Itakura-Saito Autoregressive Extrapolation of Price [Loxx]

Itakura-Saito Autoregressive Extrapolation of Price 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

• 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

Weighted Burg AR Spectral Estimate Extrapolation of Price

Helme-Nikias Weighted Burg AR-SE Extra. of Price

Note di rilascio:

Changed plot to line and cleaned up coordinate drawing functions.

Note di rilascio:

Coordinate cleanup

Note di rilascio:

Updating drawing functions.

Note di rilascio:

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.

Note di rilascio:

Fixed error and removed smoothing, it wasn't having the desired effect.

Note di rilascio:

Removed unused inputs.

Note di rilascio:

Updated lines calculations.