Skip to content

autoreg process estimates closed-form solution of periodograms

Arin Wongprommoon requested to merge autoreg into master

Added the 'autoreg' process to estimate the closed-form solution of periodograms, following https://www.biorxiv.org/content/10.1101/2020.09.23.309724v1. This addresses issue #1 (closed).

In my implementation, the basic functionality proposed in issue #1 (closed) is included. Additionally, the process returns a third dataframe as an output, and this dataframe contains the optimal orders (see b7802cfd).

This process is modelled after the 'fft' process, https://git.ecdf.ed.ac.uk/swain-lab/time-series-pipeline/-/blob/1a2924afb9b7c5c22e68cec8a49c42016824fc55/pipeline/ar_grima2020.py and 'autoreg' in https://git.ecdf.ed.ac.uk/swain-lab/time-series-pipeline/-/blob/1a2924afb9b7c5c22e68cec8a49c42016824fc55/pipeline/periodogram.py

Merge request reports