Total Least Squares using PCA

tls.py

"""Total Least Squares using PCA"""
# Copyright (c) 2015 Alexander Stocko <[email protected]>
# License: BSD 3 Clause

import numpy as np
import sklearn.decomposition


def tls_ratio(x, y):
    A = np.stack([x, y]).T
    pca = sklearn.decomposition.PCA(copy=True, n_components=2, whiten=False)
    decomp = pca.fit(A)
    return decomp.components_[0, 0] / decomp.components_[1, 0]


def moving_tls(x, y, period):
    r = np.empty(len(x))
    r.fill(np.nan)
    for i in range(period - 1, len(x)):
        r[i] = tls_ratio(x[(i-period+1):i+1], y[(i-period+1):i+1])
    return r