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// Random Walk Index
//
// random_walk_index
//
// Random Walk Index
//
//
//
// Inputs: 1
// Outputs: 1
// Constants: 0
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_random_walk_index_params_t;
ts_parameter_t const ts_random_walk_index_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_random_walk_index_params_t) };
uint_t ts_random_walk_index_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_random_walk_index_params_t *)c)->k : 0 );
}
int ts_random_walk_index(
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_random_walk_index_p );
if ( !c ) return -1;
uint_t k = ((ts_random_walk_index_params_t *)c)->k;
if (k == 0 || n < k + 1) return -1;
fp_t sum_abs = 0;
fp_t sum_net = 0;
for ( uint_t i = 0; i < k; ++i )
{
fp_t change = x[0][i + 1] - x[0][i];
sum_abs += fabs( change );
sum_net += change;
}
y[0][k] = sum_net == 0 ? 0 : sum_abs / sum_net;
for ( uint_t i = k + 1; i < n; ++i )
{
fp_t change_new = x[0][i] - x[0][i - 1];
fp_t change_old = x[0][i - k] - x[0][i - k - 1];
sum_abs = sum_abs - fabs( change_old ) + fabs( change_new );
sum_net = sum_net - change_old + change_new;
y[0][i] = sum_net == 0 ? 0 : sum_abs / sum_net;
}
return 0;
}
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