Changeset 5305 for branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis/3.3/Evaluators/OnlineTheilsUStatisticEvaluator.cs

Timestamp:

01/17/11 08:57:23 (13 years ago)

Author:

gkronber

Message:

worked on data analysis feature exploration branch. #1142

File:

• branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis/3.3/Evaluators/OnlineTheilsUStatisticEvaluator.cs (modified) (5 diffs)

branches/DataAnalysis/HeuristicLab.Problems.DataAnalysis.MultiVariate.TimeSeriesPrognosis/3.3/Evaluators/OnlineTheilsUStatisticEvaluator.cs

@@ -14 +14 @@
     private OnlineMeanAndVarianceCalculator unbiasedEstimatorMeanCalculator;
     private double prevOriginal;
+    private int windowSize;
+    private Queue<double> movingAverageWindow;
 
     public double TheilsUStatistic {
@@ -21 +23 @@
     }
 
-    public OnlineTheilsUStatisticEvaluator() {
+    public OnlineTheilsUStatisticEvaluator()
+      : this(1) {
+    }
+
+    public OnlineTheilsUStatisticEvaluator(int movingAverageWindowSize) {
+      this.windowSize = movingAverageWindowSize;
+      movingAverageWindow = new Queue<double>(windowSize);
       squaredErrorMeanCalculator = new OnlineMeanAndVarianceCalculator();
       unbiasedEstimatorMeanCalculator = new OnlineMeanAndVarianceCalculator();
@@ -42 +50 @@
         squaredErrorMeanCalculator.Add(errorEstimatedChange * errorEstimatedChange);
 
-        // error of naive model y(t+1) = y(t)
-        double errorNoChange = (original - prevOriginal);
+        // calculate trend observed in the MA window
+        double d = CalculateTrend(movingAverageWindow);
+        
+        // shift window forward
+        if (movingAverageWindow.Count == windowSize) {
+          movingAverageWindow.Dequeue();
+        }
+        movingAverageWindow.Enqueue(original);
+
+        double errorNoChange = (original - prevOriginal * (1+d));
         unbiasedEstimatorMeanCalculator.Add(errorNoChange * errorNoChange);
       }
+    }
+
+    private double CalculateTrend(Queue<double> movingAverageWindow) {
+      double[] xs = movingAverageWindow.ToArray();
+      double sum = 0.0;
+      for (int i = 0; i < xs.Length - 1; i++) {
+        sum += (xs[i + 1] - xs[i]) / xs[i];
+      }
+      return sum / xs.Length;
     }
 
@@ -52 +77 @@
       squaredErrorMeanCalculator.Reset();
       unbiasedEstimatorMeanCalculator.Reset();
+      movingAverageWindow.Clear();
     }
 
@@ -60 +86 @@
     public void StartNewPredictionWindow(double referenceOriginalValue) {
       prevOriginal = referenceOriginalValue;
+      movingAverageWindow.Enqueue(referenceOriginalValue);
     }