Re: [boost] Upcoming review of Time Series

From: Hugo Duncan (hugoduncan_at_[hidden])
Date: 2007-07-26 09:01:45

Hi,

> And if anybody would like to peruse the documentation online, you can
> find it here:
>
>    http://boost-sandbox.sourceforge.net/libs/time_series/doc/html/

Since I am currently doinng some time series work, I thought I would have  
a look.  First glance shows an impressive amount of clear thinking and  
extensability.  Below are some use cases that are important to me, and  
which I can not immeadiatley see as possible within the framework.

I see no mention of how to handle large time series that need processing  
incrementally.  There are a lot of concepts in there, so I may well have  
missed something.  At the moment I handle these by reading the data into a  
circular buffer with enough capacity to provide as much time history as I  
need for the algorithms to run at each time point.  Using some  
imagination, I can see using the library to do this in either of two ways.

The first would be to use the existing series types and update the series  
values for each new datapoint - but I don't see a way of discarding data  
points.

The second would be to define a new series type that accepted new values,  
discarded old values, and generally did all the book keeping - is that  
possible within the confines of the framework?

I also have data that has non-constant sampling periods.  At the moment I  
handle these by piecewise sampling to another (constant period) timebase.   
Can this fitted into the framework?

Finally, I don't see a convolution algorithm for applying filters.   
Probably easy enough to implement, and is in my view important enough to  
include in the core algorithms.

Hugo