added holtWinters function

pull/372/head
Scott Anderson 2019-08-06 14:11:46 -06:00
parent c4e3669a88
commit ba7bcd6452
6 changed files with 119 additions and 5 deletions

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@ -27,7 +27,7 @@ _**Function type:** Aggregate_
doubleEMA(n: 5)
```
##### Double exponential moving average rules:
##### Double exponential moving average rules
- A double exponential moving average is defined as `doubleEMA = 2 * EMA_N - EMA of EMA_N`.
- `EMA` is an exponential moving average.
- `N = n` is the period used to calculate the EMA.

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@ -25,7 +25,7 @@ _**Function type:** Aggregate_
exponentialMovingAverage(n: 5)
```
##### Exponential moving average rules:
##### Exponential moving average rules
- The first value of an exponential moving average over `n` values is the
algebraic mean of `n` values.
- Subsequent values are calculated as `y(t) = x(t) * k + y(t-1) * (1 - k)`, where:

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@ -0,0 +1,114 @@
---
title: holtWinters() function
description: >
The `holtWinters()` function applies the Holt-Winters forecasting method to input tables.
aliases:
- /v2.0/reference/flux/functions/transformations/aggregates/holtwinters
menu:
v2_0_ref:
name: holtWinters
parent: built-in-aggregates
weight: 501
related:
- https://docs.influxdata.com/influxdb/latest/query_language/functions/#holt-winters, InfluxQL HOLT_WINTERS()
---
The `holtWinters()` function applies the Holt-Winters forecasting method to input tables.
_**Function type:** Aggregate_
_**Output data type:** Float_
```js
holtWinters(
n: 10,
seasonality: 4,
interval: 30d,
withFit: false,
timeColumn: "_time",
column: "_value",
)
```
The Holt-Winters method predicts [`n`](#n) seasonally-adjusted values for the
specified [`column`](#column) at the specified [`interval`](#interval).
For example, if `interval` is `6m` and `n` is `3`, results include three predicted
values six minutes apart.
#### Seasonality
[`seasonality`](#seasonality) delimits the length of a seasonal pattern according to `interval`.
If your `interval` is `2m` and `s` is `3`, then the seasonal pattern occurs every
six minutes or every three data points.
If there is no seasonality in the data, set `seasonality` to `0`.
#### Space values evenly in time
`holtWinters()` expects values evenly spaced in time.
To ensure this, it applies the following rules:
- `interval` is used to divide the into buckets based time.
- If a bucket includes many values, the first value is used.
- If a bucket includes no values, a missing value (`null`) is added for that bucket.
By default, `holtWinters()` uses the first value in each time bucket.
Use [`window()`](/v2.0/reference/flux/functions/built-in/transformations/window/)
and [selectors](/v2.0/reference/flux/functions/built-in/transformations/selectors/)
or [aggregates](/v2.0/reference/flux/functions/built-in/transformations/aggregates/),
or use [`aggregateWindow()`](/v2.0/reference/flux/functions/built-in/transformations/aggregates/aggregatewindow)
to specify other values to use in the `holtWinters()` calculation.
#### Fitted model
The `holtWinters()` function applies the [Nelder-Mead optimization](https://en.wikipedia.org/wiki/Nelder%E2%80%93Mead_method)
to include "fitted" data points in results when [`withFit`](#withfit) is set to `true`.
#### Null timestamps
`holtWinters()` discards rows with `null` timestamps before running the Holt-Winters calculation.
#### Null values
`holtWinters()` treats `null` values as missing data points and includes them in the Holt-Winters calculation.
## Parameters
### n
The number of values to predict.
_**Data type: Integer**_
### seasonality
The number of points in a season.
Defaults to `0`.
_**Data type: Integer**_
### interval
The interval between two data points.
_**Data type: Duration**_
### withFit
Return [fitted data](#fitted-model) in results.
Defaults to `false`.
_**Data type: Boolean**_
### timeColumn
The time column to use.
Defaults to `"_time"`.
_**Data type: String**_
### column
The column to operate on.
Defaults to `"_value"`.
_**Data type: String**_
## Examples
##### Use aggregateWindow to prepare data for holtWinters
```js
from(bucket: "example-bucket")
|> range(start: -7y)
|> filter(fn: (r) => r._field == "water_level")
|> aggregateWindow(every: 379m, fn: first).
|> holtWinters(n: 10, seasonality: 4, interval: 379m)
```

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@ -24,7 +24,7 @@ _**Function type:** Aggregate_
movingAverage(n: 5)
```
##### Moving average rules:
##### Moving average rules
- The average over a period populated by `n` values is equal to their algebraic mean.
- The average over a period populated by only `null` values is `null`.
- Moving averages skip `null` values.

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@ -27,7 +27,7 @@ relativeStrengthIndex(
)
```
##### Relative strength index rules:
##### Relative strength index rules
- The general equation for calculating a relative strength index (RSI) is
`RSI = 100 - (100 / (1 + (AVG GAIN / AVG LOSS)))`.
- For the first value of the RSI, `AVG GAIN` and `AVG LOSS` are averages of the `n` period.

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@ -29,7 +29,7 @@ _**Function type:** Aggregate_
tripleEMA(n: 5)
```
##### Triple exponential moving average rules:
##### Triple exponential moving average rules
- A triple exponential moving average is defined as `tripleEMA = (3 * EMA_1) - (3 * EMA_2) + EMA_3`.
- `EMA_1` is the exponential moving average of the original data.
- `EMA_2` is the exponential moving average of `EMA_1`.