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)

Pine library

In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in publications is governed by House Rules.

cybermediaboy

Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Pine library

cybermediaboy