Changeset 8468 for branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis/3.4/Implementation/TimeSeriesPrognosis/Models/TimeSeriesPrognosisAutoRegressiveModel.cs

Timestamp:

08/10/12 15:58:36 (12 years ago)

Author:

mkommend

Message:

#1081: Adapated calculation of results for horizons larger than 1.

File:

• branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis/3.4/Implementation/TimeSeriesPrognosis/Models/TimeSeriesPrognosisAutoRegressiveModel.cs (modified) (6 diffs)

branches/HeuristicLab.TimeSeries/HeuristicLab.Problems.DataAnalysis/3.4/Implementation/TimeSeriesPrognosis/Models/TimeSeriesPrognosisAutoRegressiveModel.cs

@@ -22 +22 @@
 using System;
 using System.Collections.Generic;
-using System.Linq;
 using HeuristicLab.Common;
 using HeuristicLab.Core;
@@ -37 +36 @@
     [Storable]
     public string TargetVariable { get; private set; }
-    [Storable]
-    public int TimeOffset { get; private set; }
+
+    public int TimeOffset { get { return Phi.Length; } }
 
     [StorableConstructor]
@@ -47 +46 @@
       this.Constant = original.Constant;
       this.TargetVariable = original.TargetVariable;
-      this.TimeOffset = original.TimeOffset;
     }
     public override IDeepCloneable Clone(Cloner cloner) {
       return new TimeSeriesPrognosisAutoRegressiveModel(this, cloner);
     }
-    public TimeSeriesPrognosisAutoRegressiveModel(double alpha, double beta, string targetVariable)
+    public TimeSeriesPrognosisAutoRegressiveModel(string targetVariable, double[] phi, double constant)
       : base() {
-      //Alpha = alpha;
-      //Beta = beta;
+      Phi = (double[])phi.Clone();
+      Constant = constant;
       TargetVariable = targetVariable;
-      TimeOffset = 1;
     }
 
@@ -63 +60 @@
       var rowsEnumerator = rows.GetEnumerator();
       var horizonsEnumerator = horizons.GetEnumerator();
-      var targetVariables = dataset.GetReadOnlyDoubleValues(TargetVariable);
+      var targetValues = dataset.GetReadOnlyDoubleValues(TargetVariable);
       // produce a n-step forecast for all rows
       while (rowsEnumerator.MoveNext() & horizonsEnumerator.MoveNext()) {
@@ -69 +66 @@
         int horizon = horizonsEnumerator.Current;
         double[] prognosis = new double[horizon];
-        for (int i = 0; i < horizon; i++)
-          prognosis[i] = targetVariables[row - TimeOffset];
+
+        for (int h = 0; h < horizon; h++) {
+          double estimatedValue = 0.0;
+          for (int i = 1; i < TimeOffset; i++) {
+            int offset = h - i;
+            if (offset >= 0) estimatedValue += prognosis[offset] * Phi[i - 1];
+            else estimatedValue += targetValues[row + offset] * Phi[i - 1];
+
+          }
+          estimatedValue += Constant;
+          prognosis[h] = estimatedValue;
+        }
+
         yield return prognosis;
       }
@@ -79 +87 @@
 
     public IEnumerable<double> GetEstimatedValues(Dataset dataset, IEnumerable<int> rows) {
-      return GetPrognosedValues(dataset, rows, rows.Select(r => 1)).SelectMany(e => e);
+      var targetVariables = dataset.GetReadOnlyDoubleValues(TargetVariable);
+      foreach (int row in rows) {
+        double estimatedValue = 0.0;
+        for (int i = 1; i <= TimeOffset; i++) {
+          estimatedValue += targetVariables[row - i] * Phi[i - 1];
+        }
+        estimatedValue += Constant;
+        yield return estimatedValue;
+      }
     }