lib/variance_exponential.c


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// Exponential Variance
//
// variance_exponential
//
// Inputs:    1
// Outputs:   1
// Constants: 0

#include "ts.h"


typedef struct {
    fp_t a;
} ts_variance_exponential_params_t;

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


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

int ts_variance_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_variance_exponential_p );
	if ( !c ) return -1;

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

	y[0][0] = 0;

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

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