Thanks Supun! >From what I understood, way it works is.
1. I take a dataset 2. I do various statistical tests and decide AR, MA, ARIMA and estimate parameters. 3. Then apply the built model to predict the next value #1 and #2 we should do in batch fashion using Spark ( and add a Path in ML Wizard for user to do it). However, #3 we need to do from CEP, as the data arrives. Is that possible to take the code from the project to do #3 as well? --Srinath On Thu, Aug 13, 2015 at 3:39 AM, Supun Sethunga <[email protected]> wrote: > [Moving the discussion to arch@] > > Hi all, > > I looked into their code and infact they do have ARIMA implementation [1] > , though its not there in the documentation. Not sure whether its still > under development. Anyway, they also do have some statistical tests (Durbin > watson test, Breusch-Godfrey Test) which we might need. > > So, regarding what we can do in ML.. think we can support both AR and MA > separately (for anyone who is interested), and ARIMA as the generalized > version. I created a very Basic summary on ARIMA model [2]. Will improve > this, going forward :) > > [1] > https://github.com/cloudera/spark-timeseries/blob/master/src/main/scala/com/cloudera/sparkts/ARIMA.scala > [2] > https://docs.google.com/a/wso2.com/document/d/1pcGT620Fjms9gxmyn85mNP93oye_5xxCBhtqvE6iAAw/edit?usp=sharing > > Thanks, > Supun > > On Wed, Jul 29, 2015 at 2:21 AM, Supun Sethunga <[email protected]> wrote: > >> Sure Srinath. By the look of it, seems they do have "Exponentially >> weighted moving average" and "Auto-regressive models". Will do bit of >> research on whether they support ARMA/ARIMA stuff (combination of the >> earlier two) which are the most widely used models. >> >> Thanks Nirmal for the Link btw :) >> >> On Wed, Jul 29, 2015 at 11:30 AM, Srinath Perera <[email protected]> >> wrote: >> >>> Supun, please checkout and send notes. >>> >>> --Srinath >>> >>> On Wed, Jul 29, 2015 at 11:29 AM, Seshika Fernando <[email protected]> >>> wrote: >>> >>>> Ah, this is superb. It has the VaR stuff that I wanted to do also. :) >>>> >>>> On Wed, Jul 29, 2015 at 11:07 AM, Nirmal Fernando <[email protected]> >>>> wrote: >>>> >>>>> A library for financial and time series calculations on Apache Spark >>>>> https://github.com/cloudera/spark-timeseries >>>>> >>>>> -- >>>>> >>>>> Thanks & regards, >>>>> Nirmal >>>>> >>>>> Associate Technical Lead - Data Technologies Team, WSO2 Inc. >>>>> Mobile: +94715779733 >>>>> Blog: http://nirmalfdo.blogspot.com/ >>>>> >>>>> >>>>> >>>> >>> >>> >>> -- >>> ============================ >>> Blog: http://srinathsview.blogspot.com twitter:@srinath_perera >>> Site: http://people.apache.org/~hemapani/ >>> Photos: http://www.flickr.com/photos/hemapani/ >>> Phone: 0772360902 >>> >> >> >> >> -- >> *Supun Sethunga* >> Software Engineer >> WSO2, Inc. >> http://wso2.com/ >> lean | enterprise | middleware >> Mobile : +94 716546324 >> > > > > -- > *Supun Sethunga* > Software Engineer > WSO2, Inc. > http://wso2.com/ > lean | enterprise | middleware > Mobile : +94 716546324 > -- ============================ Blog: http://srinathsview.blogspot.com twitter:@srinath_perera Site: http://people.apache.org/~hemapani/ Photos: http://www.flickr.com/photos/hemapani/ Phone: 0772360902
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