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UnrollingAverages

UnrollingAverages is a Julia package aimed at reversing (or unrolling) moving averages of time series to get the original ones back.

UnrollingAverages currently assumes that the moving average is a simple moving average. Further relaxations and extensions may come in the future, see Future Developments section.

Installation

Press ] in the Julia REPL and then

pkg> add UnrollingAverages

Usage

The package exports a single function called unroll: it returns a Vector whose elements are the possible original time series.

unroll( moving_average::Vector{Float64},
        window::Int64;
        initial_conditions::U=nothing,
        assert_natural::Bool=false
      ) where {U<:Union{Tuple{Vararg{Union{Int64,Float64}}},Nothing}}

A few remarks:

  1. If isnothing(initial_conditions):
    • if assert_natural, then an internal unroll_iterative method is called, which tries to exactly recover the whole time series, initial conditions included. Enter ?UnrollingAverages.unroll_iterative in a julia to read details ;
    • if !assert_natural, then an internal unroll_linear_approximation method is called. See this StackExchange post. NB: this is an approximated method, it will generally not return the exact original time series ;
  2. If typeof(initial_conditions) <: Ntuple{window-1, <:Union{Int64,Float64}}, then an internal unroll_recursive method is called, which exactly recovers the time series. Mathematical details about this function are reported in section How unroll_recursive works, and you may read more by entering ?UnrollingAverages.unroll_recursive.

How unroll_recursive works

This method is capable of exactly recovering the original time series $x_{t}$ (with $t \in \mathbb{N}$), given its moving average $a_t$ (with window width $W = n_{-} + n_{+} + 1$ and $t = 1,...,N−(W−1)$) and initial conditions initial_conditions (the latter must be a NTuple{W-1,Union{Int64,Float64}}):

\[a_t = \frac{1}{W}\sum_{j=t-n_-}^{t+n_+}x_j\]

By exploiting the derived recursive relation:

\[x_{t+n_+ + n_-} = W a_t - \sum\limits_{j=1}^{t+n_-+n_+-1}x_j\]