python时间序列峰值检测_使用Swift进行生长时间序列的峰值检测

将流畅的z-score算法翻译成Swift

好吧,快点帮助你：这是Algo到Swift：Demo in Swift Sandbox的翻译

警告：我绝不是一个快速的程序员,因此可能会出现错误！

还要注意我已经关闭了负信号,因为OP的目的我们只想要正信号.

SWIFT代码：

import Glibc // or Darwin/ Foundation/ Cocoa/ UIKit (depending on OS)

// Function to calculate the arithmetic mean

func arithmeticMean(array: [Double]) -> Double {

var total: Double = 0

for number in array {

total += number

}

return total / Double(array.count)

}

// Function to calculate the standard deviation

func standardDeviation(array: [Double]) -> Double

{

let length = Double(array.count)

let avg = array.reduce(0,{$0 + $1}) / length

let sumOfSquaredAvgDiff = array.map { pow($0 - avg,2.0)}.reduce(0,{$0 + $1})

return sqrt(sumOfSquaredAvgDiff / length)

}

// Function to extract some range from an array

func subArray(array: [T],s: Int,e: Int) -> [T] {

if e > array.count {

return []

}

return Array(array[s..

}

// Smooth z-score thresholding filter

func ThresholdingAlgo(y: [Double],lag: Int,threshold: Double,influence: Double) -> ([Int],[Double],[Double]) {

// Create arrays

var signals = Array(repeating: 0,count: y.count)

var filteredY = Array(repeating: 0.0,count: y.count)

var avgFilter = Array(repeating: 0.0,count: y.count)

var stdFilter = Array(repeating: 0.0,count: y.count)

// Initialise variables

for i in 0...lag-1 {

signals[i] = 0

filteredY[i] = y[i]

}

// Start filter

avgFilter[lag-1] = arithmeticMean(array: subArray(array: y,s: 0,e: lag-1))

stdFilter[lag-1] = standardDeviation(array: subArray(array: y,e: lag-1))

for i in lag...y.count-1 {

if abs(y[i] - avgFilter[i-1]) > threshold*stdFilter[i-1] {

if y[i] > avgFilter[i-1] {

signals[i] = 1 // Positive signal

} else {

// Negative signals are turned off for this application

//signals[i] = -1 // Negative signal

}

filteredY[i] = influence*y[i] + (1-influence)*filteredY[i-1]

} else {

signals[i] = 0 // No signal

filteredY[i] = y[i]

}

// Adjust the filters

avgFilter[i] = arithmeticMean(array: subArray(array: filteredY,s: i-lag,e: i))

stdFilter[i] = standardDeviation(array: subArray(array: filteredY,e: i))

}

return (signals,avgFilter,stdFilter)

}

// Demo

let samples = [0.01,0.01]

// Run filter

let (signals,stdFilter) = ThresholdingAlgo(y: samples,lag: 10,threshold: 3,influence: 0.2)

// Print output to console

print("\nOutput: \n ")

for i in 0...signals.count - 1 {

print("Data point \(i)\t\t sample: \(samples[i]) \t signal: \(signals[i])\n")

}

// Raw data for creating a plot in Excel

print("\n \n Raw data for creating a plot in Excel: \n ")

for i in 0...signals.count - 1 {

print("\(i+1)\t\(samples[i])\t\(signals[i])\t\(avgFilter[i])\t\(stdFilter[i])\n")

}

对于样本数据的结果(对于滞后= 10,阈值= 3,影响= 0.2)：

更新

您可以通过对平均值和标准差的滞后使用不同的值来提高算法的性能.例如.：

// Smooth z-score thresholding filter

func ThresholdingAlgo(y: [Double],lagMean: Int,lagStd: Int,influenceMean: Double,influenceStd: Double) -> ([Int],count: y.count)

var filteredYmean = Array(repeating: 0.0,count: y.count)

var filteredYstd = Array(repeating: 0.0,count: y.count)

// Initialise variables

for i in 0...lagMean-1 {

signals[i] = 0

filteredYmean[i] = y[i]

filteredYstd[i] = y[i]

}

// Start filter

avgFilter[lagMean-1] = arithmeticMean(array: subArray(array: y,e: lagMean-1))

stdFilter[lagStd-1] = standardDeviation(array: subArray(array: y,e: lagStd-1))

for i in max(lagMean,lagStd)...y.count-1 {

if abs(y[i] - avgFilter[i-1]) > threshold*stdFilter[i-1] {

if y[i] > avgFilter[i-1] {

signals[i] = 1 // Positive signal

} else {

signals[i] = -1 // Negative signal

}

filteredYmean[i] = influenceMean*y[i] + (1-influenceMean)*filteredYmean[i-1]

filteredYstd[i] = influenceStd*y[i] + (1-influenceStd)*filteredYstd[i-1]

} else {

signals[i] = 0 // No signal

filteredYmean[i] = y[i]

filteredYstd[i] = y[i]

}

// Adjust the filters

avgFilter[i] = arithmeticMean(array: subArray(array: filteredYmean,s: i-lagMean,e: i))

stdFilter[i] = standardDeviation(array: subArray(array: filteredYstd,s: i-lagStd,stdFilter)

}

然后使用例如let(signals,stdFilter)= ThresholdingAlgo(y：samples,lagMean：10,lagStd：100,threshold：2,influenceMean：0.5,influenceStd：0.1)可以给出更好的结果：