public static IEnumerable <TemporalGapTuple> DoCorrelationAnalysis(
List <TimeSeries> tss,
CorrelationAnalysisParameters parameters)
{
return(tss
.SelectMany(ts1 => tss, (ts1, ts2) => DoCorrelationAnalysis(ts1, ts2, parameters))
.Select(analysis => analysis.MaxBy(tg => tg.Correlation))
.DistinctBy(tg => tg.GetId()));
}
public static IEnumerable <TemporalGapTuple> DoCorrelationAnalysis(
TimeSeries ts1,
TimeSeries ts2,
CorrelationAnalysisParameters parameters)
{
return(parameters.GetTimeSpans()
.Select(span => new TemporalGapTuple
{
Indicator = ts1,
Target = ts2,
TemporalGap = -span,
Correlation = GetCorrelationBetween(ts1, ts2.OffsetBy(span))
}));
}
/// <summary>
/// Plots the autocorrelation function in a plot view.
/// </summary>
/// <param name="plotInfo"></param>
/// <param name="span"></param>
/// <param name="steps"></param>
/// <returns></returns>
public static PlotView GetAutocorrelationFunctionPlotView(
TimeSeriesPlotInfo plotInfo,
TimeSpan span,
int steps)
{
TimeSeries ts = plotInfo.Series;
CorrelationAnalysisParameters parameters = new CorrelationAnalysisParameters()
{
Span = span,
NumberOfSpansInthePast = 0,
NumberOfSpansIntheFuture = steps
};
FunctionSeries series = new FunctionSeries
{
MarkerType = plotInfo.Marker,
Color = OxyColor.FromArgb(plotInfo.Color.A, plotInfo.Color.R, plotInfo.Color.G, plotInfo.Color.B),
Title = plotInfo.Title,
};
DoCorrelationAnalysis(ts, ts, parameters)
.Where(pair => pair.TemporalGap.Ticks > 0)
.OrderBy(pair => pair.TemporalGap.Ticks)
.ForEach(pair =>
{
double x = (int)pair.TemporalGap.DivideBy(span);
DataPoint point = new DataPoint(x, pair.Correlation);
series.Points.Add(point);
});
PlotModel model = new PlotModel();
model.Series.Add(series);
return(new PlotView
{
Model = model,
Dock = DockStyle.Fill,
Visible = true,
});
}