public static TimeSeriesValues Differentiate(TimeSeriesValues seq)
{
using (seq.Lock.GetReadLock()) {
TimeSeriesValues ret = new TimeSeriesValues(seq.ColumnNames.Select(n => "diff " + n).ToArray());
for (int i = 0; i < seq.SequenceLength - 1; i++)
{
decimal preTime, postTime;
if (!seq.TryGetTimeFromIndex(i, out preTime) || !seq.TryGetTimeFromIndex(i + 1, out postTime))
{
continue;
}
decimal elapse = postTime - preTime;
if (elapse > 0)
{
decimal?[] pre = seq[i];
decimal?[] post = seq[i + 1];
decimal?[] diff = new decimal?[seq.ColumnCount];
for (int j = 0; j < seq.ColumnCount; j++)
{
if (pre[j].HasValue && post[j].HasValue)
{
diff[j] = (post[j].Value - pre[j].Value) / elapse;
}
}
ret[preTime] = diff;
}
}
return(ret);
}
}
public static TimeSeriesValues FrameMean(TimeSeriesValues seq, int meanLength)
{
using (seq.Lock.GetReadLock()) {
if (meanLength <= 0)
{
throw new ArgumentOutOfRangeException("meanLength", "meanLength > 0");
}
TimeSeriesValues ret = new TimeSeriesValues(seq.ColumnNames.Select(n => "mean " + n).ToArray());
for (int i = 0; i < seq.SequenceLength - meanLength; i++)
{
decimal?[] mean = new decimal?[seq.ColumnCount];
for (int j = 0; j < seq.ColumnCount; j++)
{
mean[j] = 0;
}
for (int j = 0; j < seq.ColumnCount; j++)
{
mean[j] = 0;
for (int k = 0; k < meanLength; k++)
{
decimal?value = seq[i + k][j];
if (value.HasValue)
{
mean[j] += value.Value;
}
else
{
mean[j] = null;
break;
}
}
if (mean[j].HasValue)
{
mean[j] /= meanLength;
}
}
decimal time;
if (seq.TryGetTimeFromIndex(i, out time))
{
ret.SetValue(time, mean);
}
}
return(ret);
}
}
/// <summary>
/// シーケンスの移動平均を求めます
/// </summary>
/// <param name="seq">シーケンス</param>
/// <param name="smoothSpan">移動平均を取る時間範囲</param>
/// <param name="timeOffset">出力の時間のオフセット．0で時間範囲の終了点の時間，smoothSpanの値で時間範囲の開始点の時間のところに出力される</param>
/// <param name="limitRatioToContainEmptyValue">データの欠損があっても値を出力する限界率(0～1)</param>
/// <returns></returns>
public static TimeSeriesValues TimeSmooth(TimeSeriesValues seq, decimal smoothSpan, decimal timeOffset, decimal limitRatioToContainEmptyValue)
{
using (seq.Lock.GetReadLock()) {
if (smoothSpan < 0)
{
throw new ArgumentOutOfRangeException("time", "'time' cannot be negative");
}
TimeSeriesValues ret = new TimeSeriesValues(seq.ColumnNames);
int[] nullCount = new int[seq.ColumnCount];
decimal[] sum = new decimal[seq.ColumnCount];
int count = 0;
int beginIndex = 0;
for (int endIndex = 0; endIndex < seq.SequenceLength; endIndex++)
{
decimal endTime;
if (!seq.TryGetTimeFromIndex(endIndex, out endTime))
{
continue;
}
for (int j = 0; j < seq.ColumnCount; j++)
{
if (seq[endIndex][j].HasValue)
{
sum[j] += seq[endIndex][j].Value;
}
else
{
nullCount[j]++;
}
}
count++;
decimal beginTime;
while (beginIndex < endIndex && seq.TryGetTimeFromIndex(beginIndex, out beginTime))
{
if (beginTime > endTime - smoothSpan)
{
break;
}
for (int j = 0; j < seq.ColumnCount; j++)
{
if (seq[beginIndex][j].HasValue)
{
sum[j] -= seq[beginIndex][j].Value;
}
else
{
nullCount[j]--;
}
}
count--;
beginIndex++;
}
Debug.Assert(nullCount.Max() <= count);
Debug.Assert(count > 0);
decimal?[] values = new decimal?[seq.ColumnCount];
for (int j = 0; j < seq.ColumnCount; j++)
{
decimal rate = (decimal)nullCount[j] / count;
int validCount = count - nullCount[j];
if (rate <= limitRatioToContainEmptyValue && validCount > 0)
{
values[j] = sum[j] / validCount;
}
else
{
values[j] = null;
}
}
ret[endTime + timeOffset] = values;
}
return(ret);
}
}
