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task #5868: Submission of Special Interest Group Time Series

Submitter:  Johann Rost <johann0>
Submitted:  Tue 05 Sep 2006 11:10:10 AM UTC
   
 
Should Start On:  Tue 05 Sep 2006 12:00:00 AM UTC Should be Finished on:  Fri 15 Sep 2006 12:00:00 AM UTC
Category:  Approved Projects to be Reviewed Priority:  * 5 - Normal
Status:  Cancelled Privacy:  Public
Assigned to:  stevenr Open/Closed:  Closed
* Mandatory Fields

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Sat 17 Nov 2007 12:07:54 PM UTC, comment #10: 

Hello,

As your project was approved conditionaly (delayed source code check), and is still empty, we're removing it.

Regards.

Sylvain Beucler <Beuc>
Sun 22 Oct 2006 10:51:42 AM UTC, comment #9: 

Hi Johann,

Sorry for the delay in replying to you. Thankyou for answering the questions.

There are no changes required to the source code files, you updated them correctly as I asked. However you didn't state clearly that the code was the version for Free operating systems in the tracker, as I asked. (We do this to avoid problems later)

You also didn't tell us that you had decided not to change the name of you project, so I assumed that you still wished to.


Additionally, please include a complete verbatim copy of the GNU GPL when you upload your project. The version you sent me is an old one, and was truncated. You can get the current version from http://www.gnu.org/licenses/gpl.txt. You can do this when you upload your project.


I have approved your project.  You will receive an automated e-mail containing detailed information about the approval.

Cheers,

Steven

Steven Robson <stevenr>
Sat 14 Oct 2006 06:40:01 AM UTC, comment #8: 

I have included a copy of GPL into the file set. However I did not make any
other changes of the files.

I'm not sure that I understood the issue with the the free operation system:
According my opinion these file (which you have received) ARE ALREADY the
version for Linux. I'm not aware that they contain problems. Did you
encounter any references to proprietary code? What chances do you request me
to do in these files?

In the beginning I thought to change the name of the project to "Prognosis".
However it seems that "Prognosis" is a trademark of a proprietary software.
To avoid legal problems I would rather let the name as it is.

I do not have a web site where I could upload the source. For this reason I
cannot provide you with an URL. I'll send the files to you by e-mail.


Johann Rost <johann0>
Sun 08 Oct 2006 10:12:29 AM UTC, comment #7: 

Hi,

Sorry for the delay, I wasn't able to get my mail this week.

You have not answered the questions from comment #4 in this tracker about the free OS and the new name (which you originally requested! :-) ). Please answer them. We cannot approve your project until you do.


Secondly, please include a verbatim copy of the GNU GPL in your tarballs, as a file named 'COPYING'. (Again, as per comment #4)


If you are willing to make the changes mentioned above, please provide us with an URL to an updated tarball of your project.  Upon review, we will reconsider your project for inclusion in Savannah.

To help us better keep track of your registration, please use the tracker's web interface following the link below. Do not reply directly, the registration process is not driven by e-mail, and we will not receive such replies.

Regards.

Steven Robson <stevenr>
Sun 01 Oct 2006 08:30:20 AM UTC, comment #6: 

Johann,

Here's a modified header[1]. I've made one minor change to it to bring it in line with the standard GPL header.

Please could you answer the other questions from my last comment too. I will not be able to approve your project until you do so.

Cheers,

Steven

[1]:

Copyright © 1998, 1999, 2000, 2001, 2002, 2003, 2004, 2005, 2006 Johann Rost
 
This file is part of SIGTIS.
 
SIGTIS is free software. You can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version.
 
SIGTIS is distributed with the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with Foobar; if not, write to the Free Software Foundation, Inc., 51 Franklin St, Fifth Floor, Boston MA 02110-1301 USA
 
Contact:
-email is unavailable-

Steven Robson <stevenr>
Mon 25 Sep 2006 12:56:10 PM UTC, comment #5: 

Steven:

It seems that we agree in the important issues. Now let's try to get the technical details done.

I have prepared the following copyright notice. Please let me know if it is okay so. Then I will include it in all files and send you an updated version.


++++++++++


Copyright © 1998, 1999, 2000, 2001, 2002, 2003, 2004, 2005, 2006 Johann Rost

This file is part of SIGTIS.

SIGTIS is free software. You can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License or any later version.

SIGTIS is distributed with the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with Foobar; if not, write to the Free Software Foundation, Inc., 51 Franklin St, Fifth Floor, Boston MA 02110-1301 USA

Contact:
-email is unavailable-

++++++++++++

Regards
Johann

Johann Rost <johann0>
Sun 24 Sep 2006 11:16:41 AM UTC, comment #4: 

Hi,

Sorry for the delay in replaying, your mail was lurking among the mass of other mail I got this week. If you'd posted a tracker comment sooner, I would have known to look for a source code mail.


Firstly, it is perfectly legal for you to release privately to your friends under a completely different license to the one that you offer publicly.  You can only host the free-as-in-freedom licensed version of your project on Savannah though.


Secondly, we only host projects that can run on a free operating system (such as GNU/Linux).

We have adopted this policy because now that completely free operating systems exist, we do not want to encourage users of those systems to start using proprietary operating systems so that they can use your program.

If you are willing to maintain a version for free operating systems, which work as well as or better than other ports, you can then provide versions for non-free systems as well. The idea is that at no point should only-free users be at a disadvantage compared to users of proprietary software.

Your project should always work equally well in free systems as in any other version you provide; if you have some modules for non-free systems, you can delay their release until you have released the free operating system version.

If you accept this commitment then please state so. From you previous comments it is not clear if your project will compile/run on a free OS, as you mention using it with "visual c++".


Thirdly, in order to release your project properly and unambiguously under the GNU GPL, please place copyright notices and permission-to-copy statements at the beginning of every copyrightable file, usually any file more than 10 lines long.

In addition, if you haven't already, please include a copy of the plain text version of the GPL, available from http://www.gnu.org/licenses/gpl.txt, into a file named "COPYING".

For more information, see http://www.gnu.org/licenses/gpl-howto.html.

If some of your files cannot carry such notices (e.g. binary files), then you can add a README file in the same directory containing the copyright and license notices. Check http://www.gnu.org/prep/maintain/html_node/Copyright-Notices.html for further information.

The GPL FAQ explains why these procedures must be followed.  To learn why a copy of the GPL must be included with every copy of the code, for example, see http://www.gnu.org/licenses/gpl-faq.html#WhyMustIInclude.


Finally, yes it is possible to change the name of the project. We change the name in the database entry before approval, so that the correct things are created if it is approved. (Though you don't see a change on the submission page). Just let us know the new names you'd like. (Full name and System group name).


If you are willing to make the changes mentioned above, please provide us with an updated tarball of your project.  Upon review, we will reconsider your project for inclusion in Savannah.

To help us better keep track of your registration, please use the tracker's web interface following the link below. Do not reply directly, the registration process is not driven by e-mail, and we will not receive such replies.

Regards.

Steven Robson <stevenr>
Sat 23 Sep 2006 04:29:13 PM UTC, comment #3: 

Steven:

Dual licensing:
I am the copyright owner.
I understand the following solution is possible for you:
I submit source code to savannah using the GPL. In parallel I maintain on my
own server a version with a proprietary license. This solution is okay with
me.
Please let me know how I have to change the copyright notice so that
everything goes smoothly ahead.

Some background on dual licensing:
Two colleagues would like to use the code in their projects. (In both cases
I will not get any money). But for both of them the GPL model is not compliant
with their project. For them I need another license. I expect that this
problem will appear again and again in the future.
I did not think about dual licensingin terms of "moral" or "immoral".
I have invested a lot of time and energy into this code. For this reason I
would like that it is used as much as possible - even if I do not earn money
with it. (It is a pity if it gets out of date and and "rotten" on my
hard disk - unused).

The C++ code:
I have sent the source code to the email address you gave me. I have tried to use only standard
C++. However I usually compiled it together with a GUI using Visual C++. So
i might contain "traces" of VC++ specific elements (I hope it does not).
I hope you will like the code and I look forward to hearing from you.

I have also a rather complete test set (for regression tests) and a
GUI. I am willing to donate this stuff to the open source. This issue,
however,
we will discuss in a second step ...

Is it still possible to change the name of the project?

Regards
Johann






Johann Rost <johann0>
Mon 18 Sep 2006 09:58:18 PM UTC, comment #2: 

Hi,

I am waiting for an answer from you.

If within one week I still do not get a reply, I will remove your project. You will still be able to register it again once you have the time to deal with the registration issues.

Are you still willing to host your project at Savannah? If not, please tell us - we don't bite, and it will make us gain time.

Regards.

Steven Robson <stevenr>
Sun 10 Sep 2006 08:13:22 PM UTC, comment #1: 

Hi,

I'm evaluating the project you submitted for approval in Savannah.


Firstly, you dual licensing question:

You are able to license your code in any way that you choose (assuming that you are the copyright holder). 

However, you must not offer code under a proprietary license at Savannah. 

We only accept Free software at Savannah.  Non-Free software is unethical, and against the goals of the Free software movement and the GNU project.  For more infomation about the FSF and GNU, please see http://www.gnu.org/philosophy/free-sw.html and http://www.gnu.org/philosophy/why-free.html. If you have any questions on this, then we will be happy to answer them. 

If you agree to not offer/publish/link to/upload code under a proprietary license at Savannah, then we are able to proceed with the registration.  You would have to provide other hosting for your proprietary licensed code.  Please let us know if you agree to this.


Secondly, you can forward the code to me by email (steven AT gnu DOT org).

We wish to review your source code, even if it is not functional, to catch potential legal issues early.

For example, to release your program properly under the GNU GPL you must include a copyright notice and permission-to-copy statements at the beginning of every  copyrightable file, usually any file more than 10 lines long.  This is explained in http://www.gnu.org/licenses/gpl-howto.html.  Our review would help catch potential omissions such as these.

Note that sending code to our repositories is a release, since the code will then be publicly available through anonymous access.


To help us better keep track of your registration, please use the tracker's web interface following the link below. Do not reply directly, the registration process is not driven by e-mail, and we will not receive such replies.

Regards.

Steven Robson <stevenr>
Tue 05 Sep 2006 11:10:10 AM UTC, original submission:  

A new project has been registered at Savannah
This project account will remain inactive until a site admin approves or discards the registration.


REGISTRATION ADMINISTRATION


While this item will be useful to track the registration process, approving or discarding the registration must be done using the specific "Group Administration" page, accessible only to site administrators, effectively logged as site administrators (superuser):

  <https://savannah.gnu.org/siteadmin/groupedit.php?group_id=8759>


REGISTRATION DETAILS


Full Name:
----------
  Special Interest Group Time Series

System Group Name:
-----------------
  sigtis

Type:
-----
  non-GNU software &amp; documentation

License:
--------
  GNU General Public License V2 or later

Other License:
--------------
  I imagine to use a dual licensing model: one license is GPL the other license could be a propriatary license (somthing similar like MySQL). What do you think about it?


Description:
------------
  Extensive library of algorithms for Time Series Analysis. (Time Series Analysis is a part of Econometrics which belongs to Mathematical Statistics.
The library is written in C++. The Code is finished and tested. However it is not online. For this reason I prefer to sent it by email. Please let me know where I should send the code.

The following algoritms are implemented



Preprocessing: Eliminating Trend and Seasonality
Differencing
Logarithm

Additive Seasonality
- Parameter Estimation according Brockwell/Davis S1 – adapted to MSE, MAD, MAPE, MdAPE
- Parameter Estimation according Brockwell/Davis S2 – adapted to MSE, MAD, MAPE, MdAPE
- Optimum parameter estimations for MSE, MAD, MAPE, MdAPE

Multiplicative seasonality
- Parameter Estimation according Brockwell/Davis S1 – adapted to MSE, MAD, MAPE, MdAPE
- Parameter Estimation according Brockwell/Davis S2 – adapted to MSE, MAD, MAPE, MdAPE
- Optimum parameter estimations for MSE, MAD, MAPE, MdAPE

Extraction of a non-zero mean
- Optimum parameter estimations for MSE, MAD, MAPE, MdAPE

Linear Trend
- MSE parameter estimation according Abraham & Ledolter
- Optimum parameter estimations for MSE, MAD, MAPE, MdAPE
- Preliminary trend estimation heuristic for seasonal TS for MSE, MAD, MAPE, MdAPE

Logistic Trend
- Optimum Parameter estimation MSE – using LinMin optimization
- Optimum Parameter estimation MSE – using Simplex-Downhill optimization
- Optimum parameter estimations for MAD, MAPE, MdAPE
- Heuristic parameter estimation according Schlittgen
- Improved heuristic parameter estimations for MSE, MAD, MAPE, MdAPE

Exponential Trend
- Heuristic for Non-Seasonal TS for MSE, MAD, MAPE, MdAPE
- Heuristic for Seasonal TS for MSE, MAD, MAPE, MdAPE
- Optimum parameter estimation for MSE, MAD, MAPE, MdAPE

Damped Trend
- Heuristic parameter estimations for seasonal and for non-seasonal TS using MSE, MAD, MAPE, MdAPE
- Optimum parameter estimation for MSE, MAD, MAPE, MdAPE

Combined estimation of trend and seasonality
- Heuristic algorithms for MSE, MAD, MAPE, MdAPE
- Optimum algorithms for MSE, MAD, MAPE, MdAPE

Algorithms for extracting an identified mean, trend and/or seasonality from a TS

3. ARMA Models


Model Identification
- Model identification according to Hannan/Rissanen
- Identification using Hold-Out Sample
- Model identification according to “Rectangle?-Heuristic

Preliminary Parameter Estimation
- Brockwell/Davis
- Hannan/Rissanen
- Burg’s Algorithm
- Durbin/Levinson
- Trench/Zohar
- “Hybrid? Heuristic

Final Parameter Estimation
- Conditioned Least Squares
- Unconditioned Least Squares
- Exact Likelihood (Luceno’s Algorithm)
- Exact Likelihood (Melard’s algorithm)
- Non-linear optimization algorithms for final parameter estimation: DFP-MIN, Powell’s Algorithm, FRPR-MIN, Simplex-Downhill

H-step ahead forecast and predicted values for observations

4. AR Models
“Model Identification?
- “Proximity? Algorithm
- “Rectangle? Heuristic

Exact Parameter Estimation
- ULS Algorithm
- CLS Algorithm
- Melard’s Algorithm for exact likelihood
- Luceno’s Algorithm for exact likelihood

Preliminary Parameter Estimation
- Burg’s Algorithm
- Durbin/Levinson

H-step ahead forecast and predicted values for observations


5. Exponential smoothing

Forecasting algorithms according Recurrence Form and Error-Correction Form (where applicable)

Implemented algorithms for estimating the smoothing parameters
- Simplex-Downhill
- Numerical Method
- Grid-Min
- Grid-Min Heuristic
- Powell’s Algorithm
- FRPR-MIN

ES - Constant Level
Constant level, no seasonality - estimation of start-value
- First Value
- Local average
- Global average
- Backcast
- DLS (Discounted Least Squares)
- Combined estimation of start value and smoothing parameter.

Constant level, additive seasonality - estimation of start-value
- First Value
- Local average
- Global average
- Backcast
- Combined estimation of start value and smoothing parameter.

Constant level, multiplicative seasonality - estimation of start-value
- First Value
- Local average
- Global average
- Backcast
- Combined estimation of start value and smoothing parameter.

Constant level, multiplicative seasonality - estimation of start-value
- First Value
- Local average
- Global average
- Backcast
- Combined estimation of start value and smoothing parameter.

ES - Damped Trend
Damped Trend, no seasonality (Gardner’s “model 1?) - estimation of start-values
- First Value
- Local average
- Global average
- Non-Seasonal “Fiber?- Heuristic
- Combined estimation of start values and smoothing parameters.

Damped Trend, no seasonality (Gardner’s “model 2?) - estimation of start-values
- First Value
- Local average
- Global average
- Non-Seasonal “Bloc?- Heuristic
- Combined estimation of start values and smoothing parameters.

Damped Trend, additive seasonality - estimation of start-values
- Local average
- Global average
- Seasonal “Fiber?- Heuristic
- Combined estimation of start values and smoothing parameters.

Damped Trend, multiplicative seasonality - estimation of start-values
- Local average
- Global average
- Seasonal “Bloc?- Heuristic
- Combined estimation of start values and smoothing parameters.

ES - Exponential Trend
Exponential Trend, no seasonality - estimation of start-values
- First Value
- Local average
- Global average
- Combined estimation of start values and smoothing parameters.

Exponential Trend, additive seasonality - estimation of start-values
- Local average
- Global average
- Combined estimation of start values and smoothing parameters.

Exponential Trend, multiplicative seasonality - estimation of start-values
- Local average
- Global average
- Combined estimation of start values and smoothing parameters.

ES - Linear Trend

Double Exponential Smoothing
- First Value
- Local average
- Global average
- Heuristic
- Combined estimation of start value and smoothing parameter.


Holt-Winter’s non-seasonal Model - estimation of start-values
- First Value
- Local average
- Global average
- Combined estimation of start value and smoothing parameter.
Fast estimation of confidence limits according Yar & Chatfield


Holt-Winter’s Model with additive seasonality - estimation of start-values
- Local average
- Global average
- Combined estimation of start value and smoothing parameter.
Fast estimation of confidence limits according Yar & Chatfield

Holt-Winter’s Model with multiplicative seasonality - estimation of start-values
- Local average
- Global average
- “Fiber?-Heuristic for linear trends
- Combined estimation of start value and smoothing parameter.
Fast estimation of confidence limits according Yar & Chatfield

Brown’s non-seasonal Model - estimation of start-values
- First Value
- Local average
- Global average
- Combined estimation of start value and smoothing parameter.

Brown’s Model with additive seasonality - estimation of start-values
- Local average
- Global average
- Combined estimation of start value and smoothing parameter.

Brown’s Model with additive seasonality - estimation of start-values
- Local average
- Global average
- Combined estimation of start value and smoothing parameter.
- “Bloc?-Heuristic for linear trends

6. Multivariate Linear Regression
   Selection strategy for Variables
- Forward Selection
- Backward Elimination
- Stepwise Selection
- Complete Search

8. User defined Multivariate econometric models
Implementation of user defined models
7. Random Walk
Implementation of the Random-Walk model


8. Confidence Limits
Calculation of confidence limits for forecasts

9. Tests
- Has the TS a non-zero mean
- Has the TS a seasonality of given lengths
- Has the TS a trend
- Has the TS outliers
- TS has all-positive values

10. Model Evaluation
- Penalty function: BIC, AICC
- Evaluation via Hold-Out-Sample
- Error measure: MSE, MAD, MAPE, MdAPE

11. Transformations
Auto-Correlation
Auto-Covariance
- Algorithm for computing the Auto-Covariance directly
- Algorithm using Fast-Fourier-Transformation (FFT)

ACF
ACF according Tunicliffe & Wilson
Direct Computation of the ACF

Fast Fourier Transformation (FFT)

Periodogram
- Compute periodogram without filter
- Use Parzen-Window

Structural Math
- Selection of the optimum forecasting model - out of a given model set
- Selection of the necessary preprocessing (trend & season) – out of a given “Preprocessing Set?
- Computation of optimum parameters for Models and Preprocessing
- Consistency Test for Multivariate Regression
- Generation of a report, why the suggested model has been preferred over alternatives



Johann Rost <johann0>

 

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    Follow 8 latest changes.

    Date Changed by Updated Field Previous Value => Replaced by
    2007-11-17 Beuc StatusDone Cancelled
        Open/ClosedOpen Closed
    2006-10-22 stevenr CategoryProject Approval Approved Projects to be Reviewed
        StatusNeed Info Done
    2006-09-24 stevenr StatusPing-ed Need Info
    2006-09-18 stevenr StatusIn Progress Ping-ed
    2006-09-10 stevenr StatusNone In Progress
    2006-09-10 kickino Assigned toNone stevenr

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