Guassian Function

[darckeen]

Was trying to add a function for calculating the guassian value and it doesn't seem to be working. Anyone know what the bug is or a better way to do it?

double m = 0;
double s = 1;
double v = 1;
Print(string.Format("Guassian({0},{1},{2}): {3:0.00}",m,s,v,GetNormalGuassian(m,s,v)));

public double GetNormalGuassian(double mean, double stdev, double x)
{
double a = 1 / (stdev * Math.Sqrt(2 * Math.PI));
double num = Math.Pow(x-mean,2);
double den = 2 * Math.Pow(stdev,2);
return a * Math.Exp(-num/den);
}

comes up with 0.24, should be 0.84 according to excel

[NinjaTrader_Ben]

Hello,

I am sorry, I am not familiar with this indicator calc. Try printing each value out just prior to it being used in your calculation, then post those results and I'll see if I can help.

[darckeen]

The calc is more commonly known as the probability density function. It turns out the code was fine. My problem was that I was using the wrong function, instead I wanted the cummulative density function. Thanks for the help.

[sefstrat]

If you are looking to get accurate density approximation you should check out support vector machines, there is a .net port of libsvm. The 'one-class' svc technique yields a good estimate of sample density. =)

Another popular method for density approximation is to use sequential monte carlo techniques but I don't think there are any open source implementations for .net

[darckeen]

I found a good algorithm for it here http://www.sitmo.com/doc/Calculating...l_Distribution, but i'll check out that library cause i also would like to find something for the student t distribution.

[whself beginner]

I found a good algorithm for it here http://www.sitmo.com/doc/Calculating...l_Distribution, but i'll check out that library cause i also would like to find something for the student t distribution.

here is a port of quantlib http://quantlib.org/index.shtml from c++ to c#. i have not look at this.

http://www.qlnet.org/index.php?option=com_content&view=article&id=5:moved-to-sourceforgenet-&catid=1:latest&Itemid=6

and on sourceforge

http://sourceforge.net/projects/qlnet/