initial commit: ts time series analysis library v0.1.0

- 354 financial and mathematical time-series indicators
- Uniform C11 API with consistent function signatures
- 349 passing tests with -Werror
- Static and shared library builds
- pkg-config integration
- Python bindings
- Fuzzing and sanitizer support
- Security hardening flags

1 files changed, 58 insertions, 0 deletions

diff --git a/lib/decay_exponential.c b/lib/decay_exponential.c
new file mode 100644
index 0000000..97afe36
--- /dev/null
+++ b/lib/decay_exponential.c
@@ -0,0 +1,58 @@
+// Exponential Decay
+//
+// decay_exponential -  edecay
+//
+// DESCRIPTION
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 0
+
+
+#include <math.h>
+#include "ts.h"
+
+
+typedef struct {
+    uint_t k;
+} ts_decay_exponential_params_t;
+
+ts_parameter_t const ts_decay_exponential_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_decay_exponential_params_t) };
+
+
+uint_t ts_decay_exponential_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_decay_exponential_params_t *)c)->k : 0 );
+}
+
+int ts_decay_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_decay_exponential_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_decay_exponential_params_t *)c)->k;
+	if (k == 0 || n <= k) return -1;
+
+	fp_t a = ( fp_t ) 1.0 - _ts_reciprocal( k );
+
+	for( uint_t i = 0; i < k; ++i )
+		y[0][i] = 0;
+
+	fp_t prev = x[0][0];
+	for( uint_t i = 1; i <= k; ++i )
+		prev = fmax( x[0][i], prev * a );
+	y[0][k] = prev;
+
+	for( uint_t i = k + 1; i < n; ++i )
+	{
+		y[0][i] = fmax( x[0][i], y[0][i - 1] * a );
+	}
+	return 0;
+}
+
+
+