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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/WMAPE_Series.cs
+8 -11
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@@ -1,9 +1,12 @@
namespace QuanTAlib;
using System;
using System.Linq;
/* <summary>
WMAPE: Weighted Mean Absolute Percentage Error
Measures the size of the error in percentage terms
Measures the size of the error in percentage terms. Improves problems with MAPE
when there are zero or close-to-zero values because there would be a division by zero
or values of MAPE tending to infinity.
Sources:
https://en.wikipedia.org/wiki/WMAPE
@@ -20,13 +23,8 @@ public class WMAPE_Series : Single_TSeries_Indicator
public override void Add((System.DateTime t, double v) TValue, bool update)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
double _sma = 0;
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
_sma /= this._buffer.Count;
Add_Replace_Trim(_buffer, TValue.v, _p, update);
double _sma = _buffer.Average();
double _div = 0;
double _wmape = 0;
@@ -35,9 +33,8 @@ public class WMAPE_Series : Single_TSeries_Indicator
_wmape += Math.Abs(_buffer[i] - _sma);
_div += Math.Abs(_buffer[i]);
}
_wmape /= _div;
_wmape = (_div!=0) ? _wmape/_div : double.PositiveInfinity;
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _wmape);
base.Add(result, update);
base.Add((TValue.t, _wmape), update, _NaN);
}
}