R/create_random_ts.R

In joshmarsh/TSTestDataUtil: TimeSeries Test Data Creation Utility

#'Create a Realistic Random Time Series
#'
#'(i.e. each point will not vary too far from its predecessor)
#'
#'@param length Numeric length of the time series
#'@param first Numeric first value of the time series
#'@param max.variability Maximum difference between any point and its predecessor
#'@param embed A numeric vector that will be embedded within the time series
#'@param interval A numeric time interval to be inserted between each point. This makes the
#'time series regular.
#'@export
createRandTimeSeries <- function(length, first, max.variability, embed, interval, floor, ceiling){

  #TODO: This has a bug with the ceiling/floor where it drops to zero sometimes. Fix before adding to TSPAtternQuery

  values <- vector("numeric",length = length)
  values[1] <- first
  for(i in 2:(length/2)){
    if(sample(1:2, 1)%%2 == 0){
      next.val <- values[i-1] + runif(1, min=0, max=1)*max.variability
      if(!missing(ceiling) && next.val > ceiling){
        i <- i-1
        next()
        }
      values[i] <- next.val
    } else{
      next.val <- values[i-1] - runif(1, min=0, max=1)*max.variability
      if(!missing(ceiling) && next.val < floor){
        i <- i-1
        next()
      }
      values[i] <- values[i-1] - runif(1, min=0, max=1)*max.variability
    }
  }

  if(!missing(embed)){
    for(i in 1:length(embed)){
      values[length/2 + i] <- values[length/2] + embed[i]
    }
  }else{
    embed <- vector()
  }

  length.after.embed = length/2 + length(embed) + 1
  for(i in length.after.embed:length){
    if(sample(1:2, 1)%%2 == 0){
      next.val <- values[i-1] + runif(1, min=0, max=1)*max.variability
      if(!missing(ceiling) && next.val > ceiling){
        i <- i-1
        next()
      }
      values[i] <- values[i-1] + runif(1, min=0, max=1)*max.variability
    } else{
      next.val <- values[i-1] - runif(1, min=0, max=1)*max.variability
      if(!missing(ceiling) && next.val < floor){
        i <- i-1
        next()
      }
      values[i] <- values[i-1] - runif(1, min=0, max=1)*max.variability
    }
    point <- values[i]
  }
  if(!missing(interval)){
    return(CreateCustomTimeSeries(
      values,
      seq(from=interval, to=interval, length.out = length(values)-1)
      )
      )
  }
  return(CreateCustomTimeSeries(values))
}