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// Moving Standard Deviation
//
// standard_deviation - sd
//
// Inputs: 1
// Outputs: 1
// Constants: 0
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_deviation_standard_params_t;
ts_parameter_t const ts_deviation_standard_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_deviation_standard_params_t) };
uint_t ts_deviation_standard_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_deviation_standard_params_t *)c)->k > 0 ? ((ts_deviation_standard_params_t *)c)->k - 1 : 0 : 0 );
}
int ts_deviation_standard(
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_standard_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_deviation_standard_params_t *)c)->k;
if (k == 0 || n < k) return -1;
uint_t xi = 0;
uint_t yi = k;
fp_t mean = 0; // Mean
fp_t mean2 = 0; // Mean of squares
for( ; xi < k; ++xi )
{
mean += x[0][xi];
mean2 += _ts_square( x[0][xi] );
}
mean /= k;
mean2 /= k;
fp_t variance = mean2 - _ts_square( mean );
y[0][k - 1] = variance >= 0 ? sqrt( variance ) : 0;
fp_t rk = _ts_reciprocal( k );
for( ; xi < n; ++xi, ++yi )
{
mean = mean + ( x[0][xi] - x[0][xi - k] ) * rk;
mean2 = mean2 + ( _ts_square( x[0][xi] ) - _ts_square( x[0][xi - k] ) ) * rk;
variance = mean2 - _ts_square( mean );
y[0][yi] = variance >= 0 ? sqrt( variance ) : 0;
}
return 0;
}
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