/// <summary>
/// Evaluates the sample mean over a moving window, for each samples.
/// Returns NaN if no data is empty or if any entry is NaN.
/// </summary>
/// <param name="samples">The sample stream to calculate the mean of.</param>
/// <param name="windowSize">The number of last samples to consider.</param>
public static IEnumerable <double> MovingAverage(this IEnumerable <double> samples, int windowSize)
{
var movingStatistics = new MovingStatistics(windowSize);
return(samples.Select(sample =>
{
movingStatistics.Push(sample);
return movingStatistics.Mean;
}));
}
public void PositiveInfinityTest()
{
var ms = new MovingStatistics(3);
ms.Push(1.0);
ms.Push(2.0);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.Not.EqualTo(double.PositiveInfinity));
ms.Push(double.PositiveInfinity);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.EqualTo(double.PositiveInfinity));
ms.Push(1.0);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.EqualTo(double.PositiveInfinity));
ms.Push(double.PositiveInfinity);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.EqualTo(double.PositiveInfinity));
ms.Push(2.0);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.EqualTo(double.PositiveInfinity));
ms.Push(3.0);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.EqualTo(double.PositiveInfinity));
ms.Push(4.0);
Assert.That(ms.Minimum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Maximum, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.Mean, Is.Not.EqualTo(double.PositiveInfinity));
Assert.That(ms.StandardDeviation, Is.Not.EqualTo(double.PositiveInfinity));
}
/// <summary>
/// Evaluates the sample mean over a moving window, for each samples.
/// Returns NaN if no data is empty or if any entry is NaN.
/// </summary>
/// <param name="samples">The sample stream to calculate the mean of.</param>
/// <param name="windowSize">The number of last samples to consider.</param>
public static IEnumerable<double> MovingAverage(this IEnumerable<double> samples, int windowSize)
{
var movingStatistics = new MovingStatistics(windowSize);
return samples.Select(sample =>
{
movingStatistics.Push(sample);
return movingStatistics.Mean;
});
}
public void NaNTest()
{
var ms = new MovingStatistics(3);
Assert.That(ms.Minimum, Is.NaN);
Assert.That(ms.Maximum, Is.NaN);
Assert.That(ms.Mean, Is.NaN);
Assert.That(ms.StandardDeviation, Is.NaN);
ms.Push(1.0);
Assert.That(ms.Minimum, Is.Not.NaN);
Assert.That(ms.Maximum, Is.Not.NaN);
Assert.That(ms.Mean, Is.Not.NaN);
Assert.That(ms.StandardDeviation, Is.NaN);
ms.Push(2.0);
Assert.That(ms.Minimum, Is.Not.NaN);
Assert.That(ms.Maximum, Is.Not.NaN);
Assert.That(ms.Mean, Is.Not.NaN);
Assert.That(ms.StandardDeviation, Is.Not.NaN);
ms.Push(double.NaN);
Assert.That(ms.Minimum, Is.NaN);
Assert.That(ms.Maximum, Is.NaN);
Assert.That(ms.Mean, Is.NaN);
Assert.That(ms.StandardDeviation, Is.NaN);
ms.Push(1.0);
Assert.That(ms.Minimum, Is.NaN);
Assert.That(ms.Maximum, Is.NaN);
Assert.That(ms.Mean, Is.NaN);
Assert.That(ms.StandardDeviation, Is.NaN);
ms.Push(2.0);
Assert.That(ms.Minimum, Is.NaN);
Assert.That(ms.Maximum, Is.NaN);
Assert.That(ms.Mean, Is.NaN);
Assert.That(ms.StandardDeviation, Is.NaN);
ms.Push(3.0);
Assert.That(ms.Minimum, Is.Not.NaN);
Assert.That(ms.Maximum, Is.Not.NaN);
Assert.That(ms.Mean, Is.Not.NaN);
Assert.That(ms.StandardDeviation, Is.Not.NaN);
}
public void StabilityTest()
{
var data = new double[1000000];
Normal.Samples(new SystemRandomSource(0), data, 50, 10);
var ms = new MovingStatistics(5, data);
ms.PushRange(new[] { 11.11, 22.22, 33.33, 44.44, 55.55 });
Assert.AreEqual(5, ms.Count);
Assert.AreEqual(11.11, ms.Minimum);
Assert.AreEqual(55.55, ms.Maximum);
Assert.AreEqual(33.33, ms.Mean, 1e-11);
Assert.AreEqual(308.58025, ms.Variance, 1e-10);
Assert.AreEqual(17.5664524022354, ms.StandardDeviation, 1e-11);
Assert.AreEqual(246.8642, ms.PopulationVariance, 1e-10);
Assert.AreEqual(15.7119126779651, ms.PopulationStandardDeviation, 1e-10);
}