algotradelib::math::Observed Struct Reference

A series split into zero-filled values and a presence mask, for sums that skip gaps. More...

#include <algotradelib/src/math/eigen.hpp>

Public Attributes
Vector	values_
	The input, with every unobserved entry replaced by 0.
Vector	present_
	1 where the input is observed and 0 where it is not.

Detailed Description

A series split into zero-filled values and a presence mask, for sums that skip gaps.

Made by observed_parts(). Over any range, values_.segment(first, length).sum() is the sum of the observed entries and present_.segment(first, length).sum() is how many there are. Deviations from a mean work the same way, because an absent entry contributes exactly zero:

const Scalar squared = (parts.values_.segment(first, length) -
                        mean * parts.present_.segment(first, length)).squaredNorm();

Definition at line 100 of file eigen.hpp.

Member Data Documentation

present_

Vector algotradelib::math::Observed::present_

1 where the input is observed and 0 where it is not.

Definition at line 104 of file eigen.hpp.

Referenced by algotradelib::math::observed_parts().

values_

Vector algotradelib::math::Observed::values_

The input, with every unobserved entry replaced by 0.

Definition at line 102 of file eigen.hpp.

Referenced by algotradelib::math::observed_parts().

---

The documentation for this struct was generated from the following file:

• algotradelib/src/math/eigen.hpp