public void ValidateSkewness(double lambda)
{
var d = new Poisson(lambda);
Assert.AreEqual(1.0 / Math.Sqrt(lambda), d.Skewness);
}
/// <summary>
/// Run example
/// </summary>
/// <a href="http://en.wikipedia.org/wiki/Poisson_distribution">Poisson distribution</a>
public void Run()
{
// 1. Initialize the new instance of the Poisson distribution class with parameter Lambda = 1
var poisson = new Poisson(1);
Console.WriteLine(@"1. Initialize the new instance of the Poisson distribution class with parameter Lambda = {0}", poisson.Lambda);
Console.WriteLine();
// 2. Distributuion properties:
Console.WriteLine(@"2. {0} distributuion properties:", poisson);
// Cumulative distribution function
Console.WriteLine(@"{0} - Сumulative distribution at location '3'", poisson.CumulativeDistribution(3).ToString(" #0.00000;-#0.00000"));
// Probability density
Console.WriteLine(@"{0} - Probability mass at location '3'", poisson.Probability(3).ToString(" #0.00000;-#0.00000"));
// Log probability density
Console.WriteLine(@"{0} - Log probability mass at location '3'", poisson.ProbabilityLn(3).ToString(" #0.00000;-#0.00000"));
// Entropy
Console.WriteLine(@"{0} - Entropy", poisson.Entropy.ToString(" #0.00000;-#0.00000"));
// Largest element in the domain
Console.WriteLine(@"{0} - Largest element in the domain", poisson.Maximum.ToString(" #0.00000;-#0.00000"));
// Smallest element in the domain
Console.WriteLine(@"{0} - Smallest element in the domain", poisson.Minimum.ToString(" #0.00000;-#0.00000"));
// Mean
Console.WriteLine(@"{0} - Mean", poisson.Mean.ToString(" #0.00000;-#0.00000"));
// Median
Console.WriteLine(@"{0} - Median", poisson.Median.ToString(" #0.00000;-#0.00000"));
// Mode
Console.WriteLine(@"{0} - Mode", poisson.Mode.ToString(" #0.00000;-#0.00000"));
// Variance
Console.WriteLine(@"{0} - Variance", poisson.Variance.ToString(" #0.00000;-#0.00000"));
// Standard deviation
Console.WriteLine(@"{0} - Standard deviation", poisson.StdDev.ToString(" #0.00000;-#0.00000"));
// Skewness
Console.WriteLine(@"{0} - Skewness", poisson.Skewness.ToString(" #0.00000;-#0.00000"));
Console.WriteLine();
// 3. Generate 10 samples of the Poisson distribution
Console.WriteLine(@"3. Generate 10 samples of the Poisson distribution");
for (var i = 0; i < 10; i++)
{
Console.Write(poisson.Sample().ToString("N05") + @" ");
}
Console.WriteLine();
Console.WriteLine();
// 4. Generate 100000 samples of the Poisson(1) distribution and display histogram
Console.WriteLine(@"4. Generate 100000 samples of the Poisson(1) distribution and display histogram");
var data = new double[100000];
for (var i = 0; i < data.Length; i++)
{
data[i] = poisson.Sample();
}
ConsoleHelper.DisplayHistogram(data);
Console.WriteLine();
// 5. Generate 100000 samples of the Poisson(4) distribution and display histogram
Console.WriteLine(@"5. Generate 100000 samples of the Poisson(4) distribution and display histogram");
poisson.Lambda = 4;
for (var i = 0; i < data.Length; i++)
{
data[i] = poisson.Sample();
}
ConsoleHelper.DisplayHistogram(data);
Console.WriteLine();
// 6. Generate 100000 samples of the Poisson(10) distribution and display histogram
Console.WriteLine(@"6. Generate 100000 samples of the Poisson(10) distribution and display histogram");
poisson.Lambda = 10;
for (var i = 0; i < data.Length; i++)
{
data[i] = poisson.Sample();
}
ConsoleHelper.DisplayHistogram(data);
}
public void ValidateToString()
{
var d = new Poisson(0.3);
Assert.AreEqual(String.Format("Poisson(λ = {0})", 0.3), d.ToString());
}
public void ValidateEntropy(double lambda)
{
var d = new Poisson(lambda);
Assert.AreEqual((0.5 * Math.Log(2 * Math.PI * Math.E * lambda)) - (1.0 / (12.0 * lambda)) - (1.0 / (24.0 * lambda * lambda)) - (19.0 / (360.0 * lambda * lambda * lambda)), d.Entropy);
}
public void ValidateCumulativeDistribution(double lambda, int x, double result)
{
var d = new Poisson(lambda);
Assert.AreEqual(d.CumulativeDistribution(x), result, 1e-12);
}
public void CanCreatePoisson(double lambda)
{
var d = new Poisson(lambda);
Assert.AreEqual(lambda, d.Lambda);
}
public void CanSample()
{
var d = new Poisson(0.3);
d.Sample();
}
public void CanSampleSequence()
{
var d = new Poisson(0.3);
var ied = d.Samples();
GC.KeepAlive(ied.Take(5).ToArray());
}
public void ValidateMaximum()
{
var d = new Poisson(0.3);
Assert.AreEqual(int.MaxValue, d.Maximum);
}
public void ValidateProbabilityLn(double lambda, int x, double result)
{
var d = new Poisson(lambda);
Assert.AreEqual(d.ProbabilityLn(x), Math.Log(result), 1e-12);
}
public void ValidateMinimum()
{
var d = new Poisson(0.3);
Assert.AreEqual(0, d.Minimum);
}
public void ValidateMedian(double lambda)
{
var d = new Poisson(lambda);
Assert.AreEqual((int)Math.Floor(lambda + (1.0 / 3.0) - (0.02 / lambda)), d.Median);
}
public void ValidateMode(double lambda)
{
var d = new Poisson(lambda);
Assert.AreEqual((int)Math.Floor(lambda), d.Mode);
}
public static void GenerateShortReadsFromDonorGenome(string donorGenomeFile, string readsFile, int readLength, double coverage, long limit)
{
Poisson poisson = new Poisson(coverage / readLength) { RandomSource = new MersenneTwister() };
using (var donorFile = File.OpenRead(donorGenomeFile))
using (var file = File.Open(readsFile, FileMode.Create))
{
var writer = new BinaryWriter(file);
var reader = new BinaryReader(donorFile);
writer.Write(readLength);
for (long donorIndex = 0, numReads = 0; donorIndex <= donorFile.Length - readLength && numReads < limit; donorIndex++)
{
var numReadsAtPos = poisson.Sample();
numReads += numReadsAtPos;
if (numReadsAtPos > 0)
{
donorFile.Seek(donorIndex, SeekOrigin.Begin);
var chars = reader.ReadChars(readLength);
string read = new string(chars);
DnaSequence dna = DnaSequence.CreateGenomeFromString(read);
for (int i = 0; i < numReadsAtPos; i++)
writer.Write(dna.Bytes);
}
}
}
}
public JsonResult SpotPriceSimulation(
int[] timeStepsInLevels, double[] priceLevels,
double timeStep, double reversionRate, double volatility,
int numberOfSimulations)
{
if (timeStepsInLevels.Length != priceLevels.Length)
throw new Exception("Lengths not consistent");
//hourly simulation
var horizon = timeStepsInLevels.Sum()*24; //
//TODO: add daily/hourly resolution... if it makes sense... but not really.
//estimate an hourly ARMA...
var d = AppData.GetHistoricalSeries(PricesController._timeSeries);
var data = d
.Select(x => x.Value != null ? (double)x.Value : 0) //0 for now, when interpolation is done... etc..
.ToArray();
//just take last 3 years... mhm...
var threeYears = 24 * 7 * 4 * 12 * 3;
if (data.Length > threeYears)
{
data = data.Skip(data.Length - threeYears).Take(threeYears).ToArray();
}
//detrend to make stationary
data = TimeSeries.toStationary(data);
//hourly
//var seasons = new int[] { 24, 24 * 7, 24 * 7 * 4, 24 * 7 * 4 * 6, 24 * 7 * 4 * 12};
//var arSes = new int[] { 1, 2, 24, 25 };
//daily
//var seasons = new int[] { 7, 7*4, 7*4*12 };
//var arSes = new int[] { 1, 7, 7*4 };
//var arma = TimeSeries.ARMASimple2(data, arSes, seasons);
//fitted model from matlab
var arlags = new int[] { 1, 2, 24, 25 };
//var ar = new TimeSeries.LagOp(new double[] { 1.04216, -0.125323, 0.777886, -0.699448 }, arlags);
var malags = new int[] { 24, 168 };
//var ma = new TimeSeries.LagOp(new double[] { -0.44595, 0.175135 }, malags);
//var xarma = TimeSeries.ARMASimple3(ar, ma, 0.166685, 2.80023);
//our fitting procedure.. difference...? not much...
var arma = TimeSeries.ARMASimple2(data, arlags, malags);
arma = TimeSeries.ARMASimple3(arma.AR, arma.MA, arma.Const, volatility);
var inSampleRes = TimeSeries.Infer(arma, data);
var sims = arma.Simulate(numberOfSimulations, horizon, data, inSampleRes);
var hoursSteps = timeStepsInLevels.Select(x => x * 24).ToArray();
var desezonalizedData = Desezonalize(data, 168);
//add the spikes
//Then perform the spike estimation
var spikesThreshold = 1.7;
var spikeIndices = EstimateSpikesOnMovSDs(desezonalizedData, 24, 2, spikesThreshold);
//select hour
var peakHour = 16;
var peakhourData = TakeShortPeriods(data, 1, peakHour, 24);
var peakSpikeIndices = EstimateSpikesOnMovSDs(peakhourData, 7, 2, spikesThreshold);
var distrib = EstimateSpikesDistribution(peakhourData, peakSpikeIndices, Forecast.SpikePreprocess.SimilarDay, spikesThreshold);
//for testing..
var n = new Normal(distrib.Item1.Mean, distrib.Item1.Variance);
var p = new Poisson(distrib.Item2.Lambda * 24);
//replace spikes now...
//TODO: replace at the right hour... yes...
sims = Simulations.spikeSimulationsReplace(sims, p, n);
//fit the forward curve
sims = Simulations.liftSeriesToPriceCurve(sims, hoursSteps, priceLevels);
return Json(sims);
}