mskewTopN
New in version 1.30.22.
语法
mskewTopN(X, S, window, top, [biased=true], [ascending=true], [tiesMethod=’latest’])
参数说明和窗口计算规则请参考: mTopN 系列
参数
biased 是一个布尔值,表示是否是有偏估计。默认值为 true,表示有偏估计。
详情
在给定长度(以元素个数衡量)的滑动窗口内,根据 ascending 指定的排序方式将 X 按照 S 进行稳定排序后,取前 top 个元素计算斜度。
返回值:DOUBLE 类型。
例子
$ X=1 2 3 10 100 4 3
$ S = 0.3 0.5 0.1 0.1 0.5 0.2 0.4
$ mskewTopN(X, S, 6, 4)
[,0,0,1.01,1.13,0.79,1.08]
$ X = matrix(1..10, 11..20)
$ S = matrix(2022.01.01 2022.02.03 2022.01.23 NULL 2021.12.29 2022.01.20 2022.01.23 2022.01.22 2022.01.24 2022.01.24, NULL 2022.02.03 2022.01.23 2022.04.06 NULL 2022.02.03 2022.02.03 2022.02.05 2022.02.08 2022.02.03)
$ mskewTopN(X, S, 6, 4)
col1 col2
0
0 0
0 0
0.4347 0
-0.278 0.4347
-0.4347 0
0 -0.6872
0 0
0 0.4347
$ symbol = ["A","A","A","B","A","A","B","A","A","B","B","B","A","B","A","B","B","A","B","A"]
$ time = temporalAdd(2023.07.03T09:30:00.000,[10,20,40,60,70,80,90,140,160,170,180,190,200,210,220,230,250,360,390,400],"ms")
$ price = [28.11,28.25,28.44,52.31,28.98,28.89,52.22,28.16,28.52,52.62,52.56,52.2,28.01,52.43,28.57,52.42,52.19,28.16,52.84,28.18]
$ qty = [1900,3300,100,3000,3500,800,3400,4400,3900,4600,2200,2100,2300,4100,400,300,3100,2500,1000,2700]
$ BSFlag = [1,0,1,1,0,0,1,0,0,0,0,1,0,1,0,0,1,1,1,1]
$ t = table(time, symbol, price, qty, BSFlag)
$ select time,symbol,BSFlag,mskewTopN(price, qty, 8, 5) as mskewTop5Price from t context by symbol,BSFlag
time |
symbol |
BSFlag |
mskewTop5Price |
---|---|---|---|
2023.07.03T09:30:00.020 |
A |
0 |
|
2023.07.03T09:30:00.070 |
A |
0 |
0 |
2023.07.03T09:30:00.080 |
A |
0 |
-0.6667 |
2023.07.03T09:30:00.140 |
A |
0 |
0 |
2023.07.03T09:30:00.160 |
A |
0 |
0.0904 |
2023.07.03T09:30:00.200 |
A |
0 |
-0.0986 |
2023.07.03T09:30:00.220 |
A |
0 |
-0.1794 |
2023.07.03T09:30:00.010 |
A |
1 |
|
2023.07.03T09:30:00.040 |
A |
1 |
0 |
2023.07.03T09:30:00.360 |
A |
1 |
0.6448 |
2023.07.03T09:30:00.400 |
A |
1 |
1.0153 |
2023.07.03T09:30:00.170 |
B |
0 |
|
2023.07.03T09:30:00.180 |
B |
0 |
0 |
2023.07.03T09:30:00.230 |
B |
0 |
-0.4451 |
2023.07.03T09:30:00.060 |
B |
1 |
|
2023.07.03T09:30:00.090 |
B |
1 |
0 |
2023.07.03T09:30:00.190 |
B |
1 |
0.6156 |
2023.07.03T09:30:00.210 |
B |
1 |
0.5605 |
2023.07.03T09:30:00.250 |
B |
1 |
0.8565 |
2023.07.03T09:30:00.390 |
B |
1 |
1.3966 |
相关函数:mskew