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cordura21


Total Posts: 234
Joined: Aug 2009
 
Posted: 2012-01-27 16:16
Hi, is there some classes, packages, etc... for C#/.net that gives time series functionality like the xts/zoo package in R or scipy in Python ?

I searched the web the same way I searched for these packages but couldn't find anything.

How do you do Time Series analysis in .net?

Regards, Cord

Vespertilio homo est cientificus

Praetorian


Total Posts: 224
Joined: Apr 2009
 
Posted: 2012-01-27 17:10
I have had the same issue with Java and ended up implementing it myself. There are a few time series packages out there, but usually they store their indices in HashTrees, B-Trees or whatever. These kind of data structures guarantee O(log n) insertion and lookup. I am fine with the lookup. But because sane time series data is already stored pre-sorted on your disc, I am not fine with O(log n) insertion. That's the part where you can improve. Store your indices in arrays and get O(1) insertion for pre-sorted data. For random insertion you have to do binary search before insertion. Lookup can also be implemented by Binary Search. With this approach you pay your fine when deleting, because some parts of an array have to be copied/moved.

It all boils down to your application. You never can have optimal insertion, lookup and deletion in the same implementation.

On a side note I find it also highly discomfortable that these kind of problems are not taken care of in the major libraries for the "big" languages.

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3169
Joined: Jul 2004
 
Posted: 2012-01-27 17:10
There are some open source DSP packages for C# that might overlap with what you're after. Exocortex springs to mind.

"What's wrong with that if the other tier is going in the wrong direction?" Mrs. T's response to being warned of a "two-tier" Europe

cordura21


Total Posts: 234
Joined: Aug 2009
 
Posted: 2012-01-27 19:14
I want to do simple stuff that require time alignment of the series, frequency conversion (daily monthly, etc...) fill missing value with interpolation or repetition, etc...

Vespertilio homo est cientificus

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3169
Joined: Jul 2004
 
Posted: 2012-01-27 19:47
I misunderstood your question. I was thinking "time series" as in ARIMA, frequency domain, etc.

You can easily write your own routines to up/down-sample data, etc. I don't know of a package that does that but QLNet will definitely help.

"What's wrong with that if the other tier is going in the wrong direction?" Mrs. T's response to being warned of a "two-tier" Europe

butri


Total Posts: 7
Joined: Jan 2012
 
Posted: 2012-01-28 07:29

Hello everyone, I'm new here and reading you for a while. Great forum...

The .Net Framework 4 release, includes a chart library. Under namespace "DataVisualization" there are some classes("DataManipulator") could help you.

Another way could be to use the Reactive Extensions. That's new and powerful. It's on MS Labs.

 

 


freewind


Total Posts: 5
Joined: Sep 2011
 
Posted: 2012-02-02 14:08
I'm using GSL. The libraries are in C++ but you can use them in C# as managed.

dd4nyc


Total Posts: 61
Joined: Aug 2005
 
Posted: 2012-02-02 14:37
@freewind Is this (http://www.gnu.org/software/gsl/) the GSL you mean?

bluelou


Total Posts: 70
Joined: Jan 2009
 
Posted: 2012-02-24 17:10
Have you considered using statconn to call your R results into C#? You could pre-process your data in C#, run your calcs in R, and then work again with the post-processed data in C#. It's not fast but it works.

http://www.statconn.com/

Je suis ce que je suis, et c'est tout ce que je suis -Popeye

Nonius
Founding Member
Nonius Unbound
Total Posts: 12736
Joined: Mar 2004
 
Posted: 2012-03-28 13:23
any decent Java classes for time series? I've googled and am lost with all of the possibilities.

Chiral is Tyler Durden

Praetorian


Total Posts: 224
Joined: Apr 2009
 
Posted: 2012-03-28 19:31
not very fancy, but useable: take the timeseries classes from jquantlib (the java port of quantlib)

Nonius
Founding Member
Nonius Unbound
Total Posts: 12736
Joined: Mar 2004
 
Posted: 2012-03-29 12:41
thanks Praetorian; I'll look into it.

Chiral is Tyler Durden

Jurassic


Total Posts: 152
Joined: Mar 2018
 
Posted: 2018-05-20 21:01
Is there any better way of dealing with time series data in java in 2018?
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