コード例 #1
0
 /**
  * @param y data
  * @param k parameter giving the length 2 * k + 1 of the averaging interval
  * @param l oder of the averaging polynomial
  * @param p probability defining confidence limits
  */
 public TimeSeries(double[] y, int k, int l, double p) {
   this.y = y;
   this.k = k;
   this.l = l;
   this.p = p;
   n = y.length;
   eta = new double[n + 2 * k];
   coneta = new double[n + 2 * k];
   // quantile of Student's distribution
   pprime = 0.5 * (p + 1.);
   nf = 2 * k - l;
   talpha = StatFunct.quantileStudent(pprime, nf);
   // compute matrices depending on k and l
   k21 = 2 * k + 1;
   l1 = l + 1;
   a = new DatanMatrix(k21, l1);
   for (int i = 0; i < k21; i++) {
     for (int j = 0; j < l1; j++) {
       if (j == 0) a.setElement(i, j, -1.);
       else a.setElement(i, j, a.getElement(i, j - 1) * (double) (i - k));
     }
   }
   ata1 = a.multiplyTransposedWith(a);
   ata1.choleskyInversion();
   ata1at = ata1.multiplyWithTransposed(a);
   ata1at = ata1at.multiply(-1.);
   // moving averages and confidence limits for inner part
   ymat = new DatanMatrix(y);
   for (int i = 2 * k; i < n; i++) {
     ytmp = ymat.getSubmatrix(k21, 1, i - 2 * k, 0);
     x = ata1at.multiply(ytmp);
     eta[i] = x.getElement(0, 0);
     etatmp = a.multiply(x);
     etatmp = etatmp.add(ytmp);
     sy2 = etatmp.multiplyTransposedWith(etatmp);
     double s = sy2.getElement(0, 0) / (double) nf;
     double a0 = Math.sqrt(Math.abs(ata1.getElement(0, 0)));
     coneta[i] = a0 * Math.sqrt(s) * talpha;
     // moving averages and confidence limits for end sections
     if (i == 2 * k || i == n - 1) {
       tt = new double[l + 1];
       if (i == 2 * k) {
         iadd = 2 * k;
         is = -1;
       } else {
         iadd = n - 1;
         is = 1;
       }
       for (int i1 = 1; i1 <= 2 * k; i1++) {
         j = is * i1;
         for (int i2 = 0; i2 < l + 1; i2++) {
           for (int i3 = 0; i3 <= i2; i3++) {
             if (i3 == 0) tt[i2] = 1.;
             else tt[i2] = tt[i2] * (double) j;
           }
         }
         tmat = new DatanMatrix(tt);
         seta2 = tmat.multiplyTransposedWith(ata1.multiply(tmat));
         double se2 = s * seta2.getElement(0, 0);
         etai = tmat.multiplyTransposedWith(x);
         eta[iadd + j] = etai.getElement(0, 0);
         coneta[iadd + j] = Math.sqrt(Math.abs(se2)) * talpha;
       }
     }
   }
 }