This example explains how to calculate the **prior moving average of a time series** using the SPMF open-source data mining library.

How to run this example?

**If you are using the graphical interface,**(1) choose the**"Calculate_prior_moving_average_of_time_series"**algorithm**,**(2) select the input file**"contextMovingAverage.txt"**, (3) set the separator to the comma ',' (4) set the window size to 3, and then (5) click "Run algorithm".**If you want to execute this example from the command line**, then execute this command:

java -jar spmf.jar run**Calculate_prior_moving_average_of_time_series**contextMovingAverage.txt output.txt 3 ,

in a folder containing spmf.jar and the example input file**contextMovingAverage**.txt.**If you are using the source code version of SPMF,**to run respectively**this example****,**launch the file**"MainTestPriorMovingAverageFromFileToFile.java"**in the package**ca.pfv.SPMF.tests**.

What is the calculation of the **prior moving average for time series**?

Calculating the

prior moving averageis a simple but popular way of smoothing a time series to remove noise. It takes as parameter a window sizew(a number of data point). Then, for a time series, it replaces each data point by the average of its thewprevious data points.

What is the input of this algorithm?

The input is one or more time series. A

time seriesis a sequence of floating-point decimal numbers (double values). A time-series can also have a name (a string).Time series are used in many applications. An example of time series is the price of a stock on the stock market over time. Another example is a sequence of temperature readings collected using sensors.

For this example, consider the following

time series:

NameData pointsECG1 3,2,8,9,8,9,8,7,6,7,5,4,2,7,9,8,5 This example

time series databaseis provided in the filecontextMovingAverage.txtof the SPMF distribution.In SPMF, to read a time-series file, it is necessary to indicate the "separator", which is the character used to separate data points in the input file. In this example, the "separator" is the comma ',' symbol.

To calculate the

prior moving average, it is necessary to provide awindow sizew,which is a number of data points. In this example, this parameter will be set to 3 data points. Thus, theprior moving averagewill be calculated for each of the above time series using a window size of 3 data points.

What is the output?

The output is the moving average of the time series received as input. The moving average is calculated by replacing each data point in each time series by the average of w previous data points in the same time series.

For example, in the above example, if the window size is set to 3 data points, the result is:

NameData pointsECG1_PMAVG 3.0,2.5,4.33,6.33,8.33,8.67,8.33,8.0,7.0,6.667,6.00,5.33,3.67,4.33,6.0,8.0,7.33 To see the result visually, it is possible to use the

SPMF time series viewer, described in another example of this documentation. Here is the original time series and the prior moving average for window = 3.It is possible to see that the time series are less noisy.We can increase the values of the window parameter to obtain a yet more smooth time series. For example, if we set window = 7:

Input file format

The

input file formatisdefined as follows. It is a text file. The text file contains one or more time series. Each time series is represented by two lines in the input file. The first line contains the string "@NAME=" followed by the name of the time series. The second line is a list of data points, where data points are floating-point decimal numbers separated by a separator character (here the ',' symbol).For example, the input file of the previous example, named

contextMovingAverage.txtis defined as follows:@NAME=ECG2

3,2,8,9,8,9,8,7,6,7,5,4,2,7,9,8,5Consider the first two lines. It indicates that the first time series name is "ECG2" and that it consits of the data points: 3,2,8,9,8,9,8,7,6,7,5,4,2,7,9,8, and 5. Then, three other time series are provided in the same file, which follows the same format.

But note that it is possible to have more than one time series per file. For example, this is another input file called

contextSax.txt, which contains 4 time series.@NAME=ECG1

1,2,3,4,5,6,7,8,9,10

@NAME=ECG2

1.5,2.5,10,9,8,7,6,5

@NAME=ECG3

-1,-2,-3,-4,-5

@NAME=ECG4

-2.0,-3.0,-4.0,-5.0,-6.0

Output file format

The

output file formatis the same as the input format. For example, there is the result for window = 3:@NAME=ECG2_PMAVG

3.0,2.5,4.333333333333333,6.333333333333333,8.333333333333334,8.666666666666668,8.333333333333334,8.000000000000002,7.000000000000002,6.66666666666667,6.000000000000002,5.333333333333335,3.6666666666666683,4.333333333333335,6.000000000000002,8.000000000000002,7.33333333333333

Implementation details

It is sometimes said that the moving average of a time series should not include the first

wpoints because for these points there is not enough previous points for calculating the prior average withwpoints. In this implementation, a design decision is that the moving average should contain as many data points as the original time series. To calculate the moving average of the firstwpoints,it was decided that the first point of the moving average is identical to the first point in the original time series, the second point is the average the two first points, .. the w-th point is the average of thew first points of the original time series.Note that in SPMF, other variations of the moving average called the "cumulative moving average" and "central moving average" are also offered.

Where can I get more information about the prior moving average?

The prior moving average is a basic operation for analyzing time series. It is described in many websites and books.

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