/// <summary>
/// This is faster for longer span
/// </summary>
/// <param name="data"></param>
/// <param name="average"></param>
/// <param name="periodic"></param>
/// <param name="variance"></param>
/// <returns></returns>
public static double Next(double[] data, ref double average, ref List <double> periodic, ref double variance)
{
double[] PDR = MonteCarloSimulation.PeriodicChange(data, ref periodic);
average = AMath.Average(PDR, average);
variance = AMath.Variance(PDR, average, variance, false);
double Drift = average - (variance / 2.0);
double StandardDeviation = Math.Sqrt(variance); //AMath.StandarDeviation(Variance);
return(data.Last() * Math.Exp(Drift + StandardDeviation * AExcel.NORMSINV(AMath.Random())));
}
/// <summary>
/// confidence must be from (0 to 100)
/// </summary>
/// <param name="data"></param>
/// <param name="average"></param>
/// <param name="confidence"></param>
/// <param name="population"></param>
/// <returns></returns>
public static double StandarConfidence(double[] data, double average, double confidence, bool population = false)
{
if (data == null || data.Length <= 0)
{
return(double.NaN);
}
double sigma = Math.Sqrt(AMath.Variance(data, average, population));
double multiplayer = (AExcel.NORMSINV((double)confidence / 100) + 1.5) / 2;
return(sigma * multiplayer);
}
/// <summary>
/// this is faster for short span
/// Simulates next value of double set
/// </summary>
/// <param name="data"></param>
/// <returns>future random output</returns>
public static double Next(double[] data)
{
if (data == null || data.Length <= 0)
{
return(double.NaN);
}
double[] PFR = MonteCarloSimulation.PeriodicChange(data);
double Averange = AMath.Average(PFR);
double Variance = AMath.Variance(PFR, Averange, false);
double Drift = Averange - (Variance / 2.0);
double StandardDeviation = Math.Sqrt(Variance); //AMath.StandarDeviation(Variance);
return(data.Last() * Math.Exp(Drift + StandardDeviation * AExcel.NORMSINV(AMath.Random())));
}
