private static void EvaluateCorrectness(ParameterTimeSeries a, ParameterTimeSeries b, int minimumElementsRequired)
{
if (a == null)
{
throw new ArgumentNullException("a", "First argument is null");
}
if (b == null)
{
throw new ArgumentNullException("b", "Second argument is null");
}
if (a.Type != b.Type)
{
throw new ArgumentException("Series type mismatch.");
}
if (a.Length < minimumElementsRequired)
{
throw new ArgumentException("First series contains less than " + minimumElementsRequired + " elements.", "a");
}
if (b.Length < minimumElementsRequired)
{
throw new ArgumentException("Second series contains less than " + minimumElementsRequired + " elements.", "b");
}
}
private static ParameterTimeSeries FitTimes(ParameterTimeSeries large, ParameterTimeSeries narrow)
{
if (large.Type != narrow.Type)
{
return(large);
}
List <DateTime> targetTimes = new List <DateTime>();
List <int> values = new List <int>();
if (narrow.Length > 1)
{
int iLarge = 0;
int iNarrow = 0;
while (iLarge < large.Length && iNarrow < narrow.Length)
{
if (large.TargetTimes[iLarge] >= narrow.TargetTimes[iNarrow])
{
targetTimes.Add(large.TargetTimes[iLarge]);
values.Add(large.Values[iLarge]);
iNarrow++;
}
iLarge++;
}
}
else if (narrow.Length == 1)
{
targetTimes.Add(narrow.MinTargetTime);
values.Add(large.MaxValue);
}
return(new ParameterTimeSeries(targetTimes, values, large.Type, large.GroupingTime, large.GroupingTimeKind));
}
public static double MAE(ParameterTimeSeries a, ParameterTimeSeries b)
{
EvaluateCorrectness(a, b, 1);
string type = a.Type;
int length = Math.Min(a.Length, b.Length);
int sumOfErrors = 0;
for (var i = 0; i < length; i++)
{
sumOfErrors += ParametersFactory.GetValueDistance(type, a.Values[i], b.Values[i]);
}
double result = (double)sumOfErrors / length;
return(result);
}
public static double RMSE(ParameterTimeSeries forecast, ParameterTimeSeries real)
{
EvaluateCorrectness(forecast, real, 1);
string type = forecast.Type;
int length = Math.Min(forecast.Length, real.Length);
double sumOfSquareErrors = 0;
for (var i = 0; i < length; i++)
{
sumOfSquareErrors += Math.Pow((double)(ParametersFactory.GetValueDistance(type, real.Values[i], forecast.Values[i])), 2);
}
double result = Math.Sqrt(sumOfSquareErrors / length);
return(result);
}
public static double MASE(ParameterTimeSeries forecast, ParameterTimeSeries real)
{
EvaluateCorrectness(forecast, real, 2);
string type = forecast.Type;
int length = Math.Min(forecast.Length, real.Length);
int sumOfNaiveErrors = 0;
int sumOfErrors = ParametersFactory.GetValueDistance(type, real.Values[0], forecast.Values[0]);
for (var i = 1; i < length; i++)
{
sumOfErrors += ParametersFactory.GetValueDistance(type, real.Values[i], forecast.Values[i]);
sumOfNaiveErrors += ParametersFactory.GetValueDistance(type, real.Values[i], real.Values[i - 1]);
}
double result = (double)sumOfErrors * (length - 1) / (length * sumOfNaiveErrors);
return(result);
}
public static double MAPE(ParameterTimeSeries forecast, ParameterTimeSeries real)
{
EvaluateCorrectness(forecast, real, 1);
string type = forecast.Type;
if (ParametersFactory.IsZeroable(type))
{
throw new ArgumentException("MAPE of zeroable values not allowed.");
}
int length = Math.Min(forecast.Length, real.Length);
double sumOfPercantageErrors = 0;
for (var i = 0; i < length; i++)
{
sumOfPercantageErrors += Math.Abs((double)ParametersFactory.GetValueDistance(type, real.Values[i], forecast.Values[i]) / real.Values[i]);
}
double result = sumOfPercantageErrors / length;
return(result);
}
public static Dictionary <StatisticMethods, double> CalculateMany(IEnumerable <StatisticMethods> methods, ParameterTimeSeries forecast, ParameterTimeSeries real)
{
var result = new Dictionary <StatisticMethods, double>();
if (methods.Contains(StatisticMethods.All))
{
methods = new List <StatisticMethods> {
StatisticMethods.Mae,
StatisticMethods.Mase,
StatisticMethods.Mape,
StatisticMethods.Rmse
};
}
foreach (var method in methods.Distinct())
{
try
{
result.Add(method, GetFunc(method)(forecast, real));
}
catch (Exception e)
{
OnCalculatingFailed(method, e.Message);
}
}
return(result);
}
