Available Methods

Here we propose a list of all the forecasting methods that are published by the library. This is a complete reference with a small description of what each method does.

Random Number Generation

Uniform	Uniform Random Number Generator.
Uniform1	Uniform Random Number Generator with a different algorithm.
Uniform2	Uniform Random Number Generator with a different algorithm.
Uniform3	Uniform Random Number Generator with a different algorithm.
Gaussian	Gaussian distribution Random Number Generator.
FractalNoise	Fractal 1/f Random Number Generator.

Classic Forecasting

SimpleMovingAverage	Simple moving average.
GeometricMovingAverage	Geometric moving average.
TriangularSimpleMovingAverage	Triangularly weighted moving average.
ParabolicSimpleMovingAverage	Parabolically weighted moving average.
DoubleMovingAverage	Double moving average.
ExponentialAverage	Exponential moving average.
DoubleExponentialAverage	Double exponential moving average.
HoltDoubleExponentialAverage	Holt double exponential average.
TripleExponentialAverage	Triple exponential moving average.
AdaptiveResponseRateExponentialSmoothing	Adaptive response rate exponential smoothing.
HoltWintersAdditive	Holt Winters additive model.
HoltWintersMultiplicative	Holt Winters multiplicative model.
HoltWintersMultiple	Holt Winters multiple seasonality model.
HoltWintersMultiple2	Holt Winters multiple seasonality model, different algorithm.
AdditiveDecomposition	Additive decomposition.
MultiplicativeDecomposition	Multiplicative decomposition.
CrostonExponential	Croston's exponential.
LinearTrend	Linear regression trend.
ActiveMovingAverage	Exponential moving average done using a second order filter.

Bayesian Forecasting

TrendAndAdditiveSeasonality	Linear trend and additive automatic seasonality model.
TrendAndManualAdditiveSeasonality	Linear trend and additive manual seasonality model.
TrendAndMultiplicativeSeasonality	Linear trend and multiplicative automatic seasonality model.
TrendAndManualMultiplicativeSeasonality	Linear trend and multiplicative manual seasonality model.
TrendAndManualMultipleSeasonality	Linear trend and manual multiple seasonality model.
TrendAndMultipleSeasonality	Linear trend and automatic multiple seasonality model.
Polynomial	Polynomial model.
Logarithmic	Logarithmic model.
Exponential	Exponential model.
WaveletForecast	Wavelet forecast model.

Best Fit

RunBestFitAlgorithm	Run the best fit algorithm on available algorithms.
BestMethod	The best method chosen.
BestError	The prediction error of the chosen method.

Error Statistics

CumulativeForecastError	Cumulative forecast error.
MeanError	Mean error.
MeanSquaredError	Mean squared error.
StandardDeviationError	Standard deviation.
MeanAbsolutePercentError	Mean absolute percent error.
MeanPercentError	Mean percent error.
MeanAbsoluteDeviation	Mean absolute deviation.
RootMeanSquareError	Root mean square error (RMSE).

Digital Signal Processing

Wavelet	Daubechies wavelet transform and its inverse.
Haar	Haar wavelet transform and its inverse.
FourierCosine	Fourier cosine transform and its inverse.
FourierSine	Fourier sine transform and its inverse.
FastFourierTransform	Fast Fourier transform and its inverse.
FourierPowerSpectrum	Fourier power spectrum (PSD).
DFT	Discrete complex Fourier transform and its inverse.
HilbertTransform	Hilbert forward transform.
AnalyticSignal	Analytic signal representation.
PeriodogramFrequency	Periodogram frequency.
Windows	Spectral windows available in Short Time Fourier Transform and Spectrogram.
ShortTimeFourierTransform	The Short Time Fourier Transform.
Spectrogram	The spectrogram of the specified signal.
WignerVille	Wigner-Ville time-frequency distribution.

Denoising and Smoothing

HaarDenoise	Haar wavelet denoising.
DaubechiesLinearDenoise	Daubechies wavelet linear denoising.
DaubechiesExponentialDenoise	Daubechies wavelet exponential denoising.
SplineSmoothing	Three different versions of spline smoothing.

Fractals

Projection	Fractal projection.
HurstRescaledRange	Rescaled range Hurst exponent.
HurstDaubechies	Daubechies wavelet Hurst exponent.
HurstHaar	Haar wavelet Hurst exponent.
HurstAbsoluteValue	Absolute Value Hurst exponent.
HurstAggregatedVariance	Aggregated Variance Hurst exponent.
HurstPeriodogram	Periodogram Hurst exponent.
HurstRescaledRange2	Rescaled Range Hurst exponent.
HurstVarianceOfResiduals	Variance of Residuals Hurst exponent.

Kernel Smoothing

GaussianKernelSmoothing	Kernel smoothing done using a Gaussian kernel.
HilbertKernelSmoothing	Kernel smoothing done using a Hilbert kernel.
TriangleKernelSmoothing	Kernel smoothing done using a triangular kernel.
EpanechnicovKernelSmoothing	Kernel smoothing done using an Epanechnicov kernel.
QuarticKernelSmoothing	Kernel smoothing done using a quartic curve kernel.
TriweightKernelSmoothing	Kernel smoothing done using a Triweight kernel.
CosineKernelSmoothing	Kernel smoothing done using a Cosine kernel (two implementations).
SavitzkyGolaySmoothing	Savitsky-Golay smoothing.

Function Decomposition

PrincipalComponentAnalysis	Principal Component Analysis.
SingularSpectralAnalysis	Singular Spectral Analysis.
SingularSpectrum	Singular spectrum.
EmpiricalModeDecomposition	Empirical mode decomposition.

Preprocessing

LinearDetrend	Linear detrend the signal.
Rescale	Rescale signal to arbitrary range.
Normalize	Normalize signal to zero mean and standard deviation one.
NormalizeMultiply	Multiply signal by constant value.
Returns	Percentage return.
Difference	First difference, lag difference.
LogAbsDifference	Logarithm of absolute difference.
NormalizeLog	Logarithm of the signal.
LogLog	Double logarithm.
NormalizeExp	Exponential of the signal.
ExpExp	Double exponential.
NormalizeRoot	N-th root.
NormalizePower	N-th power.
InversePower	N-th inverse power.
NormalizeTanh	Hyperbolic tangent.
Logistic	Applies logistic transformation to the signal.
NormalizeAbs	Takes absolute value.
BoxCox	Box-Cox transformation and its inverse.
LogOfRatio	Logarithm of the ratio of sample at one or lag distance.

Regression/Multiple Regression

LinearMultipleRegression	Linear multiple regression.
LogisticRegression	Logistic regression.
LinearMultipleRidgeRegression	Linear multiple regression with Tikhonov regularization/Ridge regression.
LogisticRidgeRegression	Logistic regression with Tikhonov regularization/Ridge regression.
LinearPredictor	Optimal Linear Predictor in an Autoregressive Model AR(p).
DetrendedLinearPredictor	Optimal Detrended Linear Predictor in an Autoregressive Model AR(p).

Curve Analysis

Peaks	Number of peaks in a curve.
Bottoms	Number of bottoms in a curve.
CurveSimilarity	Similarity index between two curves.
AveragePeriod	Average period of a curve.
AveDevPeriod	Average deviation of the period of a curve.

Options Prices and Greeks

OptCallPrice	The price of a call option.
OptPutPrice	The price of a put option.
OptImpliedVolatilityCall	Implied volatility of a call option.
OptImpliedVolatilityPut	Implied volatility of a put option.
OptDeltaCall	Delta of a call option (rate of change of option value with respect to changes in underlying asset price).
OptDeltaPut	Delta of a put option (rate of change of option value with respect to changes in underlying asset price).
OptGamma	Gamma: rate of change of delta with respect to changes in underlying asset price.
OptVega	Vega: rate of change of option value with respect to changes in volatility.
OptThetaCall	Theta of a call option (rate of change of option value with respect to time).
OptThetaPut	Theta of a put option (rate of change of option value with respect to time).
OptRhoCall	Rho of a call option (rate of change of option value with respect to interest rate).
OptRhoPut	Rho of a put option (rate of change of option value with respect to interest rate).

Financial

MarkowitzOptimalPortfolio

Computes the weights of an optimal financial portfolio using Markowitz Modern Portfolio Theory.

Support Methods

PolynomialRoots

Computes the polynomial roots of the specified polynomial. The computations are done using a precision higher than standard floating point numbers.