lib/deviation_standard_average_exponential.c


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56

// Exponential Moving Standard Deviation
//
// standard_deviation_exponential - sde
//
// Inputs:    1
// Outputs:   1
// Constants: 0


#include <math.h>
#include "ts.h"


typedef struct {
    fp_t a;
} ts_deviation_standard_average_exponential_params_t;

ts_parameter_t const ts_deviation_standard_average_exponential_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_deviation_standard_average_exponential_params_t) };


uint_t ts_deviation_standard_average_exponential_offset( ts_constant_t const *c )
{
	( void )c;
	return ( 0 );
}

int ts_deviation_standard_average_exponential(
	fp_t * const *y, uint_t y_n,
	fp_t const * const *x, uint_t x_n,
	uint_t n, ts_constant_t const *c
)
{
	TS_PROLOGUE( ts_deviation_standard_average_exponential_p );
	if ( !c ) return -1;

	fp_t a = ((ts_deviation_standard_average_exponential_params_t const *)c)->a;
	if (a == 0) return -1;

	y[0][0] = x[0][0];

	fp_t delta;
	fp_t ema = x[0][0];
	fp_t variance = 0;

	for( uint_t i = 1; i < n; ++i )
	{
		delta = x[0][i] - ema;
		ema = ema + a * delta;
		variance = ( 1 - a ) * variance + a * _ts_square( delta );
		y[0][i] = variance >= 0 ? sqrt( variance ) : 0;
	}
	return 0;
}