1 files changed, 61 insertions, 0 deletions
diff --git a/lib/deviation_vector.c b/lib/deviation_vector.c
new file mode 100644
index 0000000..4f10037
--- /dev/null
+++ b/lib/deviation_vector.c
@@ -0,0 +1,61 @@
+// 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 *)c)->k > 0 ? ((ts_deviation_vector_params_t *)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 *)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;
+}
+
+
+