Add ensemble

Author: kylecorry31

src/main/kotlin/com/kylecorry/sol/math/ensemble/ConfidenceScore.kt

@@ -0,0 +1,3 @@
+package com.kylecorry.sol.math.ensemble
+
+data class ConfidenceScore<T>(val value: T, val confidence: Float)

src/main/kotlin/com/kylecorry/sol/math/ensemble/Ensemble.kt

@@ -0,0 +1,23 @@
+package com.kylecorry.sol.math.ensemble
+
+import com.kylecorry.sol.math.statistics.ConfidenceInterval
+import com.kylecorry.sol.math.statistics.Statistics
+
+object Ensemble {
+    fun <T> discrete(values: List<T>): List<ConfidenceScore<T>> {
+        val total = values.size
+        if (total == 0) {
+            return emptyList()
+        }
+        return values
+            .groupBy { it }
+            .map { ConfidenceScore(it.key, it.value.size / total.toFloat()) }
+    }
+
+    fun continuous(values: List<Float>, confidenceIntervalSize: Float = 0.95f): ConfidenceInterval<Float> {
+        val median = Statistics.median(values)
+        val lower = Statistics.quantile(values, 1f - confidenceIntervalSize)
+        val upper = Statistics.quantile(values, confidenceIntervalSize)
+        return ConfidenceInterval(median, lower, upper, confidenceIntervalSize)
+    }
+}

src/main/kotlin/com/kylecorry/sol/math/statistics/ConfidenceInterval.kt

@@ -1,3 +1,3 @@
 package com.kylecorry.sol.math.statistics
 
-data class ConfidenceInterval<T>(val value: T, val upper: T, val lower: T)
+data class ConfidenceInterval<T>(val value: T, val lower: T, val upper: T, val confidence: Float)

src/main/kotlin/com/kylecorry/sol/math/statistics/TimeSeriesEnsemble.kt

@@ -1,6 +1,7 @@
 package com.kylecorry.sol.math.statistics
 
 import com.kylecorry.sol.math.Vector2
+import com.kylecorry.sol.math.ensemble.Ensemble
 import com.kylecorry.sol.math.regression.ITimeSeriesPredictor
 
 class TimeSeriesEnsemble(
@@ -16,10 +17,15 @@ class TimeSeriesEnsemble(
             if (values.isEmpty()) {
                 continue
             }
-            val median = Statistics.median(values)
-            val lower = Statistics.quantile(values, 1f - confidenceIntervalSize)
-            val upper = Statistics.quantile(values, confidenceIntervalSize)
-            result.add(ConfidenceInterval(Vector2(x, median), Vector2(x, upper), Vector2(x, lower)))
+            val interval = Ensemble.continuous(values, confidenceIntervalSize)
+            result.add(
+                ConfidenceInterval(
+                    Vector2(x, interval.value),
+                    Vector2(x, interval.lower),
+                    Vector2(x, interval.upper),
+                    interval.confidence
+                )
+            )
         }
         return result
     }