", \"download\"]];\n",
"\n",
"mpl.extensions = [\"eps\", \"pdf\", \"png\", \"ps\", \"raw\", \"svg\"];\n",
"\n",
Expand All @@ -718,7 +726,7 @@
" // Register the callback with on_msg.\n",
" comm.on_msg(function(msg) {\n",
" //console.log('receiving', msg['content']['data'], msg);\n",
" // Pass the mpl event to the overridden (by mpl) onmessage function.\n",
" // Pass the mpl event to the overriden (by mpl) onmessage function.\n",
" ws.onmessage(msg['content']['data'])\n",
" });\n",
" return ws;\n",
Expand Down Expand Up @@ -870,12 +878,9 @@
" // Check for shift+enter\n",
" if (event.shiftKey && event.which == 13) {\n",
" this.canvas_div.blur();\n",
" event.shiftKey = false;\n",
" // Send a \"J\" for go to next cell\n",
" event.which = 74;\n",
" event.keyCode = 74;\n",
" manager.command_mode();\n",
" manager.handle_keydown(event);\n",
" // select the cell after this one\n",
" var index = IPython.notebook.find_cell_index(this.cell_info[0]);\n",
" IPython.notebook.select(index + 1);\n",
" }\n",
"}\n",
"\n",
Expand Down Expand Up @@ -950,7 +955,7 @@
" last_cp = tau_val\n",
"plt.xlim((1, len(y)))\n",
"t11 = ['1999 Initiation of Euro', '2008 Financial Crisis', '2016 UK EU Referendum']\n",
"t12 = (0, soln.tau[1]-4, soln.tau[3]-4)\n",
"t12 = [0, 9*12, 17*12]\n",
"plt.xticks(t12, t11, size='small')\n",
"plt.xlabel('Time - January 1999 to December 2018')\n",
"plt.ylabel('Euros per Pound')\n",
Expand All @@ -961,11 +966,21 @@
"plt.legend(handles=[vl, hl], loc='upper right')\n",
"plt.show()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": []
}
],
"metadata": {
"anaconda-cloud": {},
"kernelspec": {
"display_name": "Python 3",
"display_name": "Python [default]",
"language": "python",
"name": "python3"
},
Expand Down
1 change: 1 addition & 0 deletions time_series_analysis/ts_data.txt
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Original file line number Diff line number Diff line change
@@ -0,0 +1 @@
[1.41, 1.47, 1.49, 1.49, 1.54, 1.56, 1.54, 1.52, 1.54, 1.56, 1.59, 1.61, 1.61, 1.67, 1.64, 1.69, 1.72, 1.61, 1.61, 1.64, 1.64, 1.69, 1.69, 1.67, 1.59, 1.59, 1.59, 1.61, 1.61, 1.69, 1.69, 1.64, 1.64, 1.64, 1.64, 1.61, 1.61, 1.67, 1.67, 1.64, 1.64, 1.56, 1.56, 1.61, 1.59, 1.61, 1.59, 1.59, 1.56, 1.54, 1.47, 1.45, 1.45, 1.41, 1.45, 1.45, 1.47, 1.43, 1.47, 1.45, 1.43, 1.47, 1.52, 1.52, 1.49, 1.52, 1.52, 1.54, 1.49, 1.45, 1.45, 1.47, 1.43, 1.45, 1.47, 1.47, 1.49, 1.49, 1.49, 1.47, 1.47, 1.49, 1.47, 1.49, 1.47, 1.49, 1.47, 1.45, 1.47, 1.47, 1.45, 1.47, 1.49, 1.49, 1.52, 1.49, 1.49, 1.52, 1.49, 1.49, 1.47, 1.49, 1.49, 1.49, 1.49, 1.45, 1.45, 1.43, 1.35, 1.33, 1.32, 1.27, 1.28, 1.28, 1.27, 1.28, 1.23, 1.27, 1.27, 1.19, 1.05, 1.12, 1.12, 1.1, 1.14, 1.16, 1.18, 1.18, 1.15, 1.1, 1.11, 1.11, 1.12, 1.15, 1.11, 1.14, 1.16, 1.2, 1.22, 1.22, 1.22, 1.15, 1.16, 1.19, 1.16, 1.18, 1.19, 1.14, 1.12, 1.15, 1.11, 1.15, 1.14, 1.18, 1.18, 1.18, 1.2, 1.2, 1.2, 1.2, 1.23, 1.25, 1.25, 1.28, 1.27, 1.27, 1.25, 1.23, 1.23, 1.16, 1.16, 1.19, 1.19, 1.18, 1.18, 1.15, 1.19, 1.2, 1.19, 1.22, 1.2, 1.22, 1.22, 1.22, 1.22, 1.23, 1.27, 1.27, 1.27, 1.3, 1.28, 1.27, 1.28, 1.33, 1.39, 1.39, 1.37, 1.41, 1.43, 1.43, 1.37, 1.37, 1.41, 1.43, 1.37, 1.33, 1.3, 1.25, 1.28, 1.3, 1.2, 1.19, 1.19, 1.15, 1.11, 1.19, 1.18, 1.18, 1.18, 1.18, 1.19, 1.15, 1.15, 1.12, 1.1, 1.14, 1.15, 1.14, 1.14, 1.15, 1.12, 1.15, 1.14, 1.15, 1.14, 1.14, 1.12, 1.14, 1.15, 1.13]