bio-statsample-timeseries 0.1.2 → 0.2.0

data/Gemfile

@@ -18,4 +18,5 @@ group :development do
   gem "bio", ">= 1.4.2"
   gem "rdoc", "~> 3.12"
   gem 'mocha', '~> 0.14.0'
+  gem 'gsl'
 end

data/VERSION

@@ -1 +1 @@
-0.1.2
+0.2.0

data/lib/bio-statsample-timeseries.rb

@@ -11,6 +11,8 @@
 require 'statsample'
 require_relative 'bio-statsample-timeseries/timeseries.rb'
 require_relative 'bio-statsample-timeseries/arima.rb'
+require_relative 'bio-statsample-timeseries/arima/kalman'
+require_relative 'bio-statsample-timeseries/arima/likelihood'
 require_relative 'bio-statsample-timeseries/utility.rb'
 
 

data/lib/bio-statsample-timeseries/arima.rb

@@ -1,4 +1,6 @@
 #require 'debugger'
+require 'bio-statsample-timeseries/arima/kalman'
+require 'bio-statsample-timeseries/arima/likelihood'
 module Statsample
   module TimeSeries
 
@@ -10,21 +12,31 @@ module Statsample
 
     class ARIMA < Statsample::Vector
       include Statsample::TimeSeries
-      # SUGGESTION: We could use an API similar to R
-      #             like
-      #             ar_obj=Statsample::TimeSeries.arima(ds,p,i,q)
-      # 			which calls
-      # 			Statsample::TimeSeries::Arima.new(ds,p,i,q)
-      def arima(ds, p, i, q)
+
+      #Kalman filter on ARIMA model
+      #*Params*:
+      #-_ts_::timeseries object
+      #-_p_::AR order
+      #-_i_::Integerated part
+      #-_q_::MA order
+      #
+      #*Usage*:
+      # ts = (1..100).map { rand }.to_ts
+      # k_obj = ARIMA.ks(ts, 2, 1, 1)
+      # k_obj.ar
+      # #=> AR's phi coefficients
+      # k_obj.ma 
+      # #=> MA's theta coefficients
+      #
+      #*Returns*:
+      #Kalman filter object
+      def self.ks(ts, p, i, q)
         #prototype
-        # ISSUE: We should differenciate now, if i>0.
-        #	     The result should be send to next step
-        if q.zero?
-          self.ar(p)
-        elsif p.zero?
-          self.ma(p)
-          # ISSUE-> ELSE -> simultaneuos estimation of MA and AR parameters
+        if i > 0
+          ts = ts.diff(i).reject { |x| x.nil? }.to_ts
         end
+        filter = Arima::KalmanFilter.new(ts, p, i, q)
+        filter
       end
 
       def ar(p)
@@ -211,67 +223,5 @@ module Statsample
       end
     end
 
-    module Arima
-      class KalmanFilter < Statsample::Vector
-        include Statsample::TimeSeries
-
-        #=T
-        #The coefficient matrix for the state vector in state equation
-        # It's dimensions is r+k x r+k
-        #*Parameters*
-        #-_r_::integer, r is max(p, q+1), where p and q are orders of AR and MA respectively
-        #-_k_::integer, number of exogeneous variables in ARMA model
-        #-_q_::integer, The AR coefficient of ARMA model
-
-        #*References*: Statsmodels tsa, Durbin and Koopman Section 4.7
-        def self.T(r, k, p)
-          arr = Matrix.zero(r)
-          params_padded  = Statsample::Vector.new(Array.new(r, 0), :scale)
-
-          params_padded[0...p] = params[k...(p+k)]
-          intermediate_matrix = (r-1).times.map { Array.new(r, 0) }
-          #appending an array filled with padded values in beginning
-          intermediate_matrix[0,0] = [params_padded]
-
-          #now generating column matrix for that:
-          arr = Matrix.columns(intermediate_matrix)
-          arr_00 = arr[0,0]
-
-          #identify matrix substituition in matrix except row[0] and column[0]
-          r.times do |i|
-            arr[r,r] = 1
-          end
-          arr[0,0] = arr_00
-          arr
-        end
-
-
-        #=R
-        #The coefficient matrix for the state vector in the observation matrix.
-        #It's dimension is r+k x 1
-        #*Parameters*
-        #-_r_::integer, r is max(p, q+1) where p and q are order of AR and MA respectively
-        #-_k_::integer, number of exogeneous variables in ARMA model
-        #-_q_::integer, The MA order in ARMA model
-        #-_p_::integer, The AR order in ARMA model
-        #*References*: Statsmodels tsa, Durbin and Koopman
-        def self.R(r, k, q, p)
-          arr = Matrix.column_vector(Array.new(r,0.0))
-
-          #pending - in kind of difficult end here;
-        end
-
-        #=Z
-        #The Z selector matrix
-        #*Parameters*
-        #-_r_::integer, max(p, q+1)
-        #Returns: vector
-        def self.Z(r)
-          arr = Statsample::Vector.new(Array.new(r, 0.0), :scale)
-          arr[0] = 1.0
-          return arr
-        end
-      end
-    end
   end
 end

data/lib/bio-statsample-timeseries/arima/kalman.rb

@@ -0,0 +1,137 @@
+require 'bio-statsample-timeseries/arima/likelihood'
+module Statsample
+  module TimeSeries
+    module Arima
+
+      class KalmanFilter
+        include Statsample::TimeSeries
+        include GSL::MultiMin
+        attr_accessor :ts, :p, :i, :q
+        attr_reader :ar, :ma
+        def initialize(ts=[].to_ts, p=0, i=0, q=0)
+          @ts = ts
+          @p = p
+          @i = i
+          @q = q
+          ks #call the filter
+        end
+
+        def to_s
+          sprintf("ARIMA model(p = %d, i = %d, q = %d) on series(%d elements) - [%s]",
+                  @p, @i, @q, @ts.size, @ts.to_a.join(','))
+        end
+
+        #=Kalman Filter
+        #Function which minimizes KalmanFilter.ll iteratively for initial parameters
+        #*Parameters*:
+        #-_timeseries_: timeseries object, against which the ARMA params has to be estimated
+        #-_p_: order of AR
+        #-_q_: order of MA
+        #*Usage*:
+        #- ts = (1..100).to_a.to_ts
+        #- KalmanFilter.ks(ts, 3, 1)
+        #NOTE: Suceptible to syntactical change later. Can be called directly on timeseries.
+        #NOTE: Return parameters
+        def ks
+          initial = Array.new((@p+@q), 0.0)
+
+          my_f = Proc.new{ |x, params|
+            #In rb-gsl, params remain idle, x is varied upon
+            #In R code, initial parameters varied in each iteration
+            #my_func.set_params([(1..100).to_a.to_ts, p_value, q_value])
+            timeseries = params[0]
+            p,q = params[1], params[2]
+            params = x
+            #puts x
+            -Arima::KF::LogLikelihood.new(x.to_a, timeseries, p, q).ll
+            #KalmanFilter.ll(x.to_a, timeseries, p, q)
+          }
+          np = @p + @q
+          my_func = Function.alloc(my_f, np)
+          my_func.set_params([@ts, @p, @q])
+          x = GSL::Vector.alloc(initial)
+          ss = GSL::Vector.alloc(np)
+          ss.set_all(0.1)
+
+          minimizer = FMinimizer.alloc("nmsimplex", np)
+          minimizer.set(my_func, x, ss)
+          status = GSL::CONTINUE
+          iter = 0
+          while status == GSL::CONTINUE && iter < 100
+            iter += 1
+            begin
+              status = minimizer.iterate()
+              status = minimizer.test_size(1e-2)
+              x = minimizer.x
+            rescue
+              break
+            end
+          #  printf("%5d ", iter)
+          #  for i in 0...np do
+          #    puts "#{x[i]}.to_f"
+          #    #printf("%10.3e ", x[i].to_f)
+          #  end
+          #  printf("f() = %7.3f size = %.3f\n", minimizer.fval, minimizer.size)
+          end
+          #
+          @ar = (p > 0) ? x.to_a[0...p] : []
+          @ma = (q > 0) ? x.to_a[p...(p+q)] : []
+          x.to_a
+        end
+
+
+        #=log_likelihood
+        #Computes Log likelihood on given parameters, ARMA order and timeseries
+        #*params*:
+        #-_params_::array of floats, contains phi/theta parameters
+        #-_timeseries_::timeseries object
+        #-_p_::integer, AR(p) order
+        #-_q_::integer, MA(q) order
+        #*Returns*:
+        #LogLikelihood object
+        #*Usage*:
+        # s = (1..100).map { rand }.to_ts
+        # p, q  = 1, 0
+        # ll = KalmanFilter.log_likelihood([0.2], s, p, q)
+        # ll.log_likelihood
+        # #=> -22.66
+        # ll.sigma
+        # #=> 0.232
+        def self.log_likelihood(params, timeseries, p, q)
+          Arima::KF::LogLikelihood.new(params, timeseries, p, q)
+        end
+
+        #=T
+        #The coefficient matrix for the state vector in state equation
+        # It's dimensions is r+k x r+k
+        #*Parameters*
+        #-_r_::integer, r is max(p, q+1), where p and q are orders of AR and MA respectively
+        #-_k_::integer, number of exogeneous variables in ARMA model
+        #-_q_::integer, The AR coefficient of ARMA model
+
+        #*References*: Statsmodels tsa, Durbin and Koopman Section 4.7
+        #def self.T(r, k, p)
+        #  arr = Matrix.zero(r)
+        #  params_padded  = Statsample::Vector.new(Array.new(r, 0), :scale)
+        #
+        #  params_padded[0...p] = params[k...(p+k)]
+        #  intermediate_matrix = (r-1).times.map { Array.new(r, 0) }
+        #  #appending an array filled with padded values in beginning
+        #  intermediate_matrix[0,0] = [params_padded]
+        #
+        #  #now generating column matrix for that:
+        #  arr = Matrix.columns(intermediate_matrix)
+        #  arr_00 = arr[0,0]
+        #
+        #  #identify matrix substituition in matrix except row[0] and column[0]
+        #  r.times do |i|
+        #    arr[r,r] = 1
+        #  end
+        #  arr[0,0] = arr_00
+        #  arr
+        #end
+
+      end
+    end
+  end
+end

data/lib/bio-statsample-timeseries/arima/likelihood.rb

@@ -0,0 +1,104 @@
+module Statsample
+  module TimeSeries
+    module Arima
+      module KF
+        class LogLikelihood
+
+          #log_likelihood
+          #Gives log likelihood value of an ARMA(p, q) process on given parameters
+          attr_reader :log_likelihood
+
+          #sigma
+          #Gives sigma value of an ARMA(p,q) process on given parameters
+          attr_reader :sigma
+
+          #aic
+          #Gives AIC(Akaike Information Criterion)
+          #https://www.scss.tcd.ie/Rozenn.Dahyot/ST7005/13AICBIC.pdf
+          attr_reader :aic
+
+          def initialize(params, timeseries, p, q)
+            @params = params
+            @timeseries = timeseries
+            @p = p
+            @q = q
+            ll
+          end
+
+          #Log likelihood function.
+          #iteratively minimized by simplex algorithm via KalmanFilter.ks
+          #Not meant to be used directly. Will make it private later.
+          def ll
+            params, timeseries = @params, @timeseries
+            p, q = @p, @q
+
+            phi = []
+            theta = []
+            phi = params[0...p] if p > 0
+            theta = params[(p)...(p + q)] if q > 0
+
+            [phi, theta].each do |v|
+              if v.size>0 and v.map(&:abs).inject(:+) > 1
+                return
+              end
+            end
+
+            m = [p, q].max
+            h = Matrix.column_vector(Array.new(m,0))
+            m.times do |i|
+              h[i,0] = phi[i] if i< p
+              h[i,0] = h[i,0] + theta[i] if i < q
+            end
+
+            t = Matrix.zero(m)
+            #set_column is available in utility.rb
+            t = t.set_column(0, phi)
+            if(m > 1)
+              t[0...(m-1), 1...m] = Matrix.I(m-1)
+              #chances of extra constant 0 values as unbalanced column, so:
+              t = Matrix.columns(t.column_vectors)
+            end
+
+            g = Matrix[[1]]
+            a_t = Matrix.column_vector(Array.new(m,0))
+            n = timeseries.size
+            z = Matrix.row_vector(Array.new(m,0))
+            z[0,0] = 1
+            p_t = Matrix.I(m)
+            v_t, f_t = Array.new(n,0), Array.new(n, 0)
+
+            n.times do |i|
+              v_t[i] = (z * a_t).map { |x| timeseries[i] - x }[0,0]
+
+              f_t[i] = (z * p_t * (z.transpose)).map { |x| x + 1 }[0,0]
+
+              k_t = ((t * p_t * z.transpose) + h).map { |x| x / f_t[i] }
+
+              a_t = (t * a_t) + (k_t * v_t[i])
+              l_t = t - k_t * z
+              j_t = h - k_t
+
+              p_t = (t * p_t * (l_t.transpose)) + (h * (j_t.transpose))
+            end
+
+            pot = v_t.map(&:square).zip(f_t).map { |x,y| x / y}.inject(:+)
+            sigma_2 = pot.to_f / n.to_f
+
+            f_t_log_sum = f_t.map { |x| Math.log(x) }.inject(:+)
+            @log_likelihood = -0.5 * (n*Math.log(2*Math::PI) + n*Math.log(sigma_2) + f_t_log_sum + n)
+            
+            @sigma = sigma_2
+            @aic = -(2 * @log_likelihood - 2*(p+q+1))
+            #puts ("ll = #{-ll}")
+            return @log_likelihood
+          end
+
+          def to_s
+            sprintf("LogLikelihood(p = %d, q = %d) on params: [%s]",
+                    @p, @q, @params.join(', '))
+          end
+        end
+      end
+    end
+  end
+end

data/lib/bio-statsample-timeseries/timeseries.rb

@@ -107,7 +107,7 @@ module Statsample
         else
           demeaned_series = self
         end
-        n = self.acf.size
+        n = (10 * Math.log10(size)).to_i + 1
         m = self.mean
         if unbiased
           d = Array.new(self.size, self.size)
@@ -168,21 +168,28 @@ module Statsample
       end
 
       #=Diff
-      # Performs a first difference of the series.
-      #
-      # The convention is to set the oldest observations (the first ones
-      # in the series) to nil so that the size of the diffed series is the
-      # same as the original.
-      #
+      # Performs the difference of the series.
+      # Note: The first difference of series is X(t) - X(t-1)
+      # But, second difference of series is NOT X(t) - X(t-2)
+      # It is the first difference of the first difference
+      # => (X(t) - X(t-1)) - (X(t-1) - X(t-2))
+      #*Params*:
+      #-_max_lags_::integer, (default: 1), number of differences reqd.
       #*Usage*:
       #
       #  ts = (1..10).map { rand }.to_ts
       #            # => [0.69, 0.23, 0.44, 0.71, ...]
       #
       #  ts.diff   # => [nil, -0.46, 0.21, 0.27, ...]
-      #
-      def diff
-        self - self.lag
+      #*Returns*: Timeseries object
+      def diff(max_lags = 1)
+        ts = self
+        difference = []
+        max_lags.times do
+          difference = ts - ts.lag
+          ts = difference
+        end
+        difference
       end
 
       #=Moving Average

data/lib/bio-statsample-timeseries/utility.rb

@@ -78,8 +78,8 @@ module Statsample
     #Class method
     #Returns the chain product of two matrices
     #==Usage:
-    #Let `a` be 4 * 3 matrix, 
-    #Let `b` be 3 * 3 matrix, 
+    #Let `a` be 4 * 3 matrix,
+    #Let `b` be 3 * 3 matrix,
     #Let `c` be 3 * 1 matrix,
     #then `Matrix.chain_dot(a, b, c)`
     #===*NOTE*: Send the matrices in multiplicative order with proper dimensions
@@ -114,5 +114,38 @@ module Statsample
       end
       return Matrix.rows(vectors)
     end
+
+    def set_column(i, arr)
+      columns = self.column_vectors
+      column = columns[i].to_a
+      column[0...arr.size] = arr
+      columns[i] = column
+      return Matrix.columns(columns)
+    end
+    
+    def set_row(i, arr)
+      #similar implementation as set_column
+      #writing and commenting metaprogrammed version
+      #Please to give opinion :)
+      rows = self.row_vectors
+      row = rows[i].to_a
+      row[0...arr.size] = arr
+      rows[i] = row
+      return Matrix.rows(rows)
+    end
+
+    #Metaprogrammed version of set_column, set_row
+    # self.class_eval do
+    #   ["row", "column"].each do |dimension|
+    #     define_method("set_#{dimension}s") do |i, arr|
+    #       dims = send("#{dimension}_vectors")
+    #       dim = dims[i].to_a
+    #       dim[0...arr.size] = arr
+    #       dims[i] = dim
+    #       return Matrix.send("#{dimension}s", dims)
+    #     end
+    #   end
+    # end
   end
+
 end

data/test/helper.rb

@@ -10,9 +10,9 @@ end
 require 'minitest/unit'
 require 'shoulda'
 require 'shoulda-context'
-require 'mocha'
+require 'mocha/setup'
 
-require 'bio-statsample-timeseries'
+#require 'bio-statsample-timeseries'
 
 $LOAD_PATH.unshift(File.join(File.dirname(__FILE__), '..', 'lib'))
 $LOAD_PATH.unshift(File.dirname(__FILE__))

data/test/test_arima_ks.rb

@@ -0,0 +1,106 @@
+require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
+
+class StatsampleArimaKSTestCase < MiniTest::Unit::TestCase
+
+  context("AR(0.5) simulation") do
+    #include Statsample::TimeSeries
+    setup do
+      @s = [-1.16025577,0.64758021,0.77158601,0.14989543,2.31358162,3.49213868,1.14826956,0.58169457,-0.30813868,-0.34741084,-1.41175595,0.06040081, -0.78230232,0.86734837,0.95015787,-0.49781397,0.53247330,1.56495187,0.30936619,0.09750217,1.09698829,-0.81315490,-0.79425607,-0.64568547,-1.06460320,1.24647894,0.66695937,1.50284551,1.17631218,1.64082872,1.61462736,0.06443761,-0.17583741,0.83918339,0.46610988,-0.54915270,-0.56417108,-1.27696654,0.89460084,1.49970338,0.24520493,0.26249138,-1.33744834,-0.57725961,1.55819543,1.62143157,0.44421891,-0.74000084 ,0.57866347,3.51189333,2.39135077,1.73046244,1.81783890,0.21454040,0.43520890,-1.42443856,-2.72124685,-2.51313877,-1.20243091,-1.44268002 ,-0.16777305,0.05780661,2.03533992,0.39187242,0.54987983,0.57865693,-0.96592469,-0.93278473,-0.75962671,-0.63216906,1.06776183, 0.17476059 ,0.06635860,0.94906227,2.44498583,-1.04990407,-0.88440073,-1.99838258,-1.12955558,-0.62654882,-1.36589161,-2.67456821,-0.97187696, -0.84431782 ,-0.10051809,0.54239549,1.34622861,1.25598105,0.19707759,3.29286114,3.52423499,1.69146333,-0.10150024,0.45222903,-0.01730516, -0.49828727, -1.18484684,-1.09531773,-1.17190808,0.30207662].to_ts
+    end
+    context "passed through the Kalman Filter" do
+      setup do
+        @kf=Statsample::TimeSeries::ARIMA.ks(@s,1,0,0)
+      end
+      should "return correct object" do
+        assert_instance_of Statsample::TimeSeries::Arima::KalmanFilter, @kf
+      end
+      should "return correct parameters" do
+        assert_equal @kf.p,1
+        assert_equal @kf.q,0
+        assert_equal @kf.i,0
+      end
+      should "return correct ar estimators" do
+        assert_equal @kf.ar.length,1
+        assert_in_delta @kf.ar[0], 0.700 #0.564
+      end
+      should "return correct ma estimators" do
+        assert_equal @kf.ma.length,0
+      end
+    end
+    context "passed through the Kalman Filter with AR(0.564)" do
+      setup do
+        @kf_likehood=Statsample::TimeSeries::Arima::KalmanFilter.log_likelihood([0.564],@s,1,0)
+      end
+      should "return correct object for log_likehood" do
+        assert_instance_of Statsample::TimeSeries::Arima::KF::LogLikelihood, @kf_likehood
+      end
+      should "return correct log_likehood" do
+        assert_in_delta -148.7003,  @kf_likehood.log_likelihood
+      end
+      should "return correct sigma" do
+        assert_in_delta 1.137915,  @kf_likehood.sigma
+      end
+      should "return correct AIC value" do
+        assert_in_delta 301.44, @kf_likehood.aic, 0.1
+      end
+
+    end
+    context "passed through the Kalman Filter with AR(0.2)" do
+      setup do
+        @kf_likehood=Statsample::TimeSeries::Arima::KalmanFilter.log_likelihood([0.2],@s,1,0)
+      end
+      should "return correct object for log_likehood" do
+        assert_instance_of Statsample::TimeSeries::Arima::KF::LogLikelihood, @kf_likehood
+      end
+      should "return correct log_likehood" do
+        assert_in_delta -66.40337-0.5*@s.size*(Math.log(2*Math::PI)),  @kf_likehood.log_likelihood, 0.01
+      end
+      should "return correct sigma" do
+        assert_in_delta 1.378693,  @kf_likehood.sigma, 0.01
+      end
+
+    end
+  end
+
+  context("ARMA(1, 1) process") do
+    setup do
+      @s = [-1.16025577,0.64758021,0.77158601,0.14989543,2.31358162,3.49213868,1.14826956,0.58169457,-0.30813868,-0.34741084,-1.41175595,0.06040081, -0.78230232,0.86734837,0.95015787,-0.49781397,0.53247330,1.56495187,0.30936619,0.09750217,1.09698829,-0.81315490,-0.79425607,-0.64568547,-1.06460320,1.24647894,0.66695937,1.50284551,1.17631218,1.64082872,1.61462736,0.06443761,-0.17583741,0.83918339,0.46610988,-0.54915270,-0.56417108,-1.27696654,0.89460084,1.49970338,0.24520493,0.26249138,-1.33744834,-0.57725961,1.55819543,1.62143157,0.44421891,-0.74000084 ,0.57866347,3.51189333,2.39135077,1.73046244,1.81783890,0.21454040,0.43520890,-1.42443856,-2.72124685,-2.51313877,-1.20243091,-1.44268002 ,-0.16777305,0.05780661,2.03533992,0.39187242,0.54987983,0.57865693,-0.96592469,-0.93278473,-0.75962671,-0.63216906,1.06776183, 0.17476059 ,0.06635860,0.94906227,2.44498583,-1.04990407,-0.88440073,-1.99838258,-1.12955558,-0.62654882,-1.36589161,-2.67456821,-0.97187696, -0.84431782 ,-0.10051809,0.54239549,1.34622861,1.25598105,0.19707759,3.29286114,3.52423499,1.69146333,-0.10150024,0.45222903,-0.01730516, -0.49828727, -1.18484684,-1.09531773,-1.17190808,0.30207662].to_ts
+    end
+    context "passed through the Kalman Filter" do
+      setup do
+        @kf = Statsample::TimeSeries::ARIMA.ks(@s, 2, 0, 1)
+      end
+
+      should "return correct parameters" do
+        assert_equal @kf.p, 2
+        assert_equal @kf.q, 1
+        assert_equal @kf.i, 0
+      end
+      should "return correct AR estimators" do
+        assert_equal @kf.ar.length, 2
+        assert_in_delta @kf.ar[0], 0.45, 0.01
+        assert_in_delta @kf.ar[1], 0.016, 0.01
+      end
+      should "return correct ma estimators" do
+        assert_equal @kf.ma.length, 1
+        assert_in_delta @kf.ma[0], 0.18, 0.01
+      end
+    end
+
+    context "passed through the LogLikelihood with ARMA([0.45, 0.16, 0.18])" do
+      setup do
+        @ll = Statsample::TimeSeries::Arima::KF::LogLikelihood.new([0.45, 0.16, 0.18], @s, 2, 1)
+      end
+      should "return correct log likelihood" do
+        assert_in_delta -149.55, @ll.log_likelihood, 0.01
+      end
+      should "return correct sigma" do
+        assert_in_delta 1.14, @ll.sigma, 0.1
+      end
+      should "return correct AIC value" do
+        assert_in_delta 307.11, @ll.aic, 0.01
+      end
+    end
+  end
+
+end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: bio-statsample-timeseries
 version: !ruby/object:Gem::Version
-  version: 0.1.2
+  version: 0.2.0
   prerelease: 
 platform: ruby
 authors:
@@ -10,7 +10,7 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-09-03 00:00:00.000000000 Z
+date: 2013-09-17 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: statsample
@@ -188,6 +188,22 @@ dependencies:
     - - ~>
       - !ruby/object:Gem::Version
         version: 0.14.0
+- !ruby/object:Gem::Dependency
+  name: gsl
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
 description: Statsample-timeseries is an extension to Statsample. It incorporates
   helpful timeseries functions and modules like ARMA, ARIMA, acf, pacf, lags etc.
 email: ankurgel@gmail.com
@@ -216,11 +232,14 @@ files:
 - features/support/env.rb
 - lib/bio-statsample-timeseries.rb
 - lib/bio-statsample-timeseries/arima.rb
+- lib/bio-statsample-timeseries/arima/kalman.rb
+- lib/bio-statsample-timeseries/arima/likelihood.rb
 - lib/bio-statsample-timeseries/timeseries.rb
 - lib/bio-statsample-timeseries/timeseries/pacf.rb
 - lib/bio-statsample-timeseries/utility.rb
 - test/fixtures/stock_data.csv
 - test/helper.rb
+- test/test_arima_ks.rb
 - test/test_arima_simulators.rb
 - test/test_matrix.rb
 - test/test_pacf.rb
@@ -241,7 +260,7 @@ required_ruby_version: !ruby/object:Gem::Requirement
       version: '0'
       segments:
       - 0
-      hash: -122253519
+      hash: 68777245
 required_rubygems_version: !ruby/object:Gem::Requirement
   none: false
   requirements: