public void MeanOfManyObservations()
{
IUniform valGen = UniformStreams.DefaultStreams.GetUniform();
IUniform timeGen = UniformStreams.DefaultStreams.GetUniform();
double weightedSum = 0.0;
double sumOfWeights = 0.0;
TimeValue lastObservation = new TimeValue(0L, valGen.NextDouble() * 100.0);
TimeWeightedMean twm = new TimeWeightedMean(new Simulation());
twm.Observe(lastObservation.Value, lastObservation.Time);
for (int i = 0; i < 1000; i++)
{
long newTime = lastObservation.Time + (long)(timeGen.NextDouble() * 10.0);
TimeValue newObservation = new TimeValue(newTime, valGen.NextDouble() * 100.0);
double weight = newObservation.Time - lastObservation.Time;
weightedSum += weight * lastObservation.Value;
sumOfWeights += weight;
twm.Observe(newObservation.Value, newObservation.Time);
lastObservation = newObservation;
}
double mean = weightedSum / sumOfWeights;
Assert.AreEqual(mean, twm.Value);
}
public void MeanOfFewObservations()
{
TimeWeightedMean twm = new TimeWeightedMean(new Simulation());
twm.Observe(3.0, 0L);
twm.Observe(2.0, 4L);
twm.Observe(6.0, 7L);
twm.Observe(4.0, 8L);
twm.Observe(2.0, 10L);
Assert.AreEqual(3.2, twm.Value);
}
public void VarianceOfManyObservations()
{
IUniform valGen = UniformStreams.DefaultStreams.GetUniform();
IUniform timeGen = UniformStreams.DefaultStreams.GetUniform();
TimeValue lastObservation = new TimeValue(0L, valGen.NextDouble() * 100.0);
double[] weights = new double[1000];
double[] values = new double[1000];
TimeWeightedVariance twv = new TimeWeightedVariance(new Simulation());
TimeWeightedMean twm = new TimeWeightedMean(new Simulation());
twm.Observe(lastObservation.Value, lastObservation.Time);
twv.Observe(lastObservation.Value, lastObservation.Time);
for (int i = 0; i < 1000; i++)
{
long newTime = lastObservation.Time + (long)(timeGen.NextDouble() * 10.0);
TimeValue newObservation = new TimeValue(newTime, valGen.NextDouble() * 100.0);
double weight = newObservation.Time - lastObservation.Time;
twm.Observe(newObservation.Value, newObservation.Time);
twv.Observe(newObservation.Value, newObservation.Time);
weights[i] = weight;
values[i] = lastObservation.Value;
lastObservation = newObservation;
}
double sumW = 0.0;
double sumWVals = 0.0;
for (int i = 0; i < 1000; i++)
{
sumW += weights[i];
sumWVals += weights[i] * Math.Pow(values[i] - twm.Value, 2.0);
}
double variance = sumWVals / sumW;
Assert.AreEqual(variance, twv.Value, 0.00001);
}
public void MeanOfZeroWeights()
{
double d = 123.0;
TimeWeightedMean twm = new TimeWeightedMean(new Simulation());
for (int i = 0; i < 1000; i++)
{
twm.Observe(d, 0L);
}
Assert.AreEqual(Double.NaN, twm.Value);
}
public void MeanOfSameObservations()
{
double d = 123.0;
TimeWeightedMean twm = new TimeWeightedMean(new Simulation());
for (int i = 0; i < 1000; i++)
{
twm.Observe(d, i);
}
Assert.AreEqual(1000, twm.Observations);
Assert.AreEqual(d, twm.Value);
TimeValue lastObservation = twm.LastObservation;
Assert.IsTrue(lastObservation.IsValid);
Assert.AreEqual(d, lastObservation.Value);
Assert.AreEqual(999, lastObservation.Time);
}