static public double[,] Correlation(params double[][] dataAr)
{
double[,] resCor = new double[1, 1];
resCor[0, 0] = double.NaN;
if (dataAr.Length < 2)
{
return(resCor);
}
foreach (double[] el in dataAr)
{
if (el.Length != dataAr[0].Length || DataConvertationClass.IsUndefinedElement(el))
{
return(resCor);
}
}
resCor = Covariation(dataAr);
for (int i = 0; i < resCor.GetLength(0); i++)
{
double dsp1 = Dispersion(dataAr[i]);
for (int j = 0; j < resCor.GetLength(1); j++)
{
if (i != j)
{
double dsp2 = Dispersion(dataAr[j]);
resCor[i, j] = resCor[i, j] / (Math.Sqrt(dsp1 * dsp2));
}
else
{
resCor[i, j] = 1;
}
}
}
return(resCor);
}
static public double[] ACF(double[] dataAr, int degree)
{
double[] ACArray;
if (degree < 0 || DataConvertationClass.IsUndefinedElement(dataAr))
{
ACArray = new double[] { double.NaN };
return(ACArray);
}
ACArray = new double[degree + 1];
ACArray[0] = 1;
double midd = Middle(dataAr);
double c0 = 0;
foreach (double el in dataAr)
{
c0 = c0 + Math.Pow((el - midd), 2);
}
double ck;
for (int k = 1; k <= degree; k++)
{
ck = 0;
for (int i = 0; i < dataAr.Length - k; i++)
{
ck += (dataAr[i] - midd) * (dataAr[i + k] - midd);
}
ACArray[k] = ck / c0;
}
return(ACArray);
}
static public double[] PACF(double[] dataAr, int degree)
{
double[] PACFArray;
if (degree < 1 || DataConvertationClass.IsUndefinedElement(dataAr))
{
PACFArray = new double[] { double.NaN };
return(PACFArray);
}
PACFArray = new double[degree + 1];
double[] ACFArray = ACF(dataAr, degree);
PACFArray[1] = ACFArray[1];
for (int k = 2; k <= degree; k++)
{
double ch = 0;
double zn = 0;
for (int j = 1; j < k; j++)
{
ch += PACFij(PACFArray, k - 1, j) * ACFArray[k - j];
zn += PACFij(PACFArray, k - 1, j) * ACFArray[j];
}
ch = ACFArray[k] - ch;
zn = 1 - zn;
PACFArray[k] = ch / zn;
}
return(PACFArray);
}
static public double Middle(double[] dataAr)
{
if (DataConvertationClass.IsUndefinedElement(dataAr))
{
return(double.NaN);
}
double temp = 0;
foreach (double el in dataAr)
{
temp = temp + el;
}
temp = temp / dataAr.Length;
return(temp);
}
static public double Dispersion(double[] dataAr)
{
if (DataConvertationClass.IsUndefinedElement(dataAr))
{
return(double.NaN);
}
double middl = Middle(dataAr);
double disp = 0;
foreach (double el in dataAr)
{
disp = disp + Math.Pow((el - middl), 2);
}
disp = disp / (dataAr.Length - 1);
return(disp);
}
static private double Cov(double[] x, double[] y)
{
if (x.Length != y.Length || DataConvertationClass.IsUndefinedElement(x) || DataConvertationClass.IsUndefinedElement(y))
{
return(double.NaN);
}
double middX = Middle(x);
double middY = Middle(y);
double[] diffXY = new double[x.Length];
for (int i = 0; i < x.Length; i++)
{
diffXY[i] = (x[i] - middX) * (y[i] - middY);
}
return(Middle(diffXY));
}
static public double Kurtosis(double[] dataAr)
{
if (DataConvertationClass.IsUndefinedElement(dataAr))
{
return(double.NaN);
}
double dis = Math.Sqrt(Dispersion(dataAr));
double middl = Middle(dataAr);
double kurt = 0;
foreach (double el in dataAr)
{
kurt = kurt + Math.Pow((el - middl) / dis, 4);
}
kurt = kurt / dataAr.Length;
return(kurt);
}
static public double Skewness(double[] dataAr)
{
if (DataConvertationClass.IsUndefinedElement(dataAr))
{
return(double.NaN);
}
double dis = Math.Sqrt(Dispersion(dataAr));
double middl = Middle(dataAr);
double skew = 0;
foreach (double el in dataAr)
{
skew = skew + Math.Pow((el - middl) / dis, 3);
}
skew = skew / dataAr.Length;
return(skew);
}
static public double[,] Covariation(params double[][] dataAr)
{
double[,] resCov = new double[1, 1];
resCov[0, 0] = double.NaN;
foreach (double[] el in dataAr)
{
if (el.Length != dataAr[0].Length || DataConvertationClass.IsUndefinedElement(el))
{
return(resCov);
}
}
resCov = new double[dataAr.Length, dataAr.Length];
for (int i = 0; i < dataAr.Length; i++)
{
for (int j = 0; j < i; j++)
{
resCov[i, j] = Cov(dataAr[i], dataAr[j]);
resCov[j, i] = resCov[i, j];
}
resCov[i, i] = Cov(dataAr[i], dataAr[i]);
}
return(resCov);
}
