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Compute a moving mean directional accuracy (MDA) incrementally.
For a window of size W, the mean directional accuracy is defined as
where f_i is the forecast value, a_i is the actual value, sgn(x) is the signum function, and δ is the Kronecker delta.
import incrmmda from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-incr-mmda@esm/index.mjs';Returns an accumulator function which incrementally computes a moving mean directional accuracy. The window parameter defines the number of values over which to compute the moving mean directional accuracy.
var accumulator = incrmmda( 3 );If provided input values f and a, the accumulator function returns an updated mean directional accuracy. If not provided input values f and a, the accumulator function returns the current mean directional accuracy.
var accumulator = incrmmda( 3 );
var m = accumulator();
// returns null
// Fill the window...
m = accumulator( 2.0, 3.0 ); // [(+,+)]
// returns 1.0
m = accumulator( 1.0, 4.0 ); // [(+,+), (-,+)]
// returns 0.5
m = accumulator( 3.0, 9.0 ); // [(+,+), (-,+), (+,+)]
// returns ~0.67
// Window begins sliding...
m = accumulator( 7.0, 3.0 ); // [(-,+), (+,+), (+,-)]
// returns ~0.33
m = accumulator( 5.0, 3.0 ); // [(+,+), (+,-), (-,0)]
// returns ~0.33
m = accumulator();
// returns ~0.33- Input values are not type checked. If provided
NaNor a value which, when used in computations, results inNaN, the accumulated value isNaNfor at leastW-1future invocations. If non-numeric inputs are possible, you are advised to type check and handle accordingly before passing the value to the accumulator function. - As
W(f,a) pairs are needed to fill the window buffer, the firstW-1returned values are calculated from smaller sample sizes. Until the window is full, each returned value is calculated from all provided values.
<!DOCTYPE html>
<html lang="en">
<body>
<script type="module">
import randu from 'https://cdn.jsdelivr.net/gh/stdlib-js/random-base-randu@esm/index.mjs';
import incrmmda from 'https://cdn.jsdelivr.net/gh/stdlib-js/stats-incr-mmda@esm/index.mjs';
var accumulator;
var v1;
var v2;
var i;
// Initialize an accumulator:
accumulator = incrmmda( 5 );
// For each simulated datum, update the moving mean directional accuracy...
for ( i = 0; i < 100; i++ ) {
v1 = ( randu()*100.0 ) - 50.0;
v2 = ( randu()*100.0 ) - 50.0;
accumulator( v1, v2 );
}
console.log( accumulator() );
</script>
</body>
</html>@stdlib/stats-incr/mda: compute the mean directional accuracy (MDA) incrementally.@stdlib/stats-incr/mmape: compute a moving mean absolute percentage error (MAPE) incrementally.
This package is part of stdlib, a standard library with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.
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See LICENSE.
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