RonsenbergVI / trendpy

Bayesian trend filtering micro library. http://trendpy.readthedocs.io/en/latest/
MIT License
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bayesian gibbs-sampler mcmc trend-filtering

trendpy (alpha)

Bayesian trend filtering micro library

I am currently redesigning the API and will release an alpha version in late August.

Documentation

The documentation can be found here.

Contributing

Contribution will be welcomed once a first stable release is ready. [Contact Me]()

Import data

Data is imported from a file (trendpy only supports csv for now).


# import data from csv file (with dates and price) -- for now trendpy only
# support 1D time series

from trendpy import filter
from pandas import read_csv

filename='data.csv'
data = read_csv(filename)

filtered = filter(data['time series'])

Requirements

These requirements reflect the testing environment. It is possible that trendpy will work with older versions.

Sources

Research papers that helped develop this library

Support or Contact

Having trouble with trendpy? Check out our documentation.