L1TF trend fitting in python with advanced features such as seasonality, level changes and outlier resistance
License: Apache License 2.0
L1TF trend fitting in python including seasonality and other sparse features. Includes a novel "l1-everything" algorithm which uses l1-norms for everything including the residual.
Example:
test_myl1tf.test_l1tf_on_mock_with_period(period=6,alpha=0.5,eta=1.0)
Based on the paper By Kim, Koh & Boyd
Requires numpy and cvxopt libraries matplotlib required to enable plotting
To test (assuming you have nose installed) run nosetests myl1tf/test_myl1tf.py
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