下面是ZSCORE算法的PHP实现:
<?php
$y = array(1,7,1.1,1,0.9,1,1,1.1,1,0.9,1,1.1,1,1,0.9,1,1,1.1,1,1,1,1,1.1,0.9,1,1.1,1,1,0.9,
1,1.1,1,1,1.1,1,0.8,0.9,1,1.2,0.9,1,1,1.1,1.2,1,1.5,10,3,2,5,3,2,1,1,1,0.9,1,1,3,
2.6,4,3,3.2,2,1,1,0.8,4,4,2,2.5,1,1,1);
function mean($data, $start, $len) {
$avg = 0;
for ($i = $start; $i < $start+ $len; $i ++)
$avg += $data[$i];
return $avg / $len;
}
function stddev($data, $start,$len) {
$mean = mean($data,$start,$len);
$dev = 0;
for ($i = $start; $i < $start+$len; $i++)
$dev += (($data[$i] - $mean) * ($data[$i] - $mean));
return sqrt($dev / $len);
}
function zscore($data, $len, $lag= 20, $threshold = 1, $influence = 1) {
$signals = array();
$avgFilter = array();
$stdFilter = array();
$filteredY = array();
$avgFilter[$lag - 1] = mean($data, 0, $lag);
$stdFilter[$lag - 1] = stddev($data, 0, $lag);
for ($i = 0; $i < $len; $i++) {
$filteredY[$i] = $data[$i];
$signals[$i] = 0;
}
for ($i=$lag; $i < $len; $i++) {
if (abs($data[$i] - $avgFilter[$i-1]) > $threshold * $stdFilter[$lag - 1]) {
if ($data[$i] > $avgFilter[$i-1]) {
$signals[$i] = 1;
}
else {
$signals[$i] = -1;
}
$filteredY[$i] = $influence * $data[$i] + (1 - $influence) * $filteredY[$i-1];
}
else {
$signals[$i] = 0;
$filteredY[$i] = $data[$i];
}
$avgFilter[$i] = mean($filteredY, $i - $lag, $lag);
$stdFilter[$i] = stddev($filteredY, $i - $lag, $lag);
}
return $signals;
}
$sig = zscore($y, count($y));
print_r($y); echo "<br><br>";
print_r($sig); echo "<br><br>";
for ($i = 0; $i < count($y); $i++) echo $i. " " . $y[$i]. " ". $sig[$i]."<br>";
