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COVAR

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semver fix


VAR test fix


new: COVAR, ZSCORE, CORR, LINREG


versioning


refactoring
This commit is contained in:
Miha Kralj
2022-11-17 11:05:20 -08:00
parent fd2a686ba5
commit 73e3420379
59 changed files with 1225 additions and 1285 deletions
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Source/Statistics/SSDEV_Series.cs
+6 -11
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@@ -1,5 +1,6 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
SSDEV: (Corrected) Sample Standard Deviation
@@ -25,20 +26,14 @@ public class SSDEV_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
else { this._buffer.Add(TValue.v); }
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
double _sma = 0;
for (int i = 0; i < this._buffer.Count; i++) { _sma += this._buffer[i]; }
_sma /= this._buffer.Count;
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _sma = _buffer.Average();
double _svar = 0;
for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
for (int i = 0; i < this._buffer.Count; i++) { _svar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_svar /= (_buffer.Count > 1) ? _buffer.Count - 1 : 1; // Bessel's correction
double _ssdev = Math.Sqrt(_svar);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ssdev);
base.Add(result, update);
base.Add((TValue.t, _ssdev), update, _NaN);
}
}