public double?[] SmoothFunction(double?[] values, double stdWeight = 2.0)
{
double?[] SmoothedValues = new double?[values.Length];
double?[] RatioValues = new double?[values.Length];
for (int i = 0; i < values.Length; ++i)
{
HatWindow window = HatWindows[i];
if (window.LeadingSTD.HasValue && window.WindowSTD.HasValue)
{
RatioValues[i] = window.LeadingSTD / window.WindowSTD;
if (double.IsNaN(RatioValues[i].Value))
{
RatioValues[i] = null;
}
}
else
{
RatioValues[i] = null;
}
}
double?MaxRatio = MathNet.Numerics.Statistics.Statistics.Maximum(RatioValues);
double?MinRatio = MathNet.Numerics.Statistics.Statistics.Minimum(RatioValues);
double?AvgRatio = MathNet.Numerics.Statistics.Statistics.Mean(RatioValues);
double?StdRatio = MathNet.Numerics.Statistics.Statistics.StandardDeviation(RatioValues);
double WindowCutoffValue = AvgRatio.Value + stdWeight * StdRatio.Value;
List <IntervalWindow> intervalWindows = new List <IntervalWindow>();
IntervalWindow currentWindow = new IntervalWindow();
intervalWindows.Add(currentWindow);
currentWindow.StartIndex = 0;
for (int i = 0; i < values.Length; ++i)
{
if (RatioValues[i].HasValue)
{
if (RatioValues[i].Value > WindowCutoffValue)
{
currentWindow.EndIndex = i;
currentWindow = new IntervalWindow();
intervalWindows.Add(currentWindow);
currentWindow.StartIndex = i;
}
}
}
currentWindow.EndIndex = values.Length - 1;
foreach (IntervalWindow window in intervalWindows)
{
double?[] WindowValues = SubSet(window.StartIndex, window.EndIndex, values);
double? average = MathNet.Numerics.Statistics.Statistics.Mean(WindowValues);
for (int i = window.StartIndex; i < window.EndIndex; ++i)
{
SmoothedValues[i] = average;
}
}
return(SmoothedValues);
}
public HatFunction(double?[] values, int iWindowsSize = 25)
{
HatWindows = new HatWindow[values.Length];
for (int i = 0; i < values.Length; ++i)
{
HatWindows[i] = new HatWindow();
}
for (Int32 i = 0; i < values.Length; ++i)
{
double?[] BackWindow = SubSet(i - iWindowsSize, i, values);
double?[] MiddleWindow = SubSet(i - iWindowsSize / 2, i + iWindowsSize / 2, values);
double?[] ForwardWindow = SubSet(i, i + iWindowsSize, values);
HatWindows[i].Value = values[i];
if (BackWindow != null)
{
HatWindows[i].TrailingAverage = MathNet.Numerics.Statistics.Statistics.Mean(BackWindow);
HatWindows[i].TrailingSTD = MathNet.Numerics.Statistics.Statistics.StandardDeviation(BackWindow);
}
else
{
HatWindows[i].TrailingAverage = null;
HatWindows[i].TrailingSTD = null;
}
if (MiddleWindow != null)
{
HatWindows[i].WindowAverage = MathNet.Numerics.Statistics.Statistics.Mean(MiddleWindow);
HatWindows[i].WindowSTD = MathNet.Numerics.Statistics.Statistics.StandardDeviation(MiddleWindow);
}
else
{
HatWindows[i].WindowAverage = null;
HatWindows[i].WindowSTD = null;
}
if (ForwardWindow != null)
{
HatWindows[i].LeadingAverage = MathNet.Numerics.Statistics.Statistics.Mean(ForwardWindow);
HatWindows[i].LeadingSTD = MathNet.Numerics.Statistics.Statistics.StandardDeviation(ForwardWindow);
}
else
{
HatWindows[i].LeadingAverage = null;
HatWindows[i].LeadingAverage = null;
}
}
}
