Wolfram言語

時系列の処理

不規則時系列を平滑化し,間引く

Apple, Inc.の日々の株価の不規則時系列を平滑化し,間引く.

完全なWolfram言語入力を表示する
In[1]:=
Click for copyable input
data = TimeSeries[ FinancialData["AAPL", {DateObject[{2000}], DateObject[{2016}]}]];
In[2]:=
Click for copyable input
data = TemporalData[TimeSeries, {CompressedData[" 1:eJxkXHk41N/3t2Xfx5p9Hbuxjd09RBtlSaUFUbIUiqg+SaRSSiq0oFKJopRC UURFSJLIVlFkyb7MGPvvPTQzz/P7/jHPfd7L3PXcc16vc859K3gHu/iwMDEx MWO/IgEmprBwfZP1t/jAr1b57wo5HtArFOxOP8UDMZSyi4uKXNBMcSB/3sQN B80NtVb/4IJvkh3i1+I4gf9uwd1PQhzQX9Dqdu4GFxxelybqnMgN66JXEHyi eMBvu7ePoT4vqCSr98hz8oPngIvSZCgf/Ega384lwwtMFndtwp7zAdfcr943 eD7Y5F72kVeKDwoCJVaUd3FDvMqj+LxQHng1ZBN68ww3dJJuPLdS4QZDsoqU wBYeWCewKicxkRc2DcyvNtfhB1nRxcO2PvwQQpRh/l7LR29Xh81UzauSF4oe iAlVZPADk5SgQm6EAJjJc82G6zP+d6RwTfDLYD54sv3GqL0MPwi3pMX4vuUH ubYP3JHH+KFiq3lcqCEfRLNVJOhN8cGxUykKm135IcP1Le4/SyFYNxXKPa4k CG019gv4EUEQtG7qa0oXBJUVYmVJ1oL05ykos8BfSxBi2tveTtwVhPXXFlQe 8goCV5zc7mEzRrtpHYQv8qKCIPTLky3+nCDwmikcqrcTBBO/J1aybULQFXi/ eS8OByxF7y9zPBOGUAexKbltwlB7LM3/bbgwyO3ZRhjzFYa57J0P5maF6O1d uWaUVzYlBPutcvlE7wlBewC2os2CID7yYegaEoKRixeaehIEQeTJs0L1ICF6 +54cdZLOKQIQ5FezEfXx0ucp3hp/ij+FD/b6Z/WE7BYEnU2JnXzVgkCtzpFd EPTypl8SDwlANdvcynW/BeD245iYkmnGuNfIntVqeC8ItuKNL2r9BQEX/VfO 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3ヶ月の移動中央値を計算する.

In[3]:=
Click for copyable input
smooth = MovingMap[Median, data, {{3, "Month"}}]
Out[3]=

この時系列は平滑化されている.

In[4]:=
Click for copyable input
DateListPlot[{data, smooth}, PlotTheme -> "Detailed", PlotLegends -> {"data", "smoothing"}]
Out[4]=

1ヶ月区切りで,3ヶ月の移動中央値を計算する.

In[5]:=
Click for copyable input
thin = MovingMap[Median, data, {{3, "Month"}, Right, "Month"}]
Out[5]=

以下で時系列を平滑化し,間引く.

In[6]:=
Click for copyable input
{data["PathLength"], smooth["PathLength"], thin["PathLength"]}
Out[6]=

結果を比較する.

In[7]:=
Click for copyable input
DateListPlot[{data, smooth, thin}, PlotTheme -> "Detailed", PlotLegends -> {"data", "smoothing only", "smoothing and thinning"}]
Out[7]=

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