From: Eric Niebler (eric_at_[hidden])
Date: 2006-12-11 22:33:25
Jeff Garland wrote:
> Eric Niebler wrote:
>> Any suggestions for improvements are most welcome.
> Hi Eric -
> Looks very interesting. Feedback here is based on extremely cursory look at
> the docs. And I'll say that I'm not a huge domain expert on the mathematics,
> but I've run into some pretty simple time series in couple of apps over the years.
> In particular, I'm sorta surprised there isn't a moving average algorithm as
> that's time series algorithm with a really wide applicability. Classic
> example -- calculate a 10 day rolling average of the closing price of some
> stock. Or calculate a 20 minute rolling average of the trading prices or
> quotes. And, so on...there are all sorts of other applications for rolling
Yep, that'd be a nice one to have. As I say in the description, the
library is light on algorithms at the moment; the key is the
infrastructure that makes the algorithms possible.
> So now for the *other* question. Am I correct in seeing that with the time
> series facade that I might be able to plug in a different offset_type?
> course, what I'm thinking is for the stock price rolling average example above
> you might want to use gregorian::date or posix_time::ptime to represent point
> of measurement of the stock price. I wasn't finding the requirements for the
> offset_type...which is what I think would need to be replaced.
Right, I should document the requirements on the offset_type. The code
has been tested with offset_types of int and double. I think the right
concept for offset_type is LessThanComparible.
> I also find the Discretization intervals interesting. Is that a standard way
> of handling the breakdown for statistical purposes? The thing being that only
> days and weeks are actually fixed lengths in the *messy world*...months,
> quarters, etc are all different depending leap years and such.
The Discretization template parameter is mostly there just for type
checking your operations. You don't want to be adding a daily series
with a yearly one, because that doesn't make sense. The fact that some
years are leap years doesn't matter for the purpose of type checking.
> Anyway, nice job as usual :-)
-- Eric Niebler Boost Consulting www.boost-consulting.com
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