SignalSharp 0.0.6

SignalSharp is a library designed for signal processing and time series analysis.

Features

• PELT Algorithm: Efficiently detects multiple change points in time series data.
  • L1 Cost Function: Robust to outliers and non-Gaussian noise.
  • L2 Cost Function: Suitable for normally distributed data.
  • RBF Cost Function: Handles non-linear relationships between data points.
• Savitzky-Golay Filter: Smooths data to reduce noise while preserving the shape of the signal.
• Kalman Filter: Estimates the state of a linear dynamic system from a series of noisy measurements.

Future Plans

• Implement additional signal processing algorithms.
  • PELT
    • L1 Cost Function
    • L2 Cost Function
    • RBF Cost Function
  • Savitzky-Golay Filter
  • FFT
  • Wavelet Transform
  • Kalman Filter
  • Autoregressive (AR) models
• Enhance the performance of existing algorithms.
• Provide more comprehensive examples and documentation.

Installation

To install SignalSharp, you can use NuGet Package Manager:

dotnet add package SignalSharp

Usage

PELT Algorithm

The PELT algorithm can be used with different cost functions to detect change points in time series data.

Example: Using PELT with L2 Cost Function

using SignalSharp;

double[] signal = { /* your time series data */ };
double penalty = 10.0;

var pelt = new PELTAlgorithm(new PELTOptions
{
    CostFunction = new L2CostFunction(),
    MinSize = 2,
    Jump = 5
});

int[] changePoints = pelt.FitPredict(signal, penalty);

Console.WriteLine("Change Points: " + string.Join(", ", changePoints));

Example: Using PELT with RBF Cost Function

using SignalSharp;

double[] signal = { /* your time series data */ };
double penalty = 10.0;

var pelt = new PELTAlgorithm(new PELTOptions
{
    CostFunction = new RBFCostFunction(gamma: 0.5),
    MinSize = 2,
    Jump = 5
});

int[] changePoints = pelt.FitPredict(signal, penalty);

Console.WriteLine("Change Points: " + string.Join(", ", changePoints));

Smoothing Filters

The Savitzky-Golay filter can be used to smooth a noisy signal.

Example: Using Savitzky-Golay Filter

using SignalSharp;

double[] signal = { /* your noisy signal data */ };
int windowSize = 5;
int polynomialOrder = 2;

double[] smoothedSignal = SavitzkyGolay.Filter(signal, windowSize, polynomialOrder);

Console.WriteLine("Smoothed Signal: " + string.Join(", ", smoothedSignal));

License

SignalSharp is licensed under the MIT License. See the LICENSE file for more details.