Header-only library multi-threaded implementation of Adaptive Kolmogorov-Zurbenko filter for different dimensions written in modern C++ as university project for parallel computing course.

The Kolmogorov-Zurbenko (KZ) filter is a low-pass filter designed to remove noise from time series and two- or three-dimensional data. It is based on a simple moving average filter and relies on two parameters: the smoothing window size and the number of iterations of the MA filter.

The Kolmogorov-Zurbenko adaptive (KZA) filter is an extension of the KZ filter. It was designed to detect breaks in both one-dimensional and high-dimensional data by adjusting the size of the KZ smoothing window when a break occurs.

Documentation

KZA theory: docs/kza_theory.pdf

Also see the R kza package

Vadim Marchenko <jakosvadim at gmail dot com> - worked on kza.hpp and documentation

Polina Zolotareva <polinaazolot at gmail dot com> / Nataliia Shalimova - worked on KZA theory (docs/kza_theory.pdf)

Kirill Avdeichuk/Artem Cherepanov - worked on tests

Scientific supervisor: Denis Vasilyevich Parfenov

This C++ multi-threaded version based on C-code for R package by Brian Close

CMake has multiple options:

• -DPREFIX_SUM - prefix sum optimization;
• -DTIMER - time measurement;

To use the library, you need to include the header file kza.hpp in your project. After that, you can use one of the algorithms, for example one-dimensional Kolmogorov-Zurbenko Adaptive filter:

KZ1D<double, size_t, unsigned> kz1d(window, iterations);
std::vector<double> kz_ans = kz1d(x);
KZA1D<double, size_t, unsigned> kz1d(window, min_win, tolerance, iterations);
std::vector<double> kza_ans = kza1d(x, kz_ans);

You can also run examples of using the library in Python. To build a Python module, you need pybind11. If you dont want to provide pybind11 path in CMakeLists.txt, you can install it globaly with:

$ pip install "pybind11[global]"

If you get the following error: "Imported target "pybind11::module" includes non-existent path", run:

$ sudo apt install python[version]-dev 

minimum version 3.6 ( recommended 3.11 )

Build bybind11 module:

$ cd tests 
$ cmake .
$ make

Run examples:

$ python examples/kz1d_example.py 
$ python examples/kz2d_example.py 
$ python examples/kza1d_example.py
$ python examples/kza2d_example.py

$ cd tests 
$ cmake . -Dkza_timer=true
$ make
$ python run_tests.py