update_trend()

double MayaFlux::Kinesis::Stochastic::Estimate::update_trend ( double  sample )

private

Definition at line 151 of file Estimate.cpp.

{
    m_history.push(sample);
 
    if (m_state.sample_count < 2) {
        m_state.trend_slope = 0.0;
        m_state.trend_explained_ratio = 0.0;
        m_state.floor = 0.0;
        m_state.filtered_value = sample;
        return m_state.floor;
    }
 
    const auto view = m_history.linearized_view();
 
    std::vector<double> chronological(view.rbegin(), view.rend());
    std::span<const double> ordered(chronological);
 
    const double slope = trend_slope(ordered);
    m_state.trend_slope = slope;
    m_state.trend_explained_ratio = trend_explained_ratio(ordered);
 
    const double mean = std::accumulate(chronological.begin(), chronological.end(), 0.0) / static_cast<double>(chronological.size());
    m_state.running_mean = mean;
 
    const auto n = static_cast<double>(chronological.size());
    double sum_x = 0.0;
    for (size_t i = 0; i < chronological.size(); ++i)
        sum_x += static_cast<double>(i);
    const double mean_x = sum_x / n;
    const double intercept = mean - slope * mean_x;
    const auto newest_x = static_cast<double>(chronological.size() - 1);
    m_state.filtered_value = intercept + slope * newest_x;
 
    const double first = chronological.front();
    const double last = chronological.back();
    const auto span_n = static_cast<double>(chronological.size() - 1);
 
    double residual_sq_sum = 0.0;
    for (size_t i = 0; i < chronological.size(); ++i) {
        const double t = static_cast<double>(i) / span_n;
        const double trend_value = first + t * (last - first);
        const double residual = chronological[i] - trend_value;
        residual_sq_sum += residual * residual;
    }
 
    const double residual_var = (chronological.size() > 2)
        ? residual_sq_sum / static_cast<double>(chronological.size() - 2)
        : 0.0;
 
    m_state.running_variance = residual_var;
    m_state.floor = std::sqrt(residual_var);
 
    return m_state.floor;
}

References MayaFlux::Kinesis::Stochastic::EstimateState::filtered_value, MayaFlux::Kinesis::Stochastic::EstimateState::floor, MayaFlux::Memory::HistoryBuffer< T >::linearized_view(), m_history, m_state, MayaFlux::mean(), MayaFlux::Memory::HistoryBuffer< T >::push(), MayaFlux::Kinesis::Stochastic::EstimateState::running_mean, MayaFlux::Kinesis::Stochastic::EstimateState::running_variance, MayaFlux::Kinesis::Stochastic::EstimateState::sample_count, MayaFlux::Kinesis::Stochastic::EstimateState::trend_explained_ratio, trend_explained_ratio(), MayaFlux::Kinesis::Stochastic::EstimateState::trend_slope, and trend_slope().

Referenced by update().

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