[Test] public void FromLinearRegression()
{
{
var pts = new v2[]
{
new v2(0, 15),
new v2(1, 13),
new v2(2, 10),
new v2(3, 7),
new v2(4, 4),
new v2(5, 1),
};
var m = Monic.FromLinearRegression(pts);
//Assert.True(Math_.FEql(m.A, 0.689393937587738));
//Assert.True(Math_.FEql(m.B, -6.10151338577271));
}
{
var pts = new v2[]
{
new v2(0, 15),
new v2(1, 13),
new v2(2, 10),
new v2(3, 7),
new v2(4, 4),
new v2(5, 1),
new v2(6, 5),
new v2(7, 8),
new v2(8, 13),
new v2(9, 19),
};
var q = Quadratic.FromLinearRegression(pts);
Assert.True(Math_.FEql((float)q.A, 0.689394f));
Assert.True(Math_.FEql((float)q.B, -6.10151672f));
Assert.True(Math_.FEql((float)q.C, 17.3090973f));
}
}
/// <summary>Return a polynomial approximation of the indicator values or null if no decent approximation could be made. 'order' is polynomial order (i.e. 1 or 2)</summary>
public Extrapolation Extrapolate(int order, int history_count, Idx?idx_ = null, int series = 0)
{
var idx = idx_ ?? IdxLast;
// Get the points to fit too
var range = Instrument.IndexRange(idx - history_count, idx);
var points = range
.Where(x => Maths.IsFinite(Source[series][(int)(x - IdxFirst)]))
.Select(x => new v2((float)x, (float)Source[series][(int)(x - IdxFirst)]))
.ToArray();
// Require a minimum number of points
if (points.Length <= order)
{
return(null);
}
// Create a curve using linear regression
var curve = (IPolynomial)null;
switch (order)
{
default: throw new Exception("Unsupported polynomial order");
case 2: curve = Quadratic.FromLinearRegression(points); break;
case 1: curve = Monic.FromLinearRegression(points); break;
}
// Measure the confidence in the fit.
// Map the error range to [0,+1], where > 0.5 is "good"
var rms = Math.Sqrt(points.Sum(x => Maths.Sqr(x.y - curve.F(x.x))));
var conf = 1.0 - Maths.Sigmoid(rms, Instrument.MCS * 0.2);
return(new Extrapolation(curve, conf));
}