/// <summary>
/// Perform SSA change point detection over a column of time series data. See <see cref="SsaChangePointEstimator"/>.
/// </summary>
public static Vector <double> SsaChangePointDetect(
this Scalar <float> input,
int confidence,
int changeHistoryLength,
int trainingWindowSize,
int seasonalityWindowSize,
ErrorFunctionUtils.ErrorFunction errorFunction = ErrorFunctionUtils.ErrorFunction.SignedDifference,
SsaBase.MartingaleType martingale = SsaBase.MartingaleType.Power,
double eps = 0.1) => new OutColumn(input, confidence, changeHistoryLength, trainingWindowSize, seasonalityWindowSize, errorFunction, martingale, eps);
public OutColumn(Scalar <float> input,
int confidence,
int changeHistoryLength,
int trainingWindowSize,
int seasonalityWindowSize,
ErrorFunctionUtils.ErrorFunction errorFunction,
SsaBase.MartingaleType martingale,
double eps)
: base(new Reconciler(confidence, changeHistoryLength, trainingWindowSize, seasonalityWindowSize, errorFunction, martingale, eps), input)
{
Input = input;
}
public Reconciler(
int confidence,
int changeHistoryLength,
int trainingWindowSize,
int seasonalityWindowSize,
ErrorFunctionUtils.ErrorFunction errorFunction,
SsaBase.MartingaleType martingale,
double eps)
{
_confidence = confidence;
_changeHistoryLength = changeHistoryLength;
_trainingWindowSize = trainingWindowSize;
_seasonalityWindowSize = seasonalityWindowSize;
_errorFunction = errorFunction;
_martingale = martingale;
_eps = eps;
}
