A Multipurpose Library for Synthetic Time Series Generation in Python

Related tags

Machine Learning python generator timeseries time-series python3 series
Overview

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TimeSynth

Multipurpose Library for Synthetic Time Series

Please cite as:
J. R. Maat, A. Malali, and P. Protopapas, “TimeSynth: A Multipurpose Library for Synthetic Time Series in Python,” 2017. [Online]. Available: http://github.com/TimeSynth/TimeSynth

TimeSynth is an open source library for generating synthetic time series for model testing. The library can generate regular and irregular time series. The architecture allows the user to match different signals with different architectures allowing a vast array of signals to be generated. The available signals and noise types are listed below.

N.B. We only support Python 3.6+ at this time.

Signal Types

  • Harmonic functions(sin, cos or custom functions)
  • Gaussian processes with different kernels
    • Constant
    • Squared exponential
    • Exponential
    • Rational quadratic
    • Linear
    • Matern
    • Periodic
  • Pseudoperiodic signals
  • Autoregressive(p) process
  • Continuous autoregressive process (CAR)
  • Nonlinear Autoregressive Moving Average model (NARMA)

Noise Types

  • White noise
  • Red noise

Installation

To install the package via github,

git clone https://github.com/TimeSynth/TimeSynth.git
cd TimeSynth
python setup.py install

Using TimeSynth

$ python

The code snippet demonstrates creating a irregular sinusoidal signal with white noise.

>>> import timesynth as ts
>>> # Initializing TimeSampler
>>> time_sampler = ts.TimeSampler(stop_time=20)
>>> # Sampling irregular time samples
>>> irregular_time_samples = time_sampler.sample_irregular_time(num_points=500, keep_percentage=50)
>>> # Initializing Sinusoidal signal
>>> sinusoid = ts.signals.Sinusoidal(frequency=0.25)
>>> # Initializing Gaussian noise
>>> white_noise = ts.noise.GaussianNoise(std=0.3)
>>> # Initializing TimeSeries class with the signal and noise objects
>>> timeseries = ts.TimeSeries(sinusoid, noise_generator=white_noise)
>>> # Sampling using the irregular time samples
>>> samples, signals, errors = timeseries.sample(irregular_time_samples)
Comments
  • import ts raises ModuleNotFoundError: No module named 'symengine'

    import ts raises ModuleNotFoundError: No module named 'symengine'

    import timesynth as ts Traceback (most recent call last): File "", line 1, in File "/Users/sumitra/work/TimeSynth/timesynth/init.py", line 2, in from . import signals File "/Users/sumitra/work/TimeSynth/timesynth/signals/init.py", line 5, in [_basename(f)[:-3] for f in _glob.glob(_dirname(file) + "/*.py")
    File "", line 4, in File "/Users/sumitra/work/TimeSynth/timesynth/signals/dde.py", line 6, in from jitcdde import y, t, jitcdde File "/Users/sumitra/work/scheduling/venv/lib/python3.7/site-packages/jitcdde-1.3.1-py3.7.egg/jitcdde/init.py", line 1, in File "/Users/sumitra/work/scheduling/venv/lib/python3.7/site-packages/jitcdde-1.3.1-py3.7.egg/jitcdde/_jitcdde.py", line 6, in ModuleNotFoundError: No module named 'symengine'

    opened by subrata4096 13
  • Add this library to pip or conda

    Add this library to pip or conda

    Hi there,

    first of all thanks for sharing this project! It is a great help. I would love to add this via pip or conda instead of the classic installation procedure. Do you have plans of doing that? In case of interest we could also share the work. When looking at e.g. https://packaging.python.org/tutorials/packaging-projects/ it seems rather easy.

    Best wishes

    opened by 1kastner 8
  • symengine==0.4.0 forestalls Python 3.8 usage

    symengine==0.4.0 forestalls Python 3.8 usage

    Is there something about symengine>0.4.0 that breaks TimeSynth? Because this requirement keeps your library from being used in Python 3.8

    I like your library, but I don't want to stay stuck in 3.7 if I can avoid it.

    opened by swight-prc 4
  • jitcdde needs == 0.32

    jitcdde needs == 0.32

    Current git version of jitcdde does not have provide_advanced_symbols, so the import timesynth as ts fails.

    The commit that makes the change in jitcdde is here: https://github.com/neurophysik/jitcdde/commit/7dc8e85e1057ac9ffe8bb279fe83d9aa4e442454#diff-3f8fb500f61af0428394d41b462c2632

    The workaround is simply:

    pip install jitcdde==0.32
    opened by ricpruss 4
  • Change symengine requirement to >= instead of ==

    Change symengine requirement to >= instead of ==

    Before: symengine==0.4.0 meant it was not possible to use this library in Python 3.8

    Now: symengine>=0.4.0 means symengine is not keeping this library out of Python 3.8

    closes #19

    opened by swight-prc 1
  • Using an own timeseries

    Using an own timeseries

    Hi,

    I've got my own timeseries to which I want to add noise using the noise generator. Is there a way to integrate my own timeseries as if it was generated by the package? Within "timeseries.py", I've already circumvented the need for vectorization (which gave an attribute error) by ignoring the if and elif statements.

    However, when running, it says that my dataframe has no attribute "sample_next". I understand why this is, but I was wondering if there is an easy way to do something like "sample_next" without using that specific function. If that is achieved, everything should work.

    opened by lv-bakker 1
  • Streaming time series data using python generator

    Streaming time series data using python generator

    Is there any way to generate time series data as a stream manner? Instead of generating all the time series data at once is there a way to generate readings on demand using python generator object?

    opened by riyadparvez 1
  • Error installing through pip

    Error installing through pip

    This is the error log:

    Collecting timesynth
  Downloading https://files.pythonhosted.org/packages/90/10/db1a380cbff37963d775e4104d3566c956ea4726f5f51dc6bc3f6b693f01/timesynth-0.2.3.tar.gz
    ERROR: Command errored out with exit status 1:
     command: /usr/bin/python3 -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'/tmp/pip-install-rbmeb8l4/timesynth/setup.py'"'"'; __file__='"'"'/tmp/pip-install-rbmeb8l4/timesynth/setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' egg_info --egg-base /tmp/pip-install-rbmeb8l4/timesynth/pip-egg-info
         cwd: /tmp/pip-install-rbmeb8l4/timesynth/
    Complete output (5 lines):
    Traceback (most recent call last):
      File "<string>", line 1, in <module>
      File "/tmp/pip-install-rbmeb8l4/timesynth/setup.py", line 9, in <module>
        with open('requirements.txt') as f:
    FileNotFoundError: [Errno 2] No such file or directory: 'requirements.txt'
    ----------------------------------------
ERROR: Command errored out with exit status 1: python setup.py egg_info Check the logs for full command output.
    opened by riyadparvez 1
  • time_sampler = ts.TimeSampler(stop_time=20)

    time_sampler = ts.TimeSampler(stop_time=20)

    From the example:

    import TimeSynth as ts time_sampler = ts.TimeSampler(stop_time=20)

    gives error: AttributeError: module 'TimeSynth' has no attribute 'TimeSampler'

    instead it should be:

    import TimeSynth.timesynth as ts from TimeSynth.timesynth import timesampler time_sampler = ts.TimeSampler(stop_time=20)

    The above works. Just need one level down. Yep, this is on Python 3.6

    opened by cpoptic 1
  • Fixed MackeyGlass signal to work with current jitcdde.

    Fixed MackeyGlass signal to work with current jitcdde.

    Added a smoke test for MackeyGlass signal. Changed setup.py to use requirements.txt Added setup.cfg so that 'python setup.py test' works sympy was addded to requirements.txt as it is needed by jitcdde

    opened by ricpruss 1
  • Example AR model uses irregular instead of regular time samples

    Example AR model uses irregular instead of regular time samples

    In the example IPython notebook TimeSynthExamples.ipynb, the 24th cell has this example code for an AR model:

    # Initializing TimeSampler
time_sampler = ts.TimeSampler(stop_time=20)
# Sampling regular time samples
regular_time_samples = time_sampler.sample_irregular_time(num_points=500)

    Though it should be regular time samples, i.e., using the sample_regular_time() method from timesampler.py.

    opened by alkasm 0
  • Error while installing the package with setup.py

    Error while installing the package with setup.py

    Dear authors,

    I was trying to install your package following your instructions and got the following error. Do you know what's causing this and possible workarounds?

    image

    Thanks, Luca

    opened by lucfra 0
  • Generating ARIMA series with TimeSynth

    Generating ARIMA series with TimeSynth

    I would like to be able to generate ARIMA series (i.e. with differencing as well as AR and MA components), is this possible using TimeSynth? I'm looking at the NARMA function, but I can't work out if I can specify differences, or if I can have different orders for AR and MA? If there is any existing documentation that answers these questions please direct me to it. Thanks very much.

    opened by feuch24 0
  • Error installing TimeSynth through Pip

    Error installing TimeSynth through Pip

    Hi everyone,

    I've been trying to install TimeSynth through pip and been receiving the following Error:

    PS C:\Users\Nikolas> python -m pip install timesynth
Collecting timesynth
  Using cached timesynth-0.2.4-py3-none-any.whl (15 kB)
Requirement already satisfied: scipy in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from timesynth) (1.4.1)
Processing c:\users\nikolas\appdata\local\pip\cache\wheels\c1\58\70\ae51394acc9757707a51cb500efed79554e672e05d0d757199\jitcdde-1.4.0-py3-none-any.whl
Requirement already satisfied: sympy in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from timesynth) (1.6)
Collecting symengine==0.4
  Using cached symengine-0.4.0.tar.gz (86 kB)
Processing c:\users\nikolas\appdata\local\pip\cache\wheels\50\f6\d4\41c32b94ad836f824750f548f722e9480e5cc214e9e86700b9\jitcxde_common-1.4.1-py3-none-any.whl
Requirement already satisfied: numpy in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from timesynth) (1.18.4)
Requirement already satisfied: mpmath>=0.19 in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from sympy->timesynth) (1.1.0)
Requirement already satisfied: setuptools in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from jitcxde-common==1.4.1->timesynth) (41.2.0)
Requirement already satisfied: jinja2 in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from jitcxde-common==1.4.1->timesynth) (2.11.2)
Requirement already satisfied: MarkupSafe>=0.23 in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from jinja2->jitcxde-common==1.4.1->timesynth) (1.1.1)
Building wheels for collected packages: symengine
  Building wheel for symengine (setup.py) ... error
  ERROR: Command errored out with exit status 1:
   command: 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-j175yn1z\\symengine\\setup.py'"'"'; __file__='"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-j175yn1z\\symengine\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' bdist_wheel -d 'C:\Users\Nikolas\AppData\Local\Temp\pip-wheel-27wtbhe6'
       cwd: C:\Users\Nikolas\AppData\Local\Temp\pip-install-j175yn1z\symengine\
  Complete output (4 lines):
  running bdist_wheel
  running build
  running build_ext
  error: [WinError 2] Das System kann die angegebene Datei nicht finden
  ----------------------------------------
  ERROR: Failed building wheel for symengine
  Running setup.py clean for symengine
Failed to build symengine
Installing collected packages: symengine, jitcxde-common, jitcdde, timesynth
    Running setup.py install for symengine ... error
    ERROR: Command errored out with exit status 1:
     command: 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-j175yn1z\\symengine\\setup.py'"'"'; __file__='"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-j175yn1z\\symengine\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record 'C:\Users\Nikolas\AppData\Local\Temp\pip-record-dv3kb977\install-record.txt' --single-version-externally-managed --compile --install-headers 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\Include\symengine'
         cwd: C:\Users\Nikolas\AppData\Local\Temp\pip-install-j175yn1z\symengine\
    Complete output (4 lines):
    running install
    running build
    running build_ext
    error: [WinError 2] Das System kann die angegebene Datei nicht finden
    ----------------------------------------
ERROR: Command errored out with exit status 1: 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-j175yn1z\\symengine\\setup.py'"'"'; __file__='"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-j175yn1z\\symengine\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record 'C:\Users\Nikolas\AppData\Local\Temp\pip-record-dv3kb977\install-record.txt' --single-version-externally-managed --compile --install-headers 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\Include\symengine' Check the logs for full command output.

    (FYI: "Das System kann die angegebene Datei nicht finden" = System can't find the file specified)

    I also tried installing each package required seperately. The problem seems to lie within the installation of the symengine-package. Eventhough installing it seperately using python -m pip install symengine seems to work just fine I'm still getting the following error afterwards when trying to install timesynth again:

    PS C:\Users\Nikolas> python -m pip install symengine
Collecting symengine
  Using cached symengine-0.6.1-cp38-cp38-win_amd64.whl (10.0 MB)
Installing collected packages: symengine
Successfully installed symengine-0.6.1
PS C:\Users\Nikolas> python -m pip install timesynth
Collecting timesynth
  Using cached timesynth-0.2.4-py3-none-any.whl (15 kB)
Requirement already satisfied: numpy in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from timesynth) (1.18.4)
Requirement already satisfied: sympy in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from timesynth) (1.6)
Processing c:\users\nikolas\appdata\local\pip\cache\wheels\c1\58\70\ae51394acc9757707a51cb500efed79554e672e05d0d757199\jitcdde-1.4.0-py3-none-any.whl
Requirement already satisfied: scipy in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from timesynth) (1.4.1)
Processing c:\users\nikolas\appdata\local\pip\cache\wheels\50\f6\d4\41c32b94ad836f824750f548f722e9480e5cc214e9e86700b9\jitcxde_common-1.4.1-py3-none-any.whl
Collecting symengine==0.4
  Using cached symengine-0.4.0.tar.gz (86 kB)
Requirement already satisfied: mpmath>=0.19 in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from sympy->timesynth) (1.1.0)
Requirement already satisfied: jinja2 in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from jitcxde-common==1.4.1->timesynth) (2.11.2)
Requirement already satisfied: setuptools in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from jitcxde-common==1.4.1->timesynth) (41.2.0)
Requirement already satisfied: MarkupSafe>=0.23 in c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages (from jinja2->jitcxde-common==1.4.1->timesynth) (1.1.1)
Building wheels for collected packages: symengine
  Building wheel for symengine (setup.py) ... error
  ERROR: Command errored out with exit status 1:
   command: 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-e44hvbbs\\symengine\\setup.py'"'"'; __file__='"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-e44hvbbs\\symengine\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' bdist_wheel -d 'C:\Users\Nikolas\AppData\Local\Temp\pip-wheel-fga4zb0o'
       cwd: C:\Users\Nikolas\AppData\Local\Temp\pip-install-e44hvbbs\symengine\
  Complete output (4 lines):
  running bdist_wheel
  running build
  running build_ext
  error: [WinError 2] Das System kann die angegebene Datei nicht finden
  ----------------------------------------
  ERROR: Failed building wheel for symengine
  Running setup.py clean for symengine
Failed to build symengine
Installing collected packages: symengine, jitcxde-common, jitcdde, timesynth
  Attempting uninstall: symengine
    Found existing installation: symengine 0.6.1
    Uninstalling symengine-0.6.1:
      Successfully uninstalled symengine-0.6.1
    Running setup.py install for symengine ... error
    ERROR: Command errored out with exit status 1:
     command: 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-e44hvbbs\\symengine\\setup.py'"'"'; __file__='"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-e44hvbbs\\symengine\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record 'C:\Users\Nikolas\AppData\Local\Temp\pip-record-_x2a1o68\install-record.txt' --single-version-externally-managed --compile --install-headers 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\Include\symengine'
         cwd: C:\Users\Nikolas\AppData\Local\Temp\pip-install-e44hvbbs\symengine\
    Complete output (4 lines):
    running install
    running build
    running build_ext
    error: [WinError 2] Das System kann die angegebene Datei nicht finden
    ----------------------------------------
  Rolling back uninstall of symengine
  Moving to c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages\symengine-0.6.1.dist-info\
   from C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\Lib\site-packages\~ymengine-0.6.1.dist-info
  Moving to c:\users\nikolas\appdata\local\programs\python\python38\lib\site-packages\symengine\
   from C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\Lib\site-packages\~ymengine
ERROR: Command errored out with exit status 1: 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\python.exe' -u -c 'import sys, setuptools, tokenize; sys.argv[0] = '"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-e44hvbbs\\symengine\\setup.py'"'"'; __file__='"'"'C:\\Users\\Nikolas\\AppData\\Local\\Temp\\pip-install-e44hvbbs\\symengine\\setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record 'C:\Users\Nikolas\AppData\Local\Temp\pip-record-_x2a1o68\install-record.txt' --single-version-externally-managed --compile --install-headers 'C:\Users\Nikolas\AppData\Local\Programs\Python\Python38\Include\symengine' Check the logs for full command output.

    My OS is Win10 (64-Bit) My Python Version is 3.8.3 (64-Bit)

    Thanks in advance!

    opened by salokinH 2
  • timesynth.signals.PseudoPeriodic.sample_next doesn't use ftype passed to constructor

    timesynth.signals.PseudoPeriodic.sample_next doesn't use ftype passed to constructor

    It appears that timesynth.signals.PseudoPeriodic.sample_next() always uses sin() as its harmonic function regardless of what was passed as the ftype parameter to PseudoPeriodic.__init__(). Was this intentional?

    opened by lebedov 2
  • add constant signal class

    add constant signal class

    Thanks for making the library available. It is very helpful to me. I encountered a situation where I need a constant signal so I just created a class for it.

    opened by wenboown 1
Owner
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