I'm trying to use the Math.Net Numerics Package (version 3.7.1) and I've started from Statistics.
In the following code:
Code: Select all
using System;
using System.Linq;
using System.Collections.Generic;
using MathNet.Numerics.Statistics;
namespace PowerLanguage.Indicator
{
public class PR_LognormalExample : IndicatorObject
{
public PR_LognormalExample(object _ctx):base(_ctx){}
private List<double> L_myLogVolumes;
protected override void Create()
{
L_myLogVolumes = new List<double>();
}
protected override void StartCalc()
{
L_myLogVolumes.Clear();
Output.Clear();
}
protected override void CalcBar()
{
if (Bars.VolumeValue > 0)
L_myLogVolumes.Add(Math.Log(Bars.VolumeValue));
IEnumerable<double> myVols = L_myLogVolumes;
if (Bars.LastBarOnChart)
{
double myLogMean = myVols.Average();
double myLogVariance = CalculateVariance(myVols);
double myLogStDev = Math.Sqrt(myLogVariance);
Output.WriteLine("Log Mean: {0}", myLogMean);
Output.WriteLine("Log Standard Deviation: {0}", myLogStDev);
Output.WriteLine("Log Variance: {0}", myLogVariance);
////////////////// Math Net Statistics /////////////////////////////////
//double mathNetLogMean = Statistics.Mean(myVols);
double mathNetLogStdDev = Statistics.PopulationStandardDeviation(myVols);
double mathNetVariance = Statistics.PopulationVariance(myVols);
Output.WriteLine(" ");
// Output.WriteLine("MathNet Log Mean: {0}", mathNetLogMean);
Output.WriteLine("MathNet Log Standard Deviation: {0}", mathNetLogStdDev);
Output.WriteLine("MathNet Log Variance: {0}", mathNetVariance);
}
}
private double CalculateVariance(IEnumerable<double> values)
{
double varianceRet = 0;
if (values.Count() > 0)
{
//Compute the Average
double avg = values.Average();
//Perform the Sum of (value-avg)_2_2
double sum = values.Sum(d => Math.Pow(d - avg, 2));
//Put it all together
varianceRet = sum / values.Count();
}
return varianceRet;
}
}
}
Please uncomment rows no. 45 and 50 and rebuilt.
The error is about overflow or underflow (please see attached jpeg).
It seems quite stange because variance has been already calculated. I mean that I must have the aritmatic mean to calculate variance, isn't it?
I can't find the error.
Thanks for your time.
