public static Stat2 <TKey> Stat2 <TKey, TValue, TCursor>(
this Series <TKey, TValue, TCursor> series)
where TCursor : ICursor <TKey, TValue, TCursor>
{
var stat = new Stat2 <TKey>();
using (var cursor = series.GetEnumerator())
{
var first = true;
while (cursor.MoveNext())
{
if (first)
{
stat._start = cursor.CurrentKey;
first = false;
}
stat.AddValue(DoubleUtil.GetDouble(cursor.CurrentValue));
}
stat._end = cursor.CurrentKey;
stat._endValue = DoubleUtil.GetDouble(cursor.CurrentValue);
}
return(stat);
}
public void OnlineVarianceIsStable()
{
var count = 300000; // fails with 400k, small values become not equal
var stat = new Stat2 <int>();
var forward = new double[count + 1];
var backward = new double[count + 1];
for (int i = 1; i <= count; i++)
{
stat.AddValue(i);
if (i > 1)
{
forward[i] = stat.StDev;
//Console.WriteLine($"{i} - {stat.StDev}");
}
}
for (int i = count; i >= 1; i--)
{
if (i > 1)
{
backward[i] = stat.StDev;
//Console.WriteLine($"{i} - {stat.StDev}");
}
stat.RemoveValue(i);
}
for (int i = 1; i <= count; i++)
{
if (i > 1)
{
Assert.AreEqual(forward[i], backward[i]);
if (i < 20 || i > count - 20)
{
// matches to Excel VAR.S/ STDEV.S
Console.WriteLine($"{i} - {forward[i]} - {backward[i]}");
}
}
}
var statDt = new Stat2 <DateTime>();
statDt.AnnualizedVolatility();
}
public static Stat2 <TKey> Stat2 <TKey, TValue>(this ISeries <TKey, TValue> series)
{
var stat = new Stat2 <TKey>();
using (var cursor = series.GetSpecializedCursor())
{
var first = true;
while (cursor.MoveNext())
{
if (first)
{
stat._start = cursor.CurrentKey;
first = false;
}
stat.AddValue(DoubleUtil.GetDouble(cursor.CurrentValue));
}
stat._end = cursor.CurrentKey;
stat._endValue = DoubleUtil.GetDouble(cursor.CurrentValue);
}
return(stat);
}
public void AddNewRight(KeyValuePair <TKey, TValue> newRight)
{
var x = DoubleUtil.GetDouble(newRight.Value);
_state.AddValue(x);
}