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// 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 const *)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 const *)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;
}
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