CHANGELOG.md

Change Log

All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog and this project adheres to Semantic Versioning.

Unreleased

Added

Changed

Fixed

0.6.0

Added

• new parameter closed for sampen to determine if < or <= should be used for checking if the distance between a vector pair is within the tolerance
• new example sampen-tol that compares old and new default tolerance values for sampen
• more tests for sampen based on the logistic map and random data
• new measures
  • mfhurst_b calculates the multifractal "generalized" Hurst exponent according to Barabasi et al.
  • mfhurst_dm calculates the multifractal "generalized" Hurst exponent according to Di Matteo et al.
• new datasets
  • load_financial loads three financial datasets from finance.yahoo.com that can be used to recreate the results from Di Matteo et al. 2003.
  • barabasi1991_fractal generates the fractal data used by Barabasi et al. in their 1991 paper
• new examples
  • hurst_mf_stock example function recreates a plot from Di Matteo 2003.
  • barabasi_1991_figure2 and barabasi_1991_figure3 recreate the respective plots from Barabasi et al. 1991
  • lorenz calculates all main measures of nolds for x, y, and z coordinates of a Lorenz plot and compares them to prescribed values from the literature
• tests for all nolds existing measures based on the Lorenz system
• additional tests for dfa allowing a direct comparison to the implementation in PhysioNet and using Lévy motion.

Changed

• debug_data for sampen now also contains counts of similar vectors
• sampen now issues a warning if one or both count variables are zero
• the parameter tolerance in sampen now has a more sophisticated default value that takes into account that the chebyshev distance rises logarithmically with increasing dimension
• uses np.float64 as standard dtype instead of "float32"
• input data of lyap_e is now converted to np.float64 to avoid errors with inf values for integer inputs (see CSchoel#21)
• completely revises the explanation of dfa with new and more accurate sources

Fixed

• the test test_measures.TestNoldsCorrDim.test_corr_dim would fail if sklearn was not installed, because the standard "RANSAC" fitting method produces quite different results compared to the fallback "poly" method
• uses ddof=1 in np.std when creating debug plot for sampen and when computing default rvals for corr_dim
• dfa was applying np.sqrt too early in the process. We actually only take the square root once after averaging over all windows.

0.5.2

Fixed - 2019-06-16

• Issue #13: corr_dim ignored the fit argument

0.5.1 - 2018-10-24

Added

• documentation for lyap_r_len, lyap_e_len and the hurst-nvals example

Changed

• hurst_compare_nvals now also uses np.asarray

Fixed

• some formatting problems in the documentation

0.5.0 - 2018-10-24

Added

• test function hurst_compare_nvals that compares different choices for the nvals parameter for hurst_rs
• example for hurst_compare_nvals (can be called using python -m nolds.examples hurst-nvals)
• helper functions lyap_r_len and lyap_e_len to calculate minimum data length required for lyap_r and lyap_e
• test cases test_lyap_r_limits and test_lyap_e_limits to ensure that lyap_r_len and lyap_e_len are calculated correctly
• description of parameter min_nb for lyap_e
• uses np.asarray wherever possible. The following functions should now also work with pandas objects and other "array-like" structures:
  • lyap_r
  • lyap_e
  • sampen
  • hurst_rs
  • corr_dim
  • dfa
• nolds documentation can now also be found on readthedocs.org

Changed

• the previously internal helper function expected_rs is now available from the main module
• calculates minimum data length for lyap_r to provide better error messages
• uses rcond=-1 in lstseq to keep behavior consistent between numpy versions
• mutes ImportWarnings from sklearn in unit tests
• disables an ugly hack when using RANSAC as fitting method and instead requires sklearn>=0.19 that fixes the underlying issue
• makes test case for correlation dimension less strict
• added hint when nolds.examples is called with an unknown example name

Fixed

• note in the description of the parameter tau in lyap_r was misleading/wrong (probably a copy-pase error)

Removed

• distance values "euler", "chebychev", rowwise_euler and rowwise_chebychev for sampen and corr_dim (was deprecated)
• keyword parameter min_vectors for lyap_r (was deprecated)

0.4.1 - 2017-11-30

Added

• function logmid_n that allows for a better choice of nvals parameter in hurst_rs

Changed

• adds more descriptions and instructions for comparing hurst_rs with other implementations

0.4.0 - 2017-11-21

Added

• module datasets
  • dataset brown72 that has a prescribed hurst exponent of 0.72
  • generators for the logistic and the tent map
  • true random numbers using the package quantumrandom
• test test_hurst_pracma that uses the same testing sequences for hurst_rs as the R-package pracma
• example function plot_hurst_hist that plots a histogram of hurst exponent values for random data
• example function weron_2002_figure2
• fgn for fractional gaussian noise in the datasets module
• documentation for unittests and examples
• parameter unbiased for hurst_rs that allows to choose between the new (fixed) behavior and the old one (using the wrong version of the standard deviation)
• parameter corrected for hurst_rs that applies the Anis-Lloyd correction factor to the example by default

Changed

• default choice for the parameter nvals in hurst_rs now favors higher n values and always uses 16 n values
• fbm is now moved to the datasets module

Fixed

• using fitting method 'ransac' when sklearn was not installed resulted in an exception instead of a warning
• NaNs in hurst_rs where filtered from the set of (R/S)_n values, but the filtered values for n would remain in the calculation and fitting
• hurst_rs used the wrong standard deviation, since we estimate the mean of the samples from the data we need to set the parameter ddof to 1

0.3.4 - 2017-08-10

Added

• lyap_r now has a new parameter fit_offset that allows to ignore the first steps of the plot in the fitting process.

Changed

• The parameter min_vectors is now called min_neighbors in lyap_r and refers to the number of vectors that are candidates for the closest neighbor.

Fixed

• The algorithm for choosing the lag would always choose 0 in lyap_r.
• There was an error in the calculation of the number of vectors used for min_vectors in lyap_r.

0.3.3 - 2017-06-26

Added

• more test cases for sampen
• debug_data parameter for most measures that allows to retrieve the data used for debug plots for logging and creation of custom plots

Changed

• sampen now takes functions for the dist parameter and not strings
• using something else than rowwise_chebychev for dist in sampen is now officially discouraged

Fixed

• naming confusion: "Euler" distance should be "Euclidean" distance
• typo in the name "Chebyshev"

Notes

• all changes mentioned above are backwards-compatible, but this compatibility will be dropped in the next version (since these are really stupid errors that I want to sweep under the rug 😉)

0.3.2 - 2016-11-19

Added

• LICENSE.txt is now part of the distribution
• specifies platform (any) and license (MIT) in setup.py
• loads long_description from README.rst

0.3.1 - 2016-11-18

Fixed

• typo in setup.py regarding extras_require

0.3.0 - 2016-11-18

Added

• Allows to use RANSAC as line fitting algorithm
• Uses classifiers in setup.py
• Adds requirements for the packages future and setuptools
• Adds custom clean command to setup.py

Changed

• Made support of both Python 3 and Python 2 official using the future package (Previous versions also supported Python 2 but did not state this and may have small performance issues.)

Fixed

• deprecation warning about assertAlmostEquals in test cases

0.2.1 - 2016-10-17

Fixed

• Description on PyPI was broken due to formatting error in README.rst

0.2.0 - 2016-10-14

Added

• exportable documentation with Sphinx
• this change log
• unit tests (python -m unittest nolds.test_measures)
• example code can be run with python -m nolds.examples all

Changed

• code formatted according to PEP8 (but with 2 spaces indent instead of 4)

Fixed

• wrong default plotting parameters for function sampen

0.1.1 - 2016-08-03

Added

• nolds now lists numpy as dependency (it had the dependency before, but did not tell the user, because who the hell uses python without numpy ;P)

0.1.0 - 2016-08-05

Added

• initial release including the following algorithms:
  • sample entropy (sampen)
  • correlation dimension (corr_dim)
  • Lyapunov exponent (lyap_r, lyap_e)
  • Hurst exponent (hurst_rs)
  • detrended fluctuation analysis (DFA) (dfa)