/// <summary>
/// Creates an initialized instance
/// </summary>
/// <param name="timeSeries">Time series data</param>
public HurstExpEstim(IEnumerable <double> timeSeries)
{
_valueCollection = timeSeries.ToList();
//Check time series length
if (_valueCollection.Count < MinSubIntervalLength + 1)
{
throw new ArgumentException($"Time series is too short. Minimal length is {MinSubIntervalLength + 1}", "timeSeries");
}
//Subintervals
_subIntervalLengthCollection = new List <int>((_valueCollection.Count - MinSubIntervalLength) + 1);
for (int i = 0, length = MinSubIntervalLength; length <= _valueCollection.Count; i++, length++)
{
_subIntervalLengthCollection.Add(length);
}
_avgCollection = new List <WeightedAvg>(_subIntervalLengthCollection.Count);
for (int i = 0; i < _subIntervalLengthCollection.Count; i++)
{
_avgCollection.Add(new WeightedAvg());
}
Parallel.For(0, _subIntervalLengthCollection.Count, _subIntervalIdx =>
{
int intervalLength = _subIntervalLengthCollection[_subIntervalIdx];
RescalledRange rescalledRange = new RescalledRange(intervalLength);
for (int startIdx = 0; startIdx <= _valueCollection.Count - intervalLength; startIdx++)
{
rescalledRange.Reset();
for (int valueSubIdx = 0, timeSeriesIdx = startIdx; valueSubIdx < intervalLength; valueSubIdx++, timeSeriesIdx++)
{
rescalledRange.AddValue(_valueCollection[timeSeriesIdx]);
}
_avgCollection[_subIntervalIdx].AddSampleValue(rescalledRange.Compute());
}
});
return;
}
//Methods
/// <summary>
/// Adds new value to stored time series
/// </summary>
/// <param name="nextValue">Next time series value</param>
public void AddNextValue(double nextValue)
{
//Affect next value to existing averages
Parallel.For(0, _subIntervalLengthCollection.Count, _subIntervalIdx =>
{
int intervalLength = _subIntervalLengthCollection[_subIntervalIdx];
RescalledRange intervalRescalledRange = new RescalledRange(intervalLength);
for (int valueIdx = (_valueCollection.Count - intervalLength) + 1; valueIdx < _valueCollection.Count; valueIdx++)
{
intervalRescalledRange.AddValue(_valueCollection[valueIdx]);
}
intervalRescalledRange.AddValue(nextValue);
_avgCollection[_subIntervalIdx].AddSampleValue(intervalRescalledRange.Compute());
});
//Add new value
_valueCollection.Add(nextValue);
_subIntervalLengthCollection.Add(_valueCollection.Count);
_avgCollection.Add(new WeightedAvg());
RescalledRange fullRescalledRange = new RescalledRange(_valueCollection.Count);
foreach (double value in _valueCollection)
{
fullRescalledRange.AddValue(value);
}
_avgCollection[_avgCollection.Count - 1].AddSampleValue(fullRescalledRange.Compute());
return;
}
/// <summary>
/// Computes Hurst exponent estimation for next hypothetical value in time series.
/// Function does not change the instance, it is a simulation only.
/// </summary>
/// <param name="simValue">Next time series value</param>
public double ComputeNext(double simValue)
{
//Affect new value to existing averages
double[] avgValues = new double[_avgCollection.Count];
Parallel.For(0, _subIntervalLengthCollection.Count, _subIntervalIdx =>
{
int intervalLength = _subIntervalLengthCollection[_subIntervalIdx];
RescalledRange intervalRescalledRange = new RescalledRange(intervalLength);
for (int valueIdx = (_valueCollection.Count - intervalLength) + 1; valueIdx < _valueCollection.Count; valueIdx++)
{
intervalRescalledRange.AddValue(_valueCollection[valueIdx]);
}
intervalRescalledRange.AddValue(simValue);
avgValues[_subIntervalIdx] = _avgCollection[_subIntervalIdx].SimulateNext(intervalRescalledRange.Compute());
});
//Add updated existing points
LinearFit linFit = new LinearFit();
for (int i = 0; i < _avgCollection.Count; i++)
{
double x = Math.Log(_subIntervalLengthCollection[i]);
double avg = avgValues[i];
double y = 0;
if (avg != 0)
{
y = Math.Log(avg);
}
linFit.AddSamplePoint(x, y);
}
//Add new point for sub-interval length = (_timeSeries.Length + 1)
RescalledRange fullRescalledRange = new RescalledRange(_valueCollection.Count + 1);
foreach (double value in _valueCollection)
{
fullRescalledRange.AddValue(value);
}
fullRescalledRange.AddValue(simValue);
double fullRangeAvg = fullRescalledRange.Compute();
linFit.AddSamplePoint(Math.Log(_valueCollection.Count + 1), fullRangeAvg == 0 ? 0 : Math.Log(fullRangeAvg));
//Return
return(linFit.A);
}