平滑化和稀疏化不规时间序列
将苹果公司每天股票价格的时间序列平滑化和稀疏化.
显示完整的 Wolfram 语言输入
In[2]:=
data = TemporalData[TimeSeries, {CompressedData["
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"], 1, {
"Continuous", 1}, {"Discrete", 1}, 1, {
ValueDimensions -> 1, DateFunction -> Automatic,
ResamplingMethod -> {"Interpolation", InterpolationOrder -> 1}}},
True, 314.1];
计算 3 个月移动中位数.
In[3]:=
smooth = MovingMap[Median, data, {{3, "Month"}}]
Out[3]=
时间序列已经平滑化.
In[4]:=
DateListPlot[{data, smooth}, PlotTheme -> "Detailed",
PlotLegends -> {"data", "smoothing"}]
Out[4]=
以一个月的增量计算长度为 3 个月的移动中位数.
In[5]:=
thin = MovingMap[Median, data, {{3, "Month"}, Right, "Month"}]
Out[5]=
这样就把时间序列平滑化与稀疏化了.
In[6]:=
{data["PathLength"], smooth["PathLength"], thin["PathLength"]}
Out[6]=
比较结果.
In[7]:=
DateListPlot[{data, smooth, thin}, PlotTheme -> "Detailed",
PlotLegends -> {"data", "smoothing only", "smoothing and thinning"}]
Out[7]=