ts-aggregator/project_template/Transformation.cpp

#include "stdafx.h"
#include "Transformation.h"
#include "Median.h"
#include <math.h>
#include <vector>
#include <iostream>
#include <limits>

Transformation::Transformation(vector <double> ts)
{
	setTimeSeries(ts);
	INFINITY = std::numeric_limits<double>::infinity();
}

Transformation::~Transformation()
{
}

void Transformation::setTimeSeries(vector<double> ts){

	TimeSeries = ts;
	tsSizeValue = ts.size();

	tsShiftValue = 0;
	GeometricAverage = 1;
	valueMean = 0;

	double min = 0;

	for (int i = 0; i < tsSizeValue; i++)
	{
		if ((TimeSeries[i] < 0) && (TimeSeries[i] < min))
		{
			min = TimeSeries[i];
		}

		GeometricAverage = GeometricAverage * TimeSeries[i];

		valueMean += TimeSeries[i];

	}

	if (min != 0)
	{
		tsShiftValue = abs(min) + 1;
	}

	if (tsSizeValue != 0)
	{
		GeometricAverage = pow(GeometricAverage, 1 / tsSizeValue);
		valueMean /= tsSizeValue;
	}

}

int Transformation::sign(double value)
{
	if (value >= 0)
		return 1;
	else
		return -1;
}


double Transformation::lambdaEstimationGuerrero(double param){

	double result;

	int begin;		// iterator
	int end;		// iterator
	double sumRow;	// sum row matrix
	double sumSd;	// sum for estimation standard deviation
	double meanRat;
	int lengthPeriod = 2;

	if (seasonalPeriod > lengthPeriod)
	{
		lengthPeriod = seasonalPeriod;
	}

	int amtlengthPeriod = floor((double)tsSizeValue / lengthPeriod);
	int shift = tsSizeValue - floor((double)amtlengthPeriod * lengthPeriod);

	vector <double> mean(amtlengthPeriod); // mean row matrix
	vector <double> sd(amtlengthPeriod);   // standard deviation
	vector <double> rat(amtlengthPeriod);

	for (int i = 0; i < amtlengthPeriod; i++)
	{
		begin = shift + i * lengthPeriod;
		end = begin + lengthPeriod;

		sumRow = 0;

		for (int row = begin; row < end; row++)
		{
			sumRow += TimeSeries[row];
		}

		mean[i] = sumRow / lengthPeriod;

		sumSd = 0;

		for (int row = begin; row < end; row++)
		{
			sumSd += pow(TimeSeries[row] - mean[i], 2);
		}

		sd[i] = sqrt(sumSd / (lengthPeriod - 1));
	}

	for (int i = 0; i < amtlengthPeriod; i++)
	{
		rat[i] = sd[i] / (pow(mean[i], 1 - param));
	}

	meanRat = 0;

	for (int i = 0; i < amtlengthPeriod; i++)
	{
		meanRat += rat[i];
	}

	meanRat /= amtlengthPeriod;

	sumSd = 0;

	for (int i = 0; i < amtlengthPeriod; i++)
	{
		sumSd += pow(rat[i] - meanRat, 2);
	}

	result = sqrt(sumSd / (amtlengthPeriod - 1)) / meanRat;

	return result;
}

void Transformation::lambdaEstimation(){

	double cv = INFINITY;					//cv - coefficient of variation

	for (double i = -1; i <= 2; i += 0.01)
	{
		//double i = 0.7;
		double result = lambdaEstimationGuerrero(i);
		if (result < cv)
		{
			cv = result;
			lambda = i;
		}
	}

}


vector<double> Transformation::BoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda == 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = log(TimeSeries[i] + tsShiftValue);
		}
	}
	else
	{
		for (int i = 0; i < TimeSeries.size(); i++)
		{
			tsTransformation[i] = (pow(TimeSeries[i] + tsShiftValue, lambda) - 1) / lambda;
		}
	}

	return tsTransformation;
}

vector<double> Transformation::invBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda == 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = exp(TimeSeries[i]) - tsShiftValue;
		}

	}
	else
	{
		for (int i = 0; i < TimeSeries.size(); i++)
		{
			tsTransformation[i] = pow((lambda * TimeSeries[i] + 1), 1 / lambda) - tsShiftValue;
		}
	}

	return tsTransformation;
}


vector<double> Transformation::ExponentialTransformation(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda != 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = (exp(TimeSeries[i] * lambda) - 1) / lambda;
		}
	}

	return tsTransformation;
}

vector<double> Transformation::invExponentialTransformation(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda != 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = log(1 + TimeSeries[i] * lambda) / lambda;
		}
	}

	return tsTransformation;
}


vector<double> Transformation::ModulusTransformation(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda == 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = sign(TimeSeries[i]) * log(abs(TimeSeries[i]) + 1);
		}
	}
	else
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = sign(TimeSeries[i]) * (pow(abs(TimeSeries[i]) + 1, lambda) - 1) / lambda;
		}
	}

	return tsTransformation;
}

vector<double> Transformation::invModulusTransformation(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda == 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = sign(TimeSeries[i]) * (exp(abs(TimeSeries[i])) - 1);
		}
	}
	else
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = pow(TimeSeries[i] * lambda / sign(TimeSeries[i]) + 1, 1 / lambda) - 1;
		}
	}

	return tsTransformation;
}


vector<double> Transformation::AsymptoticBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda > 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = (sign(TimeSeries[i]) * pow(abs(TimeSeries[i]), lambda) - 1) / lambda;
		}
	}

	return tsTransformation;
}

vector<double> Transformation::invAsymptoticBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda > 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = pow((TimeSeries[i] * lambda - 1) / sign(TimeSeries[i]), 1 / lambda);
		}
	}

	return tsTransformation;
}


vector<double> Transformation::ModifiedBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	for (int i = 0; i < tsSizeValue; i++)
	{
		if ((TimeSeries[i] >= 0) && (lambda != 0))
		{
			tsTransformation[i] = (pow(TimeSeries[i] + 1, lambda) - 1) / lambda;
		}
		else if ((TimeSeries[i] >= 0) && (lambda == 0))
		{
			tsTransformation[i] = log(TimeSeries[i] + 1);
		}
		else if ((TimeSeries[i] < 0) && (lambda != 0))
		{
			tsTransformation[i] = -(pow(-TimeSeries[i] + 1, 2 - lambda) - 1) / (2 - lambda);
		}
		else if ((TimeSeries[i] < 0) && (lambda == 0))
		{
			tsTransformation[i] = -log(-TimeSeries[i] + 1);
		}
	}

	return tsTransformation;
}

vector<double> Transformation::invModifiedBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	for (int i = 0; i < tsSizeValue; i++)
	{
		if ((TimeSeries[i] >= 0) && (lambda != 0))
		{
			tsTransformation[i] = pow(TimeSeries[i] * lambda + 1, 1 / lambda) - 1;
		}
		else if ((TimeSeries[i] >= 0) && (lambda == 0))
		{
			tsTransformation[i] = exp(TimeSeries[i]) - 1;
		}
		else if ((TimeSeries[i] < 0) && (lambda != 2))
		{
			tsTransformation[i] = -(pow(-(TimeSeries[i] * (2 - lambda) - 1), 1 / (2 - lambda)) - 1);
		}
		else if ((TimeSeries[i] < 0) && (lambda == 2))
		{
			tsTransformation[i] = -exp(-TimeSeries[i]) + 1;
		}
	}

	return tsTransformation;
}


vector<double> Transformation::NormalizedBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda == 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = GeometricAverage * log(TimeSeries[i]);
		}
	}
	else
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = (pow(TimeSeries[i], lambda) - 1) / (lambda * pow(GeometricAverage, lambda - 1));
		}
	}

	return tsTransformation;
}

vector<double> Transformation::invNormalizedBoxCox(){

	vector <double> tsTransformation(tsSizeValue);

	if (lambda == 0)
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = exp(TimeSeries[i] / GeometricAverage);
		}
	}
	else
	{
		for (int i = 0; i < tsSizeValue; i++)
		{
			tsTransformation[i] = pow(TimeSeries[i] * lambda * pow(GeometricAverage, lambda - 1) + 1, 1 / lambda);
		}
	}

	return tsTransformation;

}


vector<double> Transformation::Deseasonalization(int seasonalPeriod){

	vector <double> tsDeseasonalization(tsSizeValue);
	SeasonalIndex.resize(seasonalPeriod - 1);

	int tsShift = 0;
	int amtSeasonalPeriod = tsSizeValue / seasonalPeriod;

	if (tsSizeValue % seasonalPeriod != 0)
	{
		tsShift = tsSizeValue - amtSeasonalPeriod * seasonalPeriod;
	}

	// считаем средние сезоанальные индексы
	Median *est = new Median();
	SeasonalIndex = est->getValue(TimeSeries, seasonalPeriod);

	// получаем итог
	for (int i = 0; i < amtSeasonalPeriod; i++)
	{
		int begin = tsShift + i * seasonalPeriod;
		int end = begin + seasonalPeriod;

		for (int ii = begin; ii < end; ii++)
		{
			tsDeseasonalization[ii] = TimeSeries[ii] / SeasonalIndex[i];
		}
	}

	return tsDeseasonalization;

}

vector<double> Transformation::invDeseasonalization(){

	vector <double> tsDeseasonalization(tsSizeValue);

	int tsShift = 0;
	int amtSeasonalPeriod = tsSizeValue / seasonalPeriod;

	if (tsSizeValue % seasonalPeriod != 0)
	{
		tsShift = tsSizeValue - amtSeasonalPeriod * seasonalPeriod - 1;
	}

	for (int i = 0; i < amtSeasonalPeriod; i++)
	{
		int begin = tsShift + i * seasonalPeriod;
		int end = begin + seasonalPeriod;

		for (int ii = begin; ii < end; ii++)
		{
			tsDeseasonalization[ii] = TimeSeries[ii] * SeasonalIndex[i];
		}
	}

	return tsDeseasonalization;
}

vector<double> Transformation::getSeasonalIndex(){

	return SeasonalIndex;
}


vector <double> Transformation::Aggregation(int seasonalPeriod){

	int tsShift = 0;
	int amtSeasonalPeriod = tsSizeValue / seasonalPeriod;

	vector <double> tsAggregation(amtSeasonalPeriod);

	if (tsSizeValue % seasonalPeriod != 0)
	{
		tsShift = tsSizeValue - amtSeasonalPeriod * seasonalPeriod;
	}

	// получаем итог
	for (int i = 0; i < amtSeasonalPeriod; i++)
	{
		int begin = tsShift + i * seasonalPeriod;
		int end = begin + seasonalPeriod;

		for (int ii = begin; ii < end; ii++)
		{
			tsAggregation[i] += TimeSeries[ii];
		}
	}

	return tsAggregation;

}

vector <double> Transformation::invAggregation(){

	int sumSeasonalPeriod = tsSizeValue * seasonalPeriod;

	vector <double> tsDeaggregation(sumSeasonalPeriod);

	// получаем итог
	for (int i = 0; i < tsSizeValue; i++)
	{
		int begin = i * seasonalPeriod;
		int end = begin + seasonalPeriod;

		for (int ii = begin; ii < end; ii++)
		{
			tsDeaggregation[ii] = TimeSeries[i] / seasonalPeriod;
		}
	}

	return tsDeaggregation;
}


vector<double> Transformation::Normalization(){

	vector <double> tsNormalization(tsSizeValue);

	valueSd = 0;

	for (int i = 0; i < tsSizeValue; i++)
	{
		valueSd += pow(TimeSeries[i] - valueMean, 2);
	}

	valueSd = sqrt(valueSd / (tsSizeValue - 1));

	for (int i = 0; i < tsSizeValue; i++)
	{
		tsNormalization[i] = (TimeSeries[i] - valueMean) / valueSd;
	}

	return  tsNormalization;

}

vector <double> Transformation::invNormalization()
{

	vector <double> tsNormalization(tsSizeValue);

	for (int i = 0; i < tsSizeValue; i++)
	{
		tsNormalization[i] = TimeSeries[i] * valueSd + valueMean;
	}

	return  tsNormalization;

}