update()

double MayaFlux::Kinesis::Stochastic::Estimate::update

(

double

sample

)

Feed one new sample, updating the running estimate.

Parameters

sample

Raw value for this step

Returns

Current floor after incorporating this sample. For TREND, returns the current residual (non-trend) standard deviation.

Definition at line 34 of file Estimate.cpp.

{
    m_state.last_raw_sample = sample;
    m_state.sample_count++;
 
    switch (m_model) {
    case EstimateModel::ROLLING_VARIANCE:
        return update_rolling_variance(sample);
    case EstimateModel::EWM_VARIANCE:
        return update_ewm_variance(sample);
    case EstimateModel::MEDIAN_ABSOLUTE_DEVIATION:
        return update_mad(sample);
    case EstimateModel::QUIET_PERIOD_FLOOR:
        return update_quiet_period(sample);
    case EstimateModel::TREND:
        return update_trend(sample);
    default:
        return update_ewm_variance(sample);
    }
}

References MayaFlux::Kinesis::Stochastic::EWM_VARIANCE, MayaFlux::Kinesis::Stochastic::EstimateState::last_raw_sample, m_model, m_state, MayaFlux::Kinesis::Stochastic::MEDIAN_ABSOLUTE_DEVIATION, MayaFlux::Kinesis::Stochastic::QUIET_PERIOD_FLOOR, MayaFlux::Kinesis::Stochastic::ROLLING_VARIANCE, MayaFlux::Kinesis::Stochastic::EstimateState::sample_count, MayaFlux::Kinesis::Stochastic::TREND, update_ewm_variance(), update_mad(), update_quiet_period(), update_rolling_variance(), and update_trend().

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