LinearRegressionInputData GetLinearRegressionData(List<MarketDataPair> input)
{
List<double> validInputY = new List<double>();
List<double> validInputX = new List<double>();
foreach (MarketDataPair pair in input)
{
if (RawMarketDataUtil.IsValidCurPrice(pair.Y) &&
RawMarketDataUtil.IsValidCurPrice(pair.X))
{
validInputY.Add(pair.Y.CurPrice);
validInputX.Add(pair.X.CurPrice);
}
}
LinearRegressionInputData output = new LinearRegressionInputData();
output.Y = validInputY.ToArray();
output.X = validInputX.ToArray();
return output;
}
/*
LinearRegression lr = new LinearRegression();
double[] y = {0.05, 0.1, 0.2, 0.3, 0.4,};
double[,] x = { { 0.05, 0.1, 0.2, 0.3, 0.4, }, };
lr.Regress(y, x);
* */
public bool Regress(LinearRegressionInputData input)
{
return Regress(input.Y, input.X);
}
