TimeAxisArrays.jl

A convenience wrapper around AxisArrays.jl for working with time series data

TimeAxisArrays.jl augments AxisArrays.jl with functionality for time series analysis. A TimeAxisArray is simply an AxisArray with the first axis constrained to be dimensional and labelled :Timestamp, and all remaining axes categorical. It inherits all AxisArray functionality such as indexing, merging and joining, and math and logic operations, while gaining additional functionality for common time series operations such as temporal downsampling, differencing, lead, and lag.

This package is currently a work-in-progress and so is unregistered - to install, first install AxisArrays.jl (which is also unregistered) and run:

julia> Pkg.clone("https://github.com/GordStephen/TimeAxisArrays.jl")

User Guide

• Getting Started
  • Creating TimeAxisArrays
  • Indexing
• Combing multiple TimeAxisArrays
  • Combining on existing axes
  • Combining into a new axis
• Splitting, collapsing, and downsampling on timestamps
  • Splitting
  • Collapsing
  • Downsampling
• Other time series utilities
  • Rolling reductions
  • Lead and lag
  • Absolute and percent differencing
• File IO
  • Reading from disk
  • Writing to disk