CNMomentsTime -- Moments Evaluation with Time Weights

SYNOPSIS

#include <CNCL/MomentsTime.h>

TYPE

CN_MOMENTSTIME

BASE CLASSES

CNStatistics

DERIVED CLASSES

None

RELATED CLASSES

CNMoments

DESCRIPTION

The CNMomentsTime class yields the moments of an time-weighted input sequence:

• mean,
• variance and relative variance (squared coefficient of variation),
• 2nd and 3rd zero moment,
• 3rd central moment,
• deviation and relative deviation (coefficient of variation),
• skewness.

When specifying an input value, you also have to specify the current time. The time span from the last input to this input is used as the input value's weight.

Constructors:

CNMomentsTime(CNParam *param)

CNMomentsTime(const char* aName = NIL, const char* aDescription = NIL);

Initializes a CNMomentsTime evaluation. Optionally, you can specify aName and aDescription of the statistical evaluator.

In addition to the member functions required by CNCL and CNStatistics, CNMomentsTime provides:

virtual void put( double x_i, CNSimTime put_time);

Input of a weighted value x_i for statistical evaluation. You also have to specify the current time. The time span from the last input to this input is used as the input value's weight.

virtual double mean() const;

Returns mean of the input values.

double variance() const;

Returns variance.

double M_2() const;

Returns 2nd moment.

double M_3() const;

Returns 3rd moment.

double Z_3() const;

Returns 3rd central moment.

double skewness() const;

Returns skewness.

double relative_variance() const;

Returns relative variance (squared coefficient of variation).

double relative_deviation() const;

Returns relative deviation (coefficient of variation).

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