Julia: MFDCCA和MFCCA算法代码

还是策略代码感觉好一些。

include("D:\\strategyJulia\\juliaWork\\mccfun.jl")
using Gadflydata = readcsv("C:\\Users\\Desktop\\return3.csv")x_column =1;
y_column =2;
X     = log(data[2:end,x_column]./data[1:end-1,x_column])
Y     = log(data[2:end,y_column]./data[1:end-1,y_column])
S     = collect(12:2:170)
q     = 10.0
model = 0
@time  fq   = FQ(X,Y,S,q,model)println("q: $q  model: $model");
ln_fq   =log((abs(fq)).^(1/q));
ln_s    =log(S)@time Gadfly.plot(x=ln_s,y=ln_fq)

#"D:\\strategyJulia\\juliaWork\\mccfun.jl"`
function FQ{T<:Real}(X::Array{T,1},Y::Array{T,1},S::Int64,q::Array{T,1},model::Int64)data  = Float64[];for qval in qif model==0val = FQ_old(X,Y,S,qval); # oldelseval = FQ(X,Y,S,qval); # newendpush!(data,val)endreturn data;
end

function FQ{T<:Real}(X::Array{T,1},Y::Array{T,1},S::Array{Int64,1},q::T,model::Int64)data  = Float64[];for s in Sif model==0val = FQ_old(X,Y,s,q); # oldelseval = FQ(X,Y,s,q); # newendpush!(data,val)endreturn data;
end

function FQ{T<:Real}(X::Array{T,1},Y::Array{T,1},S::Int64,q::T) #newtotal    = 0.0lengthX  = length(X)lengthY  = length(Y)lengthX != lengthY && error("FQ : LengthX :$LengthX != LengthY: $LengthY") # 防范两个序列长短不一MS       = floor(Int64,div(lengthX,S))for i = 1 : 2MS  # 建议放成二段F2_value   = F2(X,Y,S,i,1); #1 : new modelval_sign   = sign(F2_value ) #if q != 0.0val_q   = (abs(F2_value))^(q/2)elseval_q   = log(abs(F2_xyVS))endtotal = total + val_sign * val_qendreturn total/(2MS)
end

function FQ_old{T<:Real}(X::Array{T,1},Y::Array{T,1},S::Int64,q::T) # old modeltotal    = 0.0lengthX  = length(X)lengthY  = length(Y)lengthX != lengthY && error("FQ : LengthX :$LengthX != LengthY: $LengthY") # 防范两个序列长短不一MS       = floor(Int64,div(lengthX,S))for i = 1 : 2 * MS  # 建议放成二段F2_xyVS    = F2(X,Y,S,i,0); # #println("F2value :$F2_xyVS")if q != 0.0val_q   = (F2_xyVS)^(q/2)elseval_q   = log(F2_xyVS)endtotal = total + val_qendif q!= 0.0return (total/(2*MS))^(1/q)elsereturn exp(total/(4*MS))end
end

function F2{T<:Real}(X::Array{T,1},Y::Array{T,1},S::Int64,Lammda::Int64,model::Int64)# S: 长度# lammda: 第几段数据# model: 0;1 ;         0:       old model =>abstotal          = 0.0X_parts        = getParts(X,S) # 生成X序列 长度为S的段序列数据（DICT结构），X_Lammda_Parts = X_parts[Lammda] #取出 X段序列中第Lammda段的数据，（接下来要去多项式拟合，并取出第I个值）Y_parts        = getParts(Y,S) #Y_Lammda_parts = Y_parts[Lammda]lengthX  = length(X)lengthY  = length(Y)lengthX != lengthY && error("F2 : LengthX :$LengthX != LengthY: $LengthY") # 防范两个序列长短不一MS       = floor(Int64,div(lengthX,S))for i = 1 :Sif Lammda <= MS  # 第一段groupValue_x = getFirstGroupValue(X,S,Lammda,i);groupValue_y = getFirstGroupValue(Y,S,Lammda,i);else  # 第二段groupValue_x = getSecondGroupValue(X,S,Lammda,i);groupValue_y = getSecondGroupValue(Y,S,Lammda,i);endx_value = groupValue_x - polyfit2Value(X_Lammda_Parts,i)y_value = groupValue_y - polyfit2Value(Y_Lammda_parts,i)if model== 0total   = total + abs(x_value * y_value); # old modelelsetotal   = total + x_value * y_value; # new modelendendvdata = total/S;#println("F2 value : $vdata S:$S Lammda: $Lammda ")
   return vdata;
end

function polyfit2{T<:Real}( y::Array{T,1})# 用于曲线拟合，多项式拟合曲线# y 是自变变# X 是因变量，默认为【1 2 3 4 5 6 7 8。。。】# 注意可能会存在y是行向量还是列向量，会对X有影响。# 输出格式是：C +BX+A*X^2 =>[C,B,A] 模式# 已经测试过，无误！data =[-0.5,-1,-0.5,1,3.5,7,11.5,17,23.5,31,39.5,49,59.5,71,83.5,97,111.5]x = [i for i =1:length(y)]n = 2 # 2 阶多项式A = [ float(x[i])^p for i = 1:length(x), p = 0:n ]return A \ y
end
###

function polyfit2Value(y::Array{Float64,1})# 多项式拟合，并救出指定拟合值中第k个值data = Float64[]coff = polyfit2(y);x    = [i for i =1:length(y)]for k in xkval =x[k]value = coff[3] * kval^2 + coff[2]* kval + coff[1]push!(data,value)end# 输出格式是：C +BX+A*X^2 =>[C,B,A] 模式return data;
end

function polyfit2Value(y::Array{Float64,1},k::Int64)# 多项式拟合，并救出指定拟合值中第k个值data = polyfit2Value(y);# 输出格式是：C +BX+A*X^2 =>[C,B,A] 模式return data[k]
end
#data =[0.5,1,-0.5,1,7,11.5,-17,23.5,-31,39.5,49,3.5,59.5,-71,-83.5,-97,-111.5]
#polyfit2(data)
#polyfit2Value(data,1)

function getCumSumValue{T<:Real}(data::Array{T,1},serie::Int64)# 累计求值，到Nmean_data = Base.mean(data);sum_data  = 0.0Len       = length(data)(serie > Len || serie <1 ) && error("getCumSumValue: serie range error! :$serie  data Len :$Len ") # 参数范围设定for i = 1:seriesum_data = sum_data + (data[i]-mean_data)endreturn sum_data;
end

function getFirstGroupValue{T<:Real}(data::Array{T,1},S::Int64,Lammda::Int64,j::Int64)# 每段长度S,#println("First")j >S && error("getFirstGroupValue : j: $j > S :$S");N          = length(data);NumOfSingleParts = floor(Int64,div(N,S));if Lammda <= NumOfSinglePartsserie = (Lammda-1)*S + j;  #(serie <1 ||serie> N) && error("getFirstGroupValue : (serie:$serie <1 ||serie:$serie > N:$N)")else#println("getFirstGroupValue: j:$j S: $S N :$N Lammda: $Lammda ")error("getFirstGroupValue: Lammda:$Lammda > NumOfSingleParts: $NumOfSingleParts")endvdata = getCumSumValue(data,serie)#println("FirstGroupValue: $vdata S:$S Lammda:$Lammda j:$j  serie:$serie N:$N ")return vdata;
end

function getSecondGroupValue{T<:Real}(data::Array{T,1},S::Int64,Lammda::Int64,j::Int64)# data =>倒序# 每段长度S,# 取出第J个值#println("Second")j >S && error("getSecondGroupValue : j: $j > S :$S");#rdata      = reverse!(copy(data)) # 只COPY值，不改变dataN          = length(data);NumOfSingleParts = floor(Int64,div(N,S));Lammda > 2*NumOfSingleParts && error("getSecondGroupValue: Lammda: $Lammda > 2*NumOfSingleParts: 2*($NumOfSingleParts)")if Lammda > NumOfSinglePartsserie = N -(Lammda-NumOfSingleParts) * S　+　j;#println("getSecondGroupValue: serie: $serie  ")if serie > N ||serie < 1error("getSecondGroupValue : serie: $serie > N: $N  !  or serie < 1")endelseprintln("getSecondGroupValue: j:$j S: $S N :$N Lammda: $Lammda ")if Lammda < NumOfSinglePartserror("getSecondGroupValue: Lammda:$Lammda < NumOfSingleParts: $NumOfSingleParts")elseif Lammda > 2*NumOfSinglePartserror("getSecondGroupValue: Lammda:$Lammda > 2* NumOfSingleParts: $(2*NumOfSingleParts)")endendvdata = getCumSumValue(data,serie) # no reverse  bug??#println("SecondGroupValue: $vdata S:$S Lammda:$Lammda j:$j  serie: $serie")return vdata;
end

function getParts{T<:Real}(data::Array{T,1},S::Int64)# 数据进行切S段，# 个数： 2* floor(N/S);向量组构成的DICT# 【1，2，3，4，5，6，7】 =》【1，2，3，4】 和【7，6，5，4】N = length(data)S>N && error(" S>N S:$S N: $N ");singlePart = floor(Int64,N/S)NumOfParts = 2*singlePart;dictData   = Dict{Int64,Array{T,1}}();rdata      = reverse!(copy(data))for i = 1:NumOfPartsif i <=singlePart  # 第一圈  1# 【1，...S; S+1,...2S,】setindex!(dictData,copy(data[(i-1)*S+1:i*S]),i)else# rdata ,reverse 2j = i-singlePartsetindex!(dictData,copy(rdata[(j-1)*S+1:j*S]),i)endendreturn dictData
end

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