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업데이트됨 Itakura-Saito Autoregressive Extrapolation of Price [Loxx]

Itakura-Saito Autoregressive Extrapolation of Price [Loxx] is an indicator that uses an autoregressive analysis to predict future prices. This is a linear technique that was originally derived or speech analysis algorithms.
What is Itakura-Saito Autoregressive Analysis?
The technique of linear prediction has been available for speech analysis since the late 1960s (Itakura & Saito, 1973a, 1970; Atal & Hanauer, 1971), although the basic principles were established long before this by Wiener (1947). Linear predictive coding, which is also known as autoregressive analysis, is a time-series algorithm that has applications in many fields other than speech analysis (see, e.g., Chatfield, 1989).
Itakura and Saito developed a formulation for linear prediction analysis using a lattice form for the inverse filter. The Itakura–Saito distance (or Itakura–Saito divergence) is a measure of the difference between an original spectrum and an approximation of that spectrum. Although it is not a perceptual measure it is intended to reflect perceptual (dis)similarity. It was proposed by Fumitada Itakura and Shuzo Saito in the 1960s while they were with NTT. The distance is defined as: The Itakura–Saito distance is a Bregman divergence, but is not a true metric since it is not symmetric and it does not fulfil triangle inequality.
read more: Selected Methods for Improving Synthesis Speech Quality Using Linear Predictive Coding: System Description, Coefficient Smoothing and Streak
Data inputs
Things to know
Related Indicators (linear extrapolation of price)
Levinson-Durbin Autocorrelation Extrapolation of Price
![Levinson-Durbin Autocorrelation Extrapolation of Price [Loxx]](https://s3.tradingview.com/m/mvUdLxSg_mid.png)
Weighted Burg AR Spectral Estimate Extrapolation of Price
![Weighted Burg AR Spectral Estimate Extrapolation of Price [Loxx]](https://s3.tradingview.com/g/G3VyvCoH_mid.png)
Helme-Nikias Weighted Burg AR-SE Extra. of Price [Loxx]
![Helme-Nikias Weighted Burg AR-SE Extra. of Price [Loxx]](https://s3.tradingview.com/8/8YbmmPCn_mid.png)
What is Itakura-Saito Autoregressive Analysis?
The technique of linear prediction has been available for speech analysis since the late 1960s (Itakura & Saito, 1973a, 1970; Atal & Hanauer, 1971), although the basic principles were established long before this by Wiener (1947). Linear predictive coding, which is also known as autoregressive analysis, is a time-series algorithm that has applications in many fields other than speech analysis (see, e.g., Chatfield, 1989).
Itakura and Saito developed a formulation for linear prediction analysis using a lattice form for the inverse filter. The Itakura–Saito distance (or Itakura–Saito divergence) is a measure of the difference between an original spectrum and an approximation of that spectrum. Although it is not a perceptual measure it is intended to reflect perceptual (dis)similarity. It was proposed by Fumitada Itakura and Shuzo Saito in the 1960s while they were with NTT. The distance is defined as: The Itakura–Saito distance is a Bregman divergence, but is not a true metric since it is not symmetric and it does not fulfil triangle inequality.
read more: Selected Methods for Improving Synthesis Speech Quality Using Linear Predictive Coding: System Description, Coefficient Smoothing and Streak
Data inputs
- Source Settings: -Loxx's Expanded Source Types. You typically use "open" since open has already closed on the current active bar
- LastBar - bar where to start the prediction
- PastBars - how many bars back to model
- LPOrder - order of linear prediction model; 0 to 1
- FutBars - how many bars you want to forward predict
Things to know
- Normally, a simple moving average is calculated on source data. I've expanded this to 38 different averaging methods using Loxx's Moving Avreages.
- This indicator repaints
Related Indicators (linear extrapolation of price)
Levinson-Durbin Autocorrelation Extrapolation of Price
![Levinson-Durbin Autocorrelation Extrapolation of Price [Loxx]](https://s3.tradingview.com/m/mvUdLxSg_mid.png)
Weighted Burg AR Spectral Estimate Extrapolation of Price
![Weighted Burg AR Spectral Estimate Extrapolation of Price [Loxx]](https://s3.tradingview.com/g/G3VyvCoH_mid.png)
Helme-Nikias Weighted Burg AR-SE Extra. of Price [Loxx]
![Helme-Nikias Weighted Burg AR-SE Extra. of Price [Loxx]](https://s3.tradingview.com/8/8YbmmPCn_mid.png)
릴리즈 노트
Coordinate cleanup릴리즈 노트
Updating drawing functions. 릴리즈 노트
Increased lookback range to max of 2000 bars. Future bar draws are limited to math.min(array output calcs, FutBars) settings. All settings work now. 릴리즈 노트
Fixed error and removed smoothing, it wasn't having the desired effect.릴리즈 노트
Removed unused inputs. 릴리즈 노트
Updated lines calculations. 오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
VIP Membership Info: patreon.com/algxtrading/membership
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.
오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
VIP Membership Info: patreon.com/algxtrading/membership
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.