PINE LIBRARY

CyberRegimeLib

CyberRegimeLib - online sssm

GaussianRegime parameter/state UDT
PosteriorHistory ring-buffer UDT
Gaussian cloning and prior-stat capping
Online EM accumulation and M-step
Hamilton forward filtering
One-step smoothing
Fixed-horizon Kim smoothing
Active-state hysteresis

Library "CyberRegimeLib"

f_regime_new(dimensions)
Parameters:
dimensions (int)

method clone(source)
Namespace types: GaussianRegime
Parameters:
source (GaussianRegime)

f_clone_regimes(source)
Parameters:
source (array<GaussianRegime>)

f_n_eff_at(regimes, index)
Parameters:
regimes (array<GaussianRegime>)
index (int)

f_cap_prior_stats(regimes, total_cap)
Parameters:
regimes (array<GaussianRegime>)
total_cap (float)

method initialize_stats(regime, regime_count, active_dims)
Namespace types: GaussianRegime
Parameters:
regime (GaussianRegime)
regime_count (int)
active_dims (array<bool>)

f_accumulate_stats(regimes, responsibilities, observation, lambda_eff, admission_weight, count, prior_weighted, full_cov_dims)
Parameters:
regimes (array<GaussianRegime>)
responsibilities (array<float>)
observation (array<float>)
lambda_eff (float)
admission_weight (float)
count (int)
prior_weighted (bool)
full_cov_dims (int)

method mstep(regime, active_dims, ridge_main, ridge_aux, shrinkage, min_n_eff, anchor)
Namespace types: GaussianRegime
Parameters:
regime (GaussianRegime)
active_dims (array<bool>)
ridge_main (float)
ridge_aux (float)
shrinkage (float)
min_n_eff (float)
anchor (float)

f_hamilton_step(transition, filtered, log_likelihoods, count)
Parameters:
transition (matrix<float>)
filtered (array<float>)
log_likelihoods (array<float>)
count (int)

f_history_new(capacity, state_count)
Parameters:
capacity (int)
state_count (int)

method push(history, filtered, predicted)
Namespace types: PosteriorHistory
Parameters:
history (PosteriorHistory)
filtered (array<float>)
predicted (array<float>)

method smooth_one(history, transition, fallback_index, fallback_probability)
Namespace types: PosteriorHistory
Parameters:
history (PosteriorHistory)
transition (matrix<float>)
fallback_index (int)
fallback_probability (float)

method smooth_fixed(history, transition, horizon)
Namespace types: PosteriorHistory
Parameters:
history (PosteriorHistory)
transition (matrix<float>)
horizon (int)

f_hysteresis_state(current, active_since, candidate, best, second, minimum_margin, minimum_bars, current_bar)
Parameters:
current (int)
active_since (int)
candidate (int)
best (float)
second (float)
minimum_margin (float)
minimum_bars (int)
current_bar (int)

GaussianRegime
Fields:
mu (array<float>)
mu_seed (array<float>)
Sigma (matrix<float>)
Sigma_inv (matrix<float>)
F (matrix<float>)
Q_diag (array<float>)
prior (series float)
n_eff (series float)
sum_x (array<float>)
sum_xx (matrix<float>)

PosteriorHistory
Fields:
filtered_flat (array<float>)
predicted_flat (array<float>)
write_idx (series int)
count (series int)
capacity (series int)
state_count (series int)

Biblioteca Pine

Fiel al espíritu de TradingView, el autor ha publicado este código de Pine como biblioteca de código abierto, para que otros programadores de nuestra comunidad puedan reutilizarlo. ¡Enhorabuena al autor! Puede usar esta biblioteca de forma privada o en otras publicaciones de código abierto, pero su reutilización en publicaciones está sujeta a nuestras Normas internas.

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Exención de responsabilidad

La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.

Biblioteca Pine

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