Class ShannonEntropyIndicators

Namespace

Virtufin.Base.Behavior

Assembly

Virtufin.Base.dll

Running Shannon entropy over a source indicator's values — the two variants (fixed sample count, fixed time window) mirror SimpleMovingAverage<TTime, TValue>'s own two variants, but composed from the general Take/TimeWindow combinators rather than a specialized O(1) fold: entropy has no cheap incremental update the way a sum does (evicting one sample from a frequency table doesn't cheaply update -Σp·log(p)), so both variants materialize the window on every Value read (O(window size)).

public static class ShannonEntropyIndicators

Inheritance

object

ShannonEntropyIndicators

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Methods

RunningShannonEntropy<TSelf, TSample, TValue>(IIndicator<TSelf, TSample, TValue>, int, double)

Running Shannon entropy over the last count values the source indicator held — the count-bounded variant.

public static MappedIndicator<TakeIndicator<TSelf, TSample, TValue>, TSample, ImmutableArray<TValue>, double> RunningShannonEntropy<TSelf, TSample, TValue>(this IIndicator<TSelf, TSample, TValue> source, int count, double logBase = 2) where TSelf : IIndicator<TSelf, TSample, TValue>

Parameters

source IIndicator<TSelf, TSample, TValue>

The source indicator whose values are the symbols.

count int

The window size. Must be positive.

logBase double

The logarithm base — bits (2, the default) or nats (E).

Returns

MappedIndicator<TakeIndicator<TSelf, TSample, TValue>, TSample, ImmutableArray<TValue>, double>

Type Parameters

TSelf

TSample

TValue

RunningShannonEntropy<TSelf, TSample, TValue, TTime>(IIndicator<TSelf, TSample, TValue>, Func<TSample, TTime>, Func<TTime, TTime, bool>, double)

Running Shannon entropy over the trailing time window — the duration-bounded variant.

public static MappedIndicator<TimeWindowIndicator<TSelf, TSample, TValue, TTime>, TSample, ImmutableArray<TimestampedSample<TTime, TValue>>, double> RunningShannonEntropy<TSelf, TSample, TValue, TTime>(this IIndicator<TSelf, TSample, TValue> source, Func<TSample, TTime> timeOf, Func<TTime, TTime, bool> isExpired, double logBase = 2) where TSelf : IIndicator<TSelf, TSample, TValue> where TTime : IComparable<TTime>

Parameters

source IIndicator<TSelf, TSample, TValue>

The source indicator whose values are the symbols.

timeOf Func<TSample, TTime>

Extracts the observation time from an incoming sample.

isExpired Func<TTime, TTime, bool>

Called as isExpired(oldestTime, latestTime) during eviction to decide whether the oldest in-window observation has aged out.

logBase double

The logarithm base — bits (2, the default) or nats (E).

Returns

MappedIndicator<TimeWindowIndicator<TSelf, TSample, TValue, TTime>, TSample, ImmutableArray<TimestampedSample<TTime, TValue>>, double>

Type Parameters

TSelf

TSample

TValue

TTime