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Gabriele Gilardi 2020-06-28 11:37:23 +09:00
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@ -22,7 +22,7 @@ Characteristics
- The code has been written and tested in Python 3.7.7. - The code has been written and tested in Python 3.7.7.
- Implementation of several digital signal filters and functions for the - Implementation of several digital signal filters and functions for the
generation of synthetic (surrogate) time-series. generation of synthetic (surrogate) time-series.
- Filter list (file <filters.py>): - Filters (file <filters.py>):
Generic Generic filter Generic Generic filter
SMA Simple moving average SMA Simple moving average
EMA Exponential moving average EMA Exponential moving average
@ -75,7 +75,7 @@ a
Y Y
Filtered dataset (output). Filtered dataset (output).
X_synt X_synt
Surrogate/synthetic generated time-series (output) Surrogate/synthetic generated time-series (output).
n_reps n_reps
Number of surrogates/synthetic time-series to generate. Number of surrogates/synthetic time-series to generate.
@ -87,14 +87,14 @@ results are shown in file <Results_Examples.pdf>.
- Filter: example showing filtering using an EMA, a Butterworth modified - Filter: example showing filtering using an EMA, a Butterworth modified
filter, and a type 2 Zero-lag EMA. filter, and a type 2 Zero-lag EMA.
- Kalman: example showing filtering using the three types of Kalman filter, - Kalman: example showing filtering using the three types of Kalman filter
alpha, alpha-beta, and alpha-beta-gamma. (alpha, alpha-beta, and alpha-beta-gamma).
- FFT_boot: example showing the generation of surrogates time-series using - FFT_boot: example showing the generation of surrogates time-series using
the Fourier-transform algorithm and the discrete differences. the Fourier-transform algorithm and discrete differences.
- ME_boot: example showing the generation of surrogates time-series using the - ME_boot: example showing the generation of surrogates time-series using the
using maximum entropy bootstrap algorithm and the discrete differences. maximum entropy bootstrap algorithm and discrete differences.
- Response: example showing the frequency response and lag/group delay for a - Response: example showing the frequency response and lag/group delay for a
band-pass filter. band-pass filter.

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README.md
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@ -12,7 +12,7 @@
- The code has been written and tested in Python 3.7.7. - The code has been written and tested in Python 3.7.7.
- Implementation of several digital signal filters and functions for the generation of synthetic (surrogate) time-series. - Implementation of several digital signal filters and functions for the generation of synthetic (surrogate) time-series.
- Filter list (*filters.py*): - Filters (*filters.py*):
- **Generic** Generic filter. - **Generic** Generic filter.
- **SMA** Simple moving average. - **SMA** Simple moving average.
- **EMA** Exponential moving average. - **EMA** Exponential moving average.
@ -57,20 +57,20 @@
`Y` Filtered dataset (output). `Y` Filtered dataset (output).
`X_synt` Surrogate/synthetic generated time-series (output) `X_synt` Surrogate/synthetic generated time-series (output).
`n_reps` Number of surrogates/synthetic time-series to generate. `n_reps` Number of surrogates/synthetic time-series to generate.
## Examples ## Examples
There are five examples (all of them use the dataset in *spx.csv*). The results are shown [here](Results_Examples.pdf). There are five examples (all of them use the dataset in *spx.csv*). The results are shown [here](Result_Examples.pdf).
- **Filter** Example showing filtering using an EMA, a Butterworth modified filter, and a type 2 Zero-lag EMA. - **Filter** Example showing filtering using an EMA, a Butterworth modified filter, and a type 2 Zero-lag EMA.
- **Kalman** Example showing filtering using the three types of Kalman filter, alpha, alpha-beta, and alpha-beta-gamma. - **Kalman** Example showing filtering using the three types of Kalman filter (alpha, alpha-beta, and alpha-beta-gamma).
- **FFT_boot** Example showing the generation of surrogates time-series using the Fourier-transform algorithm and the discrete differences. - **FFT_boot** Example showing the generation of surrogates time-series using the Fourier-transform algorithm and discrete differences.
- **ME_boot** Example showing the generation of surrogates time-series using the using maximum entropy bootstrap algorithm and the discrete differences. - **ME_boot** Example showing the generation of surrogates time-series using the maximum entropy bootstrap algorithm and discrete differences.
- **Response** Example showing the frequency response and lag/group delay for a band-pass filter. - **Response** Example showing the frequency response and lag/group delay for a band-pass filter.