bio-statsample-timeseries 0.2.0 → 0.2.1

data/README.md

@@ -2,10 +2,23 @@
 
 [![Build Status](https://secure.travis-ci.org/AnkurGel/bioruby-statsample-timeseries.png)](http://travis-ci.org/ankurgel/bioruby-statsample-timeseries)
 
-Full description goes here
+Statsample-Timeseries is an extension to [Statsample](https://github.com/clbustos/statsample), a suite of advance statistics in Ruby. It incorporates helpful timeseries functions, estimations and modules such as:
+
+  * ACF
+  * PACF
+  * ARIMA
+  * KalmanFilter
+  * LogLikelihood
+  * Autocovariances
+  * Moving Averages
 
 Note: this software is under active development!
 
+
+## Dependency
+
+Please install [`rb-gsl`](http://rb-gsl.rubyforge.org/) which is a Ruby wrapper over GNU Scientific Library. It enables us to use various minimization techniques during estimations.
+
 ## Installation
 
 ```sh
@@ -18,9 +31,19 @@ Note: this software is under active development!
     require 'bio-statsample-timeseries'
 ```
 
-The API doc is online. For more code examples see the test files in
+The [API doc](http://rubydoc.info/gems/bio-statsample-timeseries/0.2.0/frames) is online. For more code examples see the test files in
 the source tree.
-        
+
+
+## Contributing
+
+* Fork the project. 
+* Add/Modify code. 
+* Write equivalent documentation and **tests**
+* Run `rake test` to verify that all test case passes
+* Pull request. :)
+
+ 
 ## Project home page
 
 Information on the source tree, documentation, examples, issues and

data/README.rdoc

@@ -4,10 +4,23 @@
 src="https://secure.travis-ci.org/AnkurGel/bioruby-statsample-timeseries.png"
 />}[http://travis-ci.org/#!/AnkurGel/bioruby-statsample-timeseries]
 
-Full description goes here
+Statsample-Timeseries is an extension to [Statsample](https://github.com/clbustos/statsample), a suite of advance statistics in Ruby. It incorporates helpful timeseries functions, estimations and modules such as:
+
+  * ACF
+  * PACF
+  * ARIMA
+  * KalmanFilter
+  * LogLikelihood
+  * Autocovariances 
+  * Moving Averages
 
 Note: this software is under active development!
 
+== Dependency
+
+Please install [`rb-gsl`](http://rb-gsl.rubyforge.org/) which is a Ruby wrapper over GNU Scientific Library. It enables us to use various minimization techniques during estimations.
+
+
 == Installation
 
         gem install bio-statsample-timeseries
@@ -22,6 +35,15 @@ To use the library
 
 The API doc is online. For more code examples see also the test files in
 the source tree.
+
+
+== Contributing
+
+* Fork the project. 
+* Add/Modify code. 
+* Write equivalent documentation and **tests**
+* Run `rake test` to verify that all test case passes
+* Pull request. :)
         
 == Project home page
 

data/VERSION

@@ -1 +1 @@
-0.2.0
+0.2.1

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

@@ -13,22 +13,23 @@ module Statsample
     class ARIMA < Statsample::Vector
       include Statsample::TimeSeries
 
-      #Kalman filter on ARIMA model
-      #*Params*:
-      #-_ts_::timeseries object
-      #-_p_::AR order
-      #-_i_::Integerated part
-      #-_q_::MA order
-      #
-      #*Usage*:
+      #= Kalman filter on ARIMA model
+      #== Params
+      #
+      #* *ts*: timeseries object
+      #* *p*: AR order
+      #* *i*: Integerated part order
+      #* *q*: MA order
+      #
+      #== Usage
       # ts = (1..100).map { rand }.to_ts
-      # k_obj = ARIMA.ks(ts, 2, 1, 1)
+      # k_obj = Statsample::TimeSeries::ARIMA.ks(ts, 2, 1, 1)
       # k_obj.ar
       # #=> AR's phi coefficients
       # k_obj.ma 
       # #=> MA's theta coefficients
       #
-      #*Returns*:
+      #== Returns
       #Kalman filter object
       def self.ks(ts, p, i, q)
         #prototype
@@ -46,25 +47,41 @@ module Statsample
         #or Burg's algorithm(more efficient)
       end
 
-      #Converts a linear array into a vector
+      #Converts a linear array into a Statsample vector
+      #== Parameters
+      #
+      #* *arr*: Array which has to be converted in Statsample vector
       def create_vector(arr)
         Statsample::Vector.new(arr, :scale)
       end
 
-
+      #=Yule Walker
+      #Performs yule walker estimation on given timeseries, observations and order
+      #==Parameters
+      #
+      #* *ts*: timeseries object
+      #* *n* : number of observations
+      #* *k* : order
+      #
+      #==Returns
+      #phi and sigma vectors
       def yule_walker(ts, n, k)
-        #parameters: timeseries, no of observations, order
-        #returns: simulated autoregression with phi parameters and sigma
         phi, sigma = Pacf::Pacf.yule_walker(ts, k)
         return phi, sigma
         #return ar_sim(n, phi, sigma)
       end
 
+      #=Levinson Durbin estimation
+      #Performs levinson durbin estimation on given timeseries, observations and order
+      #==Parameters
+      #
+      #* *ts*: timeseries object
+      #* *n* : number of observations
+      #* *k* : autoregressive order
+      #
+      #==Returns
+      #phi and sigma vectors
       def levinson_durbin(ts, n, k)
-        #parameters;
-        #ts: timseries against which to generate phi coefficients
-        #n: number of observations for simulation
-        #k: order of AR
         intermediate = Pacf::Pacf.levinson_durbin(ts, k)
         phi, sigma = intermediate[1], intermediate[0]
         return phi, sigma
@@ -75,19 +92,20 @@ module Statsample
       #Simulates an autoregressive AR(p) model with specified number of
       #observations(n), with phi number of values for order p and sigma.
       #
-      #*Analysis*:  http://ankurgoel.com/blog/2013/07/20/ar-ma-arma-acf-pacf-visualizations/
+      #==Analysis:
+      # [http://ankurgoel.com/blog/2013/07/20/ar-ma-arma-acf-pacf-visualizations/](http://ankurgoel.com/blog/2013/07/20/ar-ma-arma-acf-pacf-visualizations/)
       #
-      #*Parameters*:
-      #-_n_::integer, number of observations
-      #-_phi_::array of phi values, e.g: [0.35, 0.213] for p = 2
-      #-_sigma_::float, sigma value for error generalization
+      #==Parameters:
+      #* *n*: integer, number of observations
+      #* *phi* :array of phi values, e.g: [0.35, 0.213] for p = 2
+      #* *sigma*: float, sigma value for error generalization
       #
-      #*Usage*:
+      #==Usage
       #  ar = ARIMA.new
       #  ar.ar_sim(1500, [0.3, 0.9], 0.12)
       #    # => AR(2) autoregressive series of 1500 values
       #
-      #*Returns*:
+      #==Returns
       #Array of generated autoregressive series against attributes
       def ar_sim(n, phi, sigma)
         #using random number generator for inclusion of white noise
@@ -122,16 +140,16 @@ module Statsample
       #Simulates a moving average model with specified number of
       #observations(n), with theta values for order k and sigma
       #
-      #*Parameters*:
-      #-_n_::integer, number of observations
-      #-_theta_::array of floats, e.g: [0.23, 0.732], must be < 1
-      #-_sigma_::float, sigma value for whitenoise error
+      #==Parameters
+      #* *n*: integer, number of observations
+      #* *theta*: array of floats, e.g: [0.23, 0.732], must be < 1
+      #* *sigma*: float, sigma value for whitenoise error
       #
-      #*Usage*:
+      #==Usage
       #  ar = ARIMA.new
       #  ar.ma_sim(1500, [0.23, 0.732], 0.27)
       #
-      #*Returns*:
+      #==Returns
       #Array of generated MA(q) model
       def ma_sim(n, theta, sigma)
         #n is number of observations (eg: 1000)
@@ -158,7 +176,7 @@ module Statsample
         x
       end
 
-      #ARMA(Autoregressive and Moving Average) Simulator
+      #=ARMA(Autoregressive and Moving Average) Simulator
       #ARMA is represented by:
       #http://upload.wikimedia.org/math/2/e/d/2ed0485927b4370ae288f1bc1fe2fc8b.png
       #This simulates the ARMA model against p, q and sigma.
@@ -166,19 +184,20 @@ module Statsample
       #If q = 0, then model is pure AR(p),
       #otherwise, model is ARMA(p, q) represented by above.
       #
-      #Detailed analysis: http://ankurgoel.com/blog/2013/07/20/ar-ma-arma-acf-pacf-visualizations/
+      #==Detailed analysis:
+      # [http://ankurgoel.com/blog/2013/07/20/ar-ma-arma-acf-pacf-visualizations/](http://ankurgoel.com/blog/2013/07/20/ar-ma-arma-acf-pacf-visualizations/)
       #
-      #*Parameters*:
-      #-_n_::integer, number of observations
-      #-_p_::array, contains p number of phi values for AR(p) process
-      #-_q_::array, contains q number of theta values for MA(q) process
-      #-_sigma_::float, sigma value for whitenoise error generation
+      #==Parameters
+      #* *n*: integer, number of observations
+      #* *p*: array, contains p number of phi values for AR(p) process
+      #* *q*: array, contains q number of theta values for MA(q) process
+      #* *sigma*: float, sigma value for whitenoise error generation
       #
-      #*Usage*:
+      #==Usage
       #  ar = ARIMA.new
       #  ar.arma_sim(1500, [0.3, 0.272], [0.8, 0.317], 0.92)
       #
-      #*Returns*:
+      #==Returns
       #array of generated ARMA model values
       def arma_sim(n, p, q, sigma)
         #represented by :

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

@@ -6,8 +6,22 @@ module Statsample
       class KalmanFilter
         include Statsample::TimeSeries
         include GSL::MultiMin
-        attr_accessor :ts, :p, :i, :q
-        attr_reader :ar, :ma
+
+        #timeseries object
+        attr_accessor :ts
+        #Autoregressive order
+        attr_accessor :p
+        #Integerated part order
+        attr_accessor :i
+        #Moving average order
+        attr_accessor :q
+
+        # Autoregressive coefficients
+        attr_reader :ar
+        # Moving average coefficients
+        attr_reader :ma
+
+        #Creates a new KalmanFilter object and computes the likelihood
         def initialize(ts=[].to_ts, p=0, i=0, q=0)
           @ts = ts
           @p = p
@@ -21,17 +35,14 @@ module Statsample
                   @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
+        # = Kalman Filter
+        #  Function which minimizes KalmanFilter.ll iteratively for initial parameters
+        # == Usage
+        #    @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
+        #    @kf=Statsample::TimeSeries::ARIMA.ks(@s,1,0,0)
+        #    #=> ks is implictly called in above operation
+        #    @kf.ar
+        #    #=> AR coefficients
         def ks
           initial = Array.new((@p+@q), 0.0)
 
@@ -80,16 +91,16 @@ module Statsample
         end
 
 
-        #=log_likelihood
+        #=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*:
+        #==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*:
+        #==Usage
         # s = (1..100).map { rand }.to_ts
         # p, q  = 1, 0
         # ll = KalmanFilter.log_likelihood([0.2], s, p, q)
@@ -104,12 +115,12 @@ module Statsample
         #=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
+        #==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
+        #==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)

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

@@ -4,15 +4,12 @@ module Statsample
       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
@@ -25,7 +22,7 @@ module Statsample
             ll
           end
 
-          #Log likelihood function.
+          #===Log likelihood link function.
           #iteratively minimized by simplex algorithm via KalmanFilter.ks
           #Not meant to be used directly. Will make it private later.
           def ll

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

@@ -49,20 +49,15 @@ module Statsample
 
       #=Partial Autocorrelation
       #Generates partial autocorrelation series for a timeseries
-      #*Parameters*:
-      #-_max_lags_::integer, optional - provide number of lags
-      #-_method_::string. Default: 'yw'.
-      #    * _yw_:: For yule-walker algorithm unbiased approach
-      #    * _mle_:: For Maximum likelihood algorithm approach
-      #    * _ld_:: Forr Levinson-Durbin recursive approach
-      #Returns - array of pacf
-      #
+      #==Parameters
+      #* *max_lags*: integer, optional - provide number of lags
+      #* *method*: string. Default: 'yw'.
+      #    * *yw*: For yule-walker algorithm unbiased approach
+      #    * *mle*: For Maximum likelihood algorithm approach
+      #    * *ld*: Forr Levinson-Durbin recursive approach
+      #==Returns
+      # array of pacf
       def pacf(max_lags = nil, method = :yw)
-        #parameters:
-        #max_lags => maximum number of lags for pcf
-        #method => for autocovariance in yule_walker:
-          #'yw' for 'yule-walker unbaised', 'mle' for biased maximum likelihood
-          #'ld' for Levinson-Durbin recursion
 
         method = method.downcase.to_sym
         max_lags ||= (10 * Math.log10(size)).to_i
@@ -78,12 +73,11 @@ module Statsample
 	
       #=Autoregressive estimation
       #Generates AR(k) series for the calling timeseries by yule walker.
-      #*Parameters*:
-      #-_n_::integer, (default = 1500) number of observations for AR.
-      #-_k_::integer, (default = 1) order of AR process.
-      #*Returns*:
+      #==Parameters
+      #* *n*: integer, (default = 1500) number of observations for AR.
+      #* *k*: integer, (default = 1) order of AR process.
+      #==Returns
       #Array constituting estimated AR series.
-      #
       def ar(n = 1500, k = 1)
         series = Statsample::TimeSeries.arima
         #series = Statsample::TimeSeries::ARIMA.new
@@ -92,11 +86,11 @@ module Statsample
 
       #=AutoCovariance
       #Provides autocovariance of timeseries.
-      #-Parameters:
-      #demean = true; optional. Supply false if series is not to be demeaned
-      #unbiased = true; optional. true/false for unbiased/biased form of autocovariance
-      #-Returns-: Autocovariance value
-      #
+      #==Parameters
+      #* *demean* = true; optional. Supply false if series is not to be demeaned
+      #* *unbiased* = true; optional. true/false for unbiased/biased form of autocovariance
+      #==Returns
+      # Autocovariance value
       def acvf(demean = true, unbiased = true)
         #TODO: change parameters list in opts.merge as suggested by John
         #functionality: computes autocovariance of timeseries data
@@ -123,7 +117,6 @@ module Statsample
 
       #=Correlation
       #Gives correlation of timeseries.
-      #
       def correlate(a, v, mode = 'full')
         #peforms cross-correlation of two series
         #multiarray.correlate2(a, v, 'full')
@@ -173,15 +166,16 @@ module Statsample
       # 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*:
+      #==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, ...]
-      #*Returns*: Timeseries object
+      #==Returns
+      # Timeseries object
       def diff(max_lags = 1)
         ts = self
         difference = []
@@ -195,10 +189,10 @@ module Statsample
       #=Moving Average
       # Calculates the moving average of the series using the provided
       # lookback argument. The lookback defaults to 10 periods.
-      #*Parameters*:
-      #-_n_::integer, (default = 10) - loopback argument
+      #==Parameters
+      #* *n*: integer, (default = 10) - loopback argument
       #
-      #*Usage*:
+      #==Usage
       #
       #   ts = (1..100).map { rand }.to_ts
       #            # => [0.69, 0.23, 0.44, 0.71, ...]
@@ -206,7 +200,7 @@ module Statsample
       #   # first 9 observations are nil
       #   ts.ma    # => [ ... nil, 0.484... , 0.445... , 0.513 ... , ... ]
       #
-      #*Returns*:
+      #==Returns
       #Resulting moving average timeseries object
       def ma(n = 10)
         return mean if n >= size
@@ -226,20 +220,18 @@ module Statsample
       # use a lot more than n observations to calculate. The series is stable
       # if the size of the series is >= 3.45 * (n + 1)
       #
-      #*Parameters*:
-      #-_n_::integer, (default = 10)
-      #-_wilder_::boolean, (default = false), if true, 1/n value is used for smoothing;
-      #if false, uses 2/(n+1) value
-      #
-      #*Usage*:
+      #==Parameters
+      #* *n*: integer, (default = 10)
+      #* *wilder*: boolean, (default = false), if true, 1/n value is used for smoothing; if false, uses 2/(n+1) value
       #
+      #==Usage
       #   ts = (1..100).map { rand }.to_ts
       #            # => [0.69, 0.23, 0.44, 0.71, ...]
       #
       #   # first 9 observations are nil
       #   ts.ema   # => [ ... nil, 0.509... , 0.433..., ... ]
       #
-      #*Returns*:
+      #==Returns
       #EMA timeseries
       def ema(n = 10, wilder = false)
         smoother = wilder ? 1.0 / n : 2.0 / (n + 1)
@@ -264,19 +256,18 @@ module Statsample
       # Calculates the MACD (moving average convergence-divergence) of the time
       # series - this is a comparison of a fast EMA with a slow EMA.
       #
-      # *Parameters*:
-      # -_fast_::integer, (default = 12) - fast component of MACD
-      # -_slow_::integer, (default = 26) - slow component of MACD
-      # -_signal_::integer, (default = 9) - signal component of MACD
+      #==Parameters*:
+      #* *fast*: integer, (default = 12) - fast component of MACD
+      #* *slow*: integer, (default = 26) - slow component of MACD
+      #* *signal*: integer, (default = 9) - signal component of MACD
       #
-      # *Usage*:
+      #==Usage
       # ts = (1..100).map { rand }.to_ts
       #            # => [0.69, 0.23, 0.44, 0.71, ...]
       # ts.macd(13)
       #
-      # *Returns*:
-      # Array of two timeseries - comparison of fast EMA with slow
-      # and EMA with signal value
+      #==Returns
+      # Array of two timeseries - comparison of fast EMA with slow and EMA with signal value
       def macd(fast = 12, slow = 26, signal = 9)
         series = ema(fast) - ema(slow)
         [series, series.ema(signal)]

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

@@ -15,16 +15,16 @@ module Statsample
 
 
         #=Levinson-Durbin Algorithm
-        #*Parameters*:
-        #-_series_ : timeseries, or a series of autocovariances
-        #-_nlags_: integer(default: 10): largest lag to include in recursion or order of the AR process
-        #-_is_acovf_: boolean(default: false): series is timeseries if it is false, else contains autocavariances
-
-        #*returns*:
-        #-_sigma_v_: estimate of the error variance
-        #-_arcoefs_: AR coefficients
-        #-_pacf_: pacf function
-        #-_sigma_: some function
+        #==Parameters
+        #* *series*: timeseries, or a series of autocovariances
+        #* *nlags*: integer(default: 10): largest lag to include in recursion or order of the AR process
+        #* *is_acovf*: boolean(default: false): series is timeseries if it is false, else contains autocavariances
+        #
+        #==Returns:
+        #* *sigma_v*: estimate of the error variance
+        #* *arcoefs*: AR coefficients
+        #* *pacf*: pacf function
+        #* *sigma*: some function
         def self.levinson_durbin(series, nlags = 10, is_acovf = false)
 
           if is_acovf
@@ -60,26 +60,25 @@ module Statsample
           return [sigma_v, arcoefs, pacf, sig, phi]
         end
 
+        #Returns diagonal elements of matrices
+        # Will later abstract it to utilities
         def self.diag(mat)
-          #returns array of diagonal elements of a matrix.
-          #will later abstract it to matrix.rb in Statsample
           return mat.each_with_index(:diagonal).map { |x, r, c| x }
         end
 
 
         #=Yule Walker Algorithm
-        #From the series, estimates AR(p)(autoregressive) parameter
-        #using Yule-Waler equation. See -
+        #From the series, estimates AR(p)(autoregressive) parameter using Yule-Waler equation. See -
         #http://en.wikipedia.org/wiki/Autoregressive_moving_average_model
-
-        #*Parameters*:
-        #-_ts_::timeseries
-        #-_k_::order, default = 1
-        #-_method_:: can be 'yw' or 'mle'. If 'yw' then it is unbiased, denominator is (n - k)
-
-        #*returns*:
-        #-_rho_:: autoregressive coefficients
-        #-_sigma_:: sigma parameter
+        #
+        #==Parameters
+        #* *ts*: timeseries
+        #* *k*: order, default = 1
+        #* *method*: can be 'yw' or 'mle'. If 'yw' then it is unbiased, denominator is (n - k)
+        #
+        #==Returns
+        #* *rho*: autoregressive coefficients
+        #* *sigma*: sigma parameter
         def self.yule_walker(ts, k = 1, method='yw')
           ts = ts - ts.mean
           n = ts.size
@@ -110,17 +109,21 @@ module Statsample
           return [phi, sigma]
         end
 
+        #=ToEplitz
+        # Generates teoeplitz matrix from an array
+        #http://en.wikipedia.org/wiki/Toeplitz_matrix
+        #Toeplitz matrix are equal when they are stored in row & column major
+        #==Parameters
+        #* *arr*: array of integers;
+        #==Usage
+        #  arr = [0,1,2,3]
+        #  Pacf.toeplitz(arr)
+        #==Returns
+        # [[0, 1, 2, 3],
+        #  [1, 0, 1, 2],
+        #  [2, 1, 0, 1],
+        #  [3, 2, 1, 0]]
         def self.toeplitz(arr)
-          #Generates Toeplitz matrix -
-          #http://en.wikipedia.org/wiki/Toeplitz_matrix
-          #Toeplitz matrix are equal when they are stored in row &
-          #column major
-          #=> arr = [0, 1, 2, 3]
-          #=> result:
-          #[[0, 1, 2, 3],
-          # [1, 0, 1, 2],
-          # [2, 1, 0, 1],
-          # [3, 2, 1, 0]]
           eplitz_matrix = Array.new(arr.size) { Array.new(arr.size) }
 
           0.upto(arr.size - 1) do |i|
@@ -140,6 +143,8 @@ module Statsample
           eplitz_matrix
         end
 
+        #===Solves matrix equations
+        #Solves for X in AX = B
         def self.solve_matrix(matrix, out_vector)
           solution_vector = Array.new(out_vector.size, 0)
           matrix = matrix.to_a

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

@@ -5,36 +5,35 @@ module Statsample
     include Summarizable
 
     #=Squares of sum
-    #---
-    #parameter:
-    #-demean::boolean - optional. __default__: false
+    #==Parameter
+    #* *demean*: boolean - optional. __default__: false
+    #==Returns
     #Sums the timeseries and then returns the square
     def squares_of_sum(demean = false)
       if demean
         m = self.mean
-        self.map { |x| (x-m) }.sum ** 2
+        self.map { |x| (x-m) }.sum**2
       else
-        return self.sum.to_f ** 2
+        return self.sum.to_f**2
       end
     end
   end
 
 
   class ::Matrix
-    #=Squares of sum
-    #---
+    #==Squares of sum
     #Does squares of sum in column order.
     #Necessary for computations in various processes
     def squares_of_sum
       (0...column_size).map do |j|
-        self.column(j).sum ** 2
+        self.column(j).sum**2
       end
     end
 
-    #=Checks if given matrix is symmetric or not
-    #---
-    #returns bool
+    #==Symmetric?
     #`symmetric?` is present in Ruby Matrix 1.9.3+, but not in 1.8.*
+    #===Returns
+    # bool
     def symmetric?
       return false unless square?
 
@@ -46,15 +45,16 @@ module Statsample
       true
     end
 
-    #=Cholesky decomposition
+    #==Cholesky decomposition
     #Reference: http://en.wikipedia.org/wiki/Cholesky_decomposition
-    #---
-    #==Description
+    #===Description
     #Cholesky decomposition is reprsented by `M = L X L*`, where
     #M is the symmetric matrix and `L` is the lower half of cholesky matrix,
     #and `L*` is the conjugate form of `L`.
-    #*Returns* : Cholesky decomposition for a given matrix(if symmetric)
-    #*Utility*: Essential matrix function, requisite in kalman filter, least squares
+    #===Returns
+    # Cholesky decomposition for a given matrix(if symmetric)
+    #===Utility
+    # Essential matrix function, requisite in kalman filter, least squares
     def cholesky
       raise ArgumentError, "Given matrix should be symmetric" unless symmetric?
       c = Matrix.zero(row_size)
@@ -74,15 +74,16 @@ module Statsample
       c
     end
 
-    #=Chain Product
+    #==Chain Product
     #Class method
     #Returns the chain product of two matrices
-    #==Usage:
+    #===Usage:
     #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
+    #===NOTE:
+    # Send the matrices in multiplicative order with proper dimensions
     def self.chain_dot(*args)
       #inspired by Statsmodels
       begin
@@ -93,7 +94,7 @@ module Statsample
     end
 
 
-    #=Adds a column of constants.
+    #==Adds a column of constants.
     #Appends a column of ones to the matrix/array if first argument is false
     #If an n-array, first checks if one column of ones is already present
     #if present, then original(self) is returned, else, prepends with a vector of ones
@@ -115,6 +116,7 @@ module Statsample
       return Matrix.rows(vectors)
     end
 
+    #populates column i of given matrix with arr
     def set_column(i, arr)
       columns = self.column_vectors
       column = columns[i].to_a
@@ -122,7 +124,8 @@ module Statsample
       columns[i] = column
       return Matrix.columns(columns)
     end
-    
+
+    #populates row i of given matrix with arr
     def set_row(i, arr)
       #similar implementation as set_column
       #writing and commenting metaprogrammed version

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: bio-statsample-timeseries
 version: !ruby/object:Gem::Version
-  version: 0.2.0
+  version: 0.2.1
   prerelease: 
 platform: ruby
 authors:
@@ -10,7 +10,7 @@ authors:
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-09-17 00:00:00.000000000 Z
+date: 2013-09-23 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: statsample
@@ -260,7 +260,7 @@ required_ruby_version: !ruby/object:Gem::Requirement
       version: '0'
       segments:
       - 0
-      hash: 68777245
+      hash: -258712685
 required_rubygems_version: !ruby/object:Gem::Requirement
   none: false
   requirements: