1 files changed, 67 insertions, 0 deletions
diff --git a/lib/average_weighted.c b/lib/average_weighted.c
new file mode 100644
index 0000000..eb99a17
--- /dev/null
+++ b/lib/average_weighted.c
@@ -0,0 +1,67 @@
+// Weighted Moving Average
+//
+// average_weighted - wma
+//
+// Weighted mean of previous k data points
+//
+// y[t] = SUM[ i = t, t - k]( x[t] *  (  ) )
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include "ts.h"
+
+
+typedef struct {
+    uint_t k;
+} ts_average_weighted_params_t;
+
+ts_parameter_t const ts_average_weighted_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_average_weighted_params_t) };
+
+
+uint_t ts_average_weighted_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_average_weighted_params_t *)c)->k - 1 : 0 );
+}
+
+int ts_average_weighted(
+	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_average_weighted_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_average_weighted_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	uint_t xi = 0;
+	uint_t yi = k;
+
+	fp_t sum = 0;
+	fp_t wsum = 0;
+
+	for( ; xi < k; ++xi )
+	{
+		sum += x[0][xi];
+		wsum += x[0][xi] * ( xi + 1 );
+	}
+
+	fp_t rtri = 1.0 / _ts_triangle_number( k );
+
+	y[0][k - 1] = wsum * rtri;
+
+	for( ; xi < n; ++xi, ++yi )
+	{
+		wsum = wsum + ( k * x[0][xi] ) - sum;
+		sum = sum + x[0][xi] - x[0][xi - k];
+		y[0][yi] = wsum * rtri;
+	}
+	return 0;
+}
+
+
+