Documentation of 'com.github.servicenow.ds.stats.stl.StlFitStats' Java class
StlFitStats
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com.github.servicenow.ds.stats.stl

Class StlFitStats


  • public class StlFitStats
extends java.lang.Object
    StlFitStats analyzes an STL decomposition, computing basic statistics for the original data and the decomposition. Created by Jim Crotinger on 1-Jun-2016

    • Constructor Detail

      • StlFitStats

        public StlFitStats(SeasonalTrendLoess.Decomposition stl)
        Analyze the STL decomposition, computing basic statistics for the original data and the decomposition.
        Parameters:
        stl - a SeasonalTrendLoess object after the decomposition is performed

    • Method Detail

      • getTrendMean

        public double getTrendMean()
        Get the mean of the trend.
        Returns:
        the mean value of the trend

      • getTrendRange

        public double getTrendRange()
        Get the range (max - min) of the trend.
        Returns:
        the range of the trend

      • getDataMean

        public double getDataMean()
        Get the mean of the data.
        Returns:
        the mean value of the data

      • getDataVariance

        public double getDataVariance()
        Get the variance of the data.
        Returns:
        the variance of the data

      • getDataStdDev

        public double getDataStdDev()
        Get the standard deviation of the data.
        Returns:
        the standard deviation of the data

      • getSeasonalMean

        public double getSeasonalMean()
        Get the mean of the seasonal component. Should be near zero if the length is an even multiple of the period.
        Returns:
        the mean value of the seasonal component

      • getSeasonalVariance

        public double getSeasonalVariance()
        Get the variance of the seasonal component.
        Returns:
        the variance of the seasonal component

      • getSeasonalStdDev

        public double getSeasonalStdDev()
        Get the standard deviation of the seasonal component.
        Returns:
        the standard deviation of the seasonal component

      • getSeasonalRange

        public double getSeasonalRange()
        Get the range (max - min) of the seasonal component.
        Returns:
        the range of the seasonal component

      • getResidualMean

        public double getResidualMean()
        Get the mean of the residual. Should be near zero.
        Returns:
        the mean of the residual

      • getResidualVariance

        public double getResidualVariance()
        Get the variance of the residual.
        Returns:
        the variance of the residual

      • getResidualStdDev

        public double getResidualStdDev()
        Get the standard deviation of the residual.
        Returns:
        the standard deviation of the residual

      • getDeSeasonalMean

        public double getDeSeasonalMean()
        Get the deseasonalized mean.
        Returns:
        the mean of the data after the seasonal component is removed.

      • getDeSeasonalVariance

        public double getDeSeasonalVariance()
        Get the deseasonalized variance. This is the same as the trend-free variance since if the trend is constant it will drop out of the variance.
        Returns:
        the variance of the data after the seasonal component is removed.

      • getDeTrendMean

        public double getDeTrendMean()
        Get the deseasonalized mean.
        Returns:
        the mean of the data after the seasonal component is removed.

      • getDeTrendVariance

        public double getDeTrendVariance()
        Get the deseasonalized variance. This is the same as the trend-free variance since if the trend is constant it will drop out of the variance.
        Returns:
        the variance of the data after the seasonal component is removed.

      • getEstimatedVarianceOfResidualSampleVariance

        public double getEstimatedVarianceOfResidualSampleVariance()
        Get the estimated variance of the residual sample variance. Based on the assumption that the residuals are normal.
        Returns:
        the estimate of the variance of the residual sample variance.

      • getTrendinessZScore

        public double getTrendinessZScore()
        Get a Z-Score for the residual variance with no trend relative to the statistics from the STL residual.
        Returns:
        the 'trend Z-Score'

      • getSeasonalZScore

        public double getSeasonalZScore()
        Get a Z-Score for the residual variance with no seasonality relative to the statistics from the STL residual.
        Returns:
        the 'seasonal Z-Score'

      • getResidualLogLikelihood

        public double getResidualLogLikelihood()
        Get the residual log likelihood, evaluated when the variance is the MLE variance of the residual given that the expected residual mean is zero.
        Returns:
        log-likelihood

      • getResidualLogLikelihood

        public double getResidualLogLikelihood(double sigma)
        Compute the residual log likelihood of the residual with the specified standard deviation.
        Parameters:
        sigma - standard deviation
        Returns:
        residual log-likelihood

      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object
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