static void RegressAtLag(CompanyObservations compObs, int lag, SqlCommand cmd, CompanyObservations.RegressionType type)
{
DoubleVector prices = compObs.GetPrices(type, compObs.Length - lag, 1);
DoubleVector laggedPrices = compObs.GetPrices(type, compObs.Length - lag, lag);
//Regress price & priceLag
LinearRegression priceRegression = new LinearRegression(new DoubleMatrix(laggedPrices), prices);
LinearRegressionAnova priceAnova = new LinearRegressionAnova(priceRegression);
DoubleMatrix companyGen = compObs.GetCompanyGenerated(type, lag);
//Regress Price and compLag
LinearRegression companyRegression = new LinearRegression(companyGen, prices);
LinearRegressionAnova companyAnova = new LinearRegressionAnova(companyRegression);
DoubleMatrix customerGen = compObs.GetCustomerGenerated(type, lag);
//Regress Price and cust lag
LinearRegression customerRegression = new LinearRegression(customerGen, prices);
LinearRegressionAnova customerAnova = new LinearRegressionAnova(customerRegression);
double priceExplain = Double.IsInfinity(priceAnova.AdjustedRsquared) ? 0 : priceAnova.AdjustedRsquared;
double companyExplain = Double.IsInfinity(companyAnova.AdjustedRsquared) ? 0 : companyAnova.AdjustedRsquared;
double customerExplain = Double.IsInfinity(customerAnova.AdjustedRsquared) ? 0 : customerAnova.AdjustedRsquared;
cmd.CommandText = $"Insert INTO RegressionResults VALUES ({compObs.CompanyID}, {lag}, {priceExplain}, {customerExplain}, {companyExplain}, {(int) type})";
cmd.ExecuteNonQuery();
}
static void PerformRegressions(CompanyObservations compObs, SqlCommand cmd)
{
if (compObs.Length < 10)
{
return;
}
for (int i = 1; i < 6; i++)
{
RegressAtLag(compObs, i, cmd, CompanyObservations.RegressionType.Full);
if (i != 1)
{
RegressAtLag(compObs, i, cmd, CompanyObservations.RegressionType.Delta);
RegressAtLag(compObs, i, cmd, CompanyObservations.RegressionType.PercentChanged);
}
}
}
