32 lines
882 B
Rust
32 lines
882 B
Rust
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//! Statistic functions.
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/// Standard deviation — population (`ddof = 0`).
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pub fn stddev(real: &[f64], timeperiod: usize, nbdev: f64) -> Vec<f64> {
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let n = real.len();
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let mut result = vec![f64::NAN; n];
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if timeperiod < 1 || n < timeperiod {
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return result;
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}
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for i in (timeperiod - 1)..n {
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let window = &real[i + 1 - timeperiod..=i];
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let mean: f64 = window.iter().sum::<f64>() / timeperiod as f64;
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let var: f64 = window.iter().map(|&x| (x - mean).powi(2)).sum::<f64>() / timeperiod as f64;
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result[i] = var.sqrt() * nbdev;
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}
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result
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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#[test]
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fn stddev_constant() {
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let prices = vec![5.0; 5];
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let result = stddev(&prices, 3, 1.0);
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for v in result.iter().filter(|v| !v.is_nan()) {
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assert!(v.abs() < 1e-10);
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}
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}
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}
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