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[OPEN_DEFCON_1d] Fix moving covariance estimator's estimation subsample #3

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sparshsah opened this issue Jun 24, 2022 · 0 comments

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@sparshsah
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What this SHOULD DO at time t is

  • Estimate mean over [t - horizon + 1 : t]
  • Subtract that constant from each observation in [t - horizon + 1 : t]
  • Take the root-mean-square of that timeseries of deviations from the constant mean

What this INSTEAD DOES at time t is

  • Estimate mean over [t - horizon - horizon + 1 : t - horizon + 1]
  • Subtract that from the single observation at t - horizon + 1
  • Estimate mean over [t - horizon - horizon + 2 : t - horizon + 2]
  • Subtract that from the single observation at t - horizon + 2
  • ...
  • THEN finally take the root-mean-square of that timeseries of deviations from the time-varying (because it looks backward over horizon timesteps at each timestep) mean!

Shit.

Refer to:
https://github.com/sparshsah/foggy-lib/blob/0648d816a910fcdea4a654265f50a5578f5afd23/util/foggy_pylib/stats/est/tsa.py#L179

@sparshsah sparshsah changed the title Fix moving covariance estimator's estimation subsample [Accepted] Fix moving covariance estimator's estimation subsample Jun 25, 2022
@sparshsah sparshsah changed the title [Accepted] Fix moving covariance estimator's estimation subsample [DEFCON1] Fix moving covariance estimator's estimation subsample Jun 25, 2022
@sparshsah sparshsah changed the title [DEFCON1] Fix moving covariance estimator's estimation subsample [DEFCON_1] Fix moving covariance estimator's estimation subsample Jun 25, 2022
@sparshsah sparshsah changed the title [DEFCON_1] Fix moving covariance estimator's estimation subsample [DEFCON_4] Fix moving covariance estimator's estimation subsample Jun 26, 2022
@sparshsah sparshsah transferred this issue from sparshsah/foggy-lib Jun 26, 2022
@sparshsah sparshsah changed the title [DEFCON_4] Fix moving covariance estimator's estimation subsample [OPEN_DEFCON_1d] Fix moving covariance estimator's estimation subsample Jun 26, 2022
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