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BornToBeTrader
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Joined: November 14th, 2004, 12:23 am
Location: New York

Java Time Series

September 24th, 2010, 1:02 am

Can Anyone recommend any time series libraries already coded in Java. One link I found is below, but I'm wondering if anyone has used it. I was hoping to get some comments before I put it in my project?http://www.jmulti.de/
 
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vineet20
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Joined: May 17th, 2007, 1:34 pm

Java Time Series

September 27th, 2010, 7:18 am

Just a comment...I haven't used JMulti, but have referenced Helmut's book. He is a fairly well-published guy, so, for what it's worth, it should be 'safe'.
 
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quantmeh
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Joined: April 6th, 2007, 1:39 pm

Java Time Series

September 27th, 2010, 10:17 pm

it's Gauss under the hood, afaik. it's not pure Java.what time series methods do you need?
 
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BornToBeTrader
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Joined: November 14th, 2004, 12:23 am
Location: New York

Java Time Series

December 5th, 2010, 11:05 pm

Hopefully the basic stuff that I can easily do in Matlab. Cointegeration, ARMA, ARIMA, ARCH, GARCH, and hopefully, some non-linear regression. I know a possibility is to connect Java to MAtlab (I'm guessing it should be doable), but that'll slow things.
 
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quantmeh
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Joined: April 6th, 2007, 1:39 pm

Java Time Series

December 6th, 2010, 4:14 pm

QuoteOriginally posted by: BornToBeTraderCointegeration, ARMA, ARIMA, ARCH, GARCH, and hopefully, some non-linear regression. i didnt see pure Java libraries with these. i've been contemplating to write this stuff myself since past Summerthere's apache-commons-math and its offspring Mahout, but they don't have these methods.
 
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capafan2
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Joined: June 20th, 2009, 11:26 am

Java Time Series

December 15th, 2010, 2:57 am

QuoteOriginally posted by: quantmehQuoteOriginally posted by: BornToBeTraderCointegeration, ARMA, ARIMA, ARCH, GARCH, and hopefully, some non-linear regression. i didnt see pure Java libraries with these. i've been contemplating to write this stuff myself since past Summerthere's apache-commons-math and its offspring Mahout, but they don't have these methods.What's your opinion about Mahout. It uses Hadoop right? Is it a good api for data mining, statistical applications. Is it growing, extensible? How well does it handle really large data sets. What have you used it for?Thx
 
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capafan2
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Joined: June 20th, 2009, 11:26 am

Java Time Series

December 15th, 2010, 2:58 am

QuoteOriginally posted by: quantmehQuoteOriginally posted by: BornToBeTraderCointegeration, ARMA, ARIMA, ARCH, GARCH, and hopefully, some non-linear regression. i didnt see pure Java libraries with these. i've been contemplating to write this stuff myself since past Summerthere's apache-commons-math and its offspring Mahout, but they don't have these methods.What's your opinion about Mahout. It uses Hadoop right? Is it a good api for data mining, statistical applications. Is it growing, extensible? How well does it handle really large data sets. What have you used it for?Thx
 
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hli7
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Joined: February 7th, 2005, 8:25 pm

Java Time Series

December 18th, 2010, 6:53 am

SuanShu is a pure Java library of numerical analysis and statistics.It has ARMA, ARIMA, ARCH, GARCH and GLM regression for your purpose.It is releasing cointegration and Hidden Markov chain modeling in Q1, 2011.http://www.numericalmethod.com/javadoc/suanshu/
Last edited by hli7 on May 26th, 2011, 10:00 pm, edited 1 time in total.
 
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quantmeh
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Java Time Series

December 26th, 2010, 4:08 am

QuoteOriginally posted by: capafan2What's your opinion about Mahout. It uses Hadoop right? Mahout seems to focus on machine learning domain, it has some econometrics methods inside. Hadoop is used for parallel processing. i didn't look at how exactly they use Hadoop, have no opinion.SuanShu link, which was posted here, is interesting. these people seem to convert public domain software and package it as commercial software. i don't like this approach, it's basically leaching, but their coverage is quite good. if you're Ok with closed source code, then maybe it's worth trying
 
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katastrofa
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Java Time Series

December 28th, 2010, 5:50 pm

They pretend to have coverage of areas which they don't cover: http://www.numericalmethod.info/javadoc ... mmary.html