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From Greg Brandt <brandt.g...@gmail.com>
Subject [math] A Java implementation of STL: A Seasonal-Trend Decomposition Procedure Based on Loess
Date Fri, 18 Mar 2016 03:31:14 GMT
Hey Commons Math,

As part of some work on anomaly detection in time series data, a couple
colleagues and I have put together a Java implementation of STL
<http://www.wessa.net/download/stl.pdf>, which we think might be generally
useful.

It is based on commons-math3 LoessInterpolator
<http://commons.apache.org/proper/commons-math/apidocs/org/apache/commons/math3/analysis/interpolation/LoessInterpolator.html>,
so we thought it might be a natural contribution to the project.

The code currently lives here: https://github.com/brandtg/stl-java. From a
usability perspective, I think it needs some cleanup work, and it needs
more thorough testing.

However, an earlier variant of the code has run in production with decent
results on reasonably large time series, so it is not too far off.

Is this something that would be valuable to Commons Math? A cursory search
of JIRA and the mailing lists didn't turn up with anything, so my apologies
if this has been previously discussed.

If so, I can massage the code to be consistent with the Developers Guide,
simplify usage, and add more test coverage, then follow the recommendations
there to create a patch.

Please feel free to submit pull requests or issues on the Github repo in
addition to discussion on this thread.

Thanks,
-Greg

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