lib/deviation_vector.c


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// Vector Standard Deviation
//
// deviation_vector - std_dev
//
// Rolling population standard deviation over period k
//
// Inputs:    1
// Outputs:   1 (stddev)
// Constants: 1 (period)

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

typedef struct {
    uint_t k;
} ts_deviation_vector_params_t;

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

uint_t ts_deviation_vector_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? ((ts_deviation_vector_params_t const *)c)->k > 0 ? ((ts_deviation_vector_params_t const *)c)->k - 1 : 0 : 0 );
}

int ts_deviation_vector(
	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_vector_p );
	if ( !c ) return -1;
    uint_t k = ((ts_deviation_vector_params_t const *)c)->k;
    if (k == 0 || n < k) return -1;

    for (uint_t i = 0; i < n; ++i)
    {
        if (i < k - 1)
        {
            y[0][i] = 0;
        }
        else
        {
            fp_t sum = 0;
            fp_t sum2 = 0;
            for (uint_t j = i - k + 1; j <= i; ++j)
            {
                sum += x[0][j];
                sum2 += x[0][j] * x[0][j];
            }
            fp_t mean = sum / k;
            fp_t variance = sum2 / k - mean * mean;
            y[0][i] = variance >= 0 ? sqrt(variance) : 0;
        }
    }
	return 0;
}