statsample-timeseries 0.0.2

data/test/helper.rb

@@ -0,0 +1,81 @@
+require 'rubygems'
+require 'bundler'
+begin
+  Bundler.setup(:default, :development)
+rescue Bundler::BundlerError => e
+  $stderr.puts e.message
+  $stderr.puts "Run `bundle install` to install missing gems"
+  exit e.status_code
+end
+require 'minitest/unit'
+require 'shoulda'
+require 'shoulda-context'
+require 'mocha/setup'
+
+#require 'statsample-timeseries'
+
+$LOAD_PATH.unshift(File.join(File.dirname(__FILE__), '..', 'lib'))
+$LOAD_PATH.unshift(File.dirname(__FILE__))
+require 'statsample-timeseries'
+module MiniTest
+  class Unit
+    class TestCase
+    include Shoulda::Context::Assertions
+    include Shoulda::Context::InstanceMethods
+    extend Shoulda::Context::ClassMethods
+      def self.should_with_gsl(name,&block)
+        should(name) do
+          if Statsample.has_gsl?
+            instance_eval(&block)
+          else
+            skip("Requires GSL")
+          end
+        end
+      end
+    end
+  end
+
+  module Assertions
+    def assert_similar_vector(exp, obs, delta=1e-10,msg=nil)
+      msg||="Different vectors #{exp} - #{obs}"
+      assert_equal(exp.size, obs.size)
+      exp.data_with_nils.each_with_index {|v,i|
+        assert_in_delta(v,obs[i],delta)
+      }
+    end
+    def assert_equal_vector(exp,obs,delta=1e-10,msg=nil)
+      assert_equal(exp.size, obs.size, "Different size.#{msg}")
+      exp.size.times {|i|
+        assert_in_delta(exp[i],obs[i],delta, "Different element #{i}. \nExpected:\n#{exp}\nObserved:\n#{obs}.#{msg}")
+      }
+    end
+    def assert_equal_matrix(exp,obs,delta=1e-10,msg=nil)
+       assert_equal(exp.row_size, obs.row_size, "Different row size.#{msg}")
+       assert_equal(exp.column_size, obs.column_size, "Different column size.#{msg}")
+       exp.row_size.times {|i|
+         exp.column_size.times {|j|
+           assert_in_delta(exp[i,j],obs[i,j], delta, "Different element #{i},#{j}\nExpected:\n#{exp}\nObserved:\n#{obs}.#{msg}")
+         }
+       }
+    end
+    alias :assert_raise :assert_raises unless method_defined? :assert_raise
+    alias :assert_not_equal :refute_equal unless method_defined? :assert_not_equal
+    alias :assert_not_same :refute_same unless method_defined? :assert_not_same
+    unless method_defined? :assert_nothing_raised
+      def assert_nothing_raised(msg=nil)
+        msg||="Nothing should be raised, but raised %s"
+        begin
+          yield
+          not_raised=true
+        rescue Exception => e
+          not_raised=false
+          msg=sprintf(msg,e)
+        end
+        assert(not_raised,msg)
+      end
+    end
+  end
+end
+
+MiniTest::Unit.autorun
+

data/test/test_arima_ks.rb

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+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

data/test/test_arima_simulators.rb

@@ -0,0 +1,186 @@
+require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
+
+class StatsampleArimaSimulatorsTest < MiniTest::Unit::TestCase
+  def generate_acf(simulation)
+    ts = simulation.to_ts
+    ts.acf
+  end
+
+  def generate_pacf(simulation)
+    ts = simulation.to_ts
+    ts.pacf
+  end
+  context("AR(1) simulations") do
+    include Statsample
+
+    setup do
+      @series = TimeSeries.arima
+      @ar_1_positive = @series.ar_sim(1500, [0.9], 2)
+      @ar_1_negative = @series.ar_sim(1500, [-0.9], 2)
+
+      #generating acf
+      @positive_acf = generate_acf(@ar_1_positive)
+      @negative_acf = generate_acf(@ar_1_negative)
+
+      #generating pacf
+      @positive_pacf = generate_pacf(@ar_1_positive)
+      @negative_pacf = generate_pacf(@ar_1_negative)
+    end
+
+
+    should "have exponential decay of acf on positive side with phi > 0" do
+      @acf = @positive_acf
+      assert_equal @acf[0], 1.0
+      assert_operator @acf[1], :>=, 0.7
+      assert_operator @acf[@acf.size - 1], :<=, 0.2
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_positive_phi_acf.png
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_positive_phi_acf_line.png
+    end
+
+    should "have series with alternating sign on acf starting on negative side with phi < 0" do
+      @acf = @negative_acf
+      assert_equal @acf[0], 1.0
+      #testing for alternating series
+      assert_operator @acf[1], :<, 0
+      assert_operator @acf[2], :>, 0
+      assert_operator @acf[3], :<, 0
+      assert_operator @acf[4], :>, 0
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_negative_phi_acf.png
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_negative_phi_acf_line.png
+    end
+
+    should "have positive spike on pacf at lag 1 for phi > 0" do
+      @pacf = @positive_pacf
+      assert_operator @pacf[1], :>=, 0.7
+      assert_operator @pacf[2], :<=, 0.2
+      assert_operator @pacf[3], :<=, 0.14
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_postive_phi_pacf.png
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_postive_phi_pacf_line.png
+    end
+
+    should "have negative spike on pacf at lag 1 for phi < 0" do
+      @pacf = @negative_pacf
+      assert_operator @pacf[1], :<=, 0
+      assert_operator @pacf[1], :<=, -0.5
+      assert_operator @pacf[2], :>=, -0.5
+      #visualizaton:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%281%29_negative_phi_pacf.png
+      #[hided @pacf[0] = 1 to convey accurate picture]
+    end
+  end
+
+  context("AR(p) simulations") do
+    include Statsample
+
+    setup do
+      @series = TimeSeries.arima
+      @ar_p_positive = @series.ar_sim(1500, [0.3, 0.5], 2)
+      @ar_p_negative = @series.ar_sim(1500, [-0.3, -0.5], 2)
+    end
+
+
+    should "have damped sine wave starting on positive side on acf" do
+      @ar = @ar_p_positive
+      @acf = generate_acf(@ar)
+      assert_operator @acf[0], :>=, @acf[1]
+      assert_operator @acf[1], :>=, 0.0
+      #caution: sine curve can split on cartesian plane,
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR(p)_positive_phi_sine_wave.png
+    end
+
+    should "have damped sine wave starting on negative side on acf" do
+      @ar = @ar_p_negative
+      @acf = generate_acf(@ar)
+      assert_operator @acf[0], :>=, @acf[1]
+      assert_operator @acf[1], :<=, 0.0
+      assert_operator @acf[1], :>=, @acf[2]
+      #caution: sine curve can split on cartesian plane,
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR%28p%29_negative_phi_acf_sine_wave.png
+    end
+
+    should "have spikes from 1 to p for pacf" do
+      #here p = 2
+      @ar = @ar_p_positive
+      @pacf = generate_pacf(@ar)
+      assert_equal @pacf[0], 1.0
+      assert_operator @pacf[1], :>, @pacf[3]
+      assert_operator @pacf[1], :>, @pacf[4]
+      assert_operator @pacf[1], :>, @pacf[5]
+      assert_operator @pacf[2], :>, @pacf[3]
+      assert_operator @pacf[2], :>, @pacf[4]
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/AR(p)_positive_phi_pacf_spikes.png
+    end
+  end
+
+
+  context("MA(1) simulations") do
+    include Statsample
+    setup do
+      @series = TimeSeries.arima
+      @ma_positive = @series.ar_sim(1500, [0.5], 2)
+      @ma_negative = @series.ar_sim(1500, [-0.5], 2)
+    end
+
+    should "have one positive spike at lag 1 on acf at positive theta" do
+      @acf = generate_acf(@ma_positive)
+      assert_equal @acf[0], 1.0
+      assert_operator @acf[1], :>=, 0 #test if positive
+      #test if spike
+      assert_operator @acf[2], :>=, 0.1
+      assert_operator @acf[3], :<=, 0.2
+      assert_operator @acf[4], :<=, 0.2
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/MA%281%29_postive_acf.png
+    end
+
+    should "have one negative spike at lag 1 on acf at negative theta" do
+      @acf = generate_acf(@ma_negative)
+      assert_operator @acf[1], :<, 0
+      assert_operator @acf[2], :>=, @acf[1]
+      assert_operator @acf[3], :>=, @acf[1]
+      #visualization:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/MA%281%29_negative_acf.png
+      #positive_vs_negative:
+      #https://dl.dropboxusercontent.com/u/102071534/sciruby/MA%281%29_acf_positive_vs_negative.png
+    end
+
+  end
+
+  context("MA(q) simulations") do
+    include Statsample
+    setup do
+      @series = TimeSeries.arima
+      @ma_positive = @series.ar_sim(1500, [0.5, 0.3, 0.2], 2)
+      @ma_negative = @series.ar_sim(1500, [-0.5], 2)
+    end
+
+    should "have q positive spikes at lag 1 to q on acf at positive thetas" do
+      @acf = generate_acf(@ma_positive)
+      assert_operator @acf[1], :>=, @acf[2]
+      assert_operator @acf[2], :>=, @acf[3]
+      assert_operator @acf[3], :>=, @acf[4]
+      #Visualization: http://jsfiddle.net/YeK2c/
+    end
+
+    should "have damped sine wave on pacf at positive thetas" do
+      #visualization: http://jsfiddle.net/7keHK/2/
+    end
+  end
+
+  context("Yule walker estimations") do
+    include Statsample
+
+    setup do
+      @timeseries = 100.times.map { rand }.to_ts
+      @arma_simulation =->(n) { @timeseries.ar(n, k)}
+    end
+    #to write test
+  end
+end
+

data/test/test_matrix.rb

@@ -0,0 +1,92 @@
+require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
+class StatsampleMatrixTestCase < MiniTest::Unit::TestCase
+
+  def setup_square_matrix(arr, n)
+    #returns n * n matrix by slicing arr
+    return Matrix.rows(arr.each_slice(n).to_a)
+  end
+  def setup
+    @arr_square = (1..16)
+    @mat_non_symmetric = setup_square_matrix(@arr_square, 4)
+
+    @arr_non_square = (1..12).to_a
+    #this is a 4 X 3 matrix
+    @mat_non_square = Matrix.rows(@arr_non_square.each_slice(3).to_a)
+  end
+
+  #TESTS for matrix symmetricity - Matrix#symmetric?
+  context("symmetric?") do
+
+    should "return false for non-symmetric matrix" do
+      assert_equal @mat_non_symmetric.symmetric?, false
+    end
+
+    should "return false for non-square matrix" do
+      assert_equal @mat_non_square.symmetric?, false
+    end
+
+    should "return true for symmetrix matrix" do
+      arr = %w[4 12 -16 12 37 -43 -16 -43 93].map(&:to_i)
+      mat = setup_square_matrix(arr, 3)
+      assert_equal mat.symmetric?, true
+    end
+  end
+
+  #TESTS for cholesky decomposition - Matrix#cholesky
+  context("Cholesky Decomposition") do
+
+    should "raise error for non symmetric matrix" do
+      assert_raises(ArgumentError) { @mat_non_symmetric.cholesky }
+    end
+
+    should "raise raise error if non-square matix" do
+      arr = (1..12).to_a
+      mat = Matrix.rows(arr.each_slice(3).to_a)
+      assert_raises(ArgumentError) { @mat_non_square.cholesky }
+    end
+
+    should "give hermitian cholesky decomposed matrix for symmetrix matrix" do
+       arr = %w[4 12 -16 12 37 -43 -16 -43 93].map(&:to_i)
+       mat = setup_square_matrix(arr, 3)
+       assert_equal Matrix[[2.0, 0, 0], [6.0, 1.0, 0], [-8.0, 5.0, 2.0]], mat.cholesky
+    end
+  end
+
+  #TESTS for matrix squares of sum - Matrix#squares_of_sum
+  context("Squares of sum") do
+
+    should "return array of size 4 for matrix - #{@mat_non_symmetric}" do
+      #equal to column size
+      assert_equal @mat_non_symmetric.squares_of_sum.size, 4
+    end
+
+    should "return [784, 1024, 1296, 1600] for matrix - #{@mat_non_symmetric}" do
+      assert_equal @mat_non_symmetric.squares_of_sum, [784, 1024, 1296, 1600]
+    end
+  end
+
+  #TESTS for adding constants to matrix
+  context("Add constant") do
+
+    should "prepend all rows with ones" do
+      mat = @mat_non_symmetric.add_constant
+      assert_equal @mat_non_symmetric.column_size, 4
+      assert_equal mat.column_size, 5
+      assert_equal mat.column(0).to_a, [1.0, 1.0,1.0,1.0]
+    end
+
+    should "append all rows with ones if prepend = false" do
+      mat = @mat_non_symmetric.add_constant(false)
+      assert_equal @mat_non_symmetric.column_size, 4
+      assert_equal mat.column_size, 5
+      assert_equal mat.column(mat.column_size - 1).to_a, [1.0, 1.0,1.0,1.0]
+    end
+
+    should "not append/prepend if a column of ones already exists in matrix" do
+      matrix = Matrix[[1, 2, 1, 4], [5, 6, 1, 8], [9, 10, 1, 12]]  
+      const_mat = matrix.add_constant
+      assert_equal matrix.column_size, const_mat.column_size
+      assert_equal matrix.row_size, const_mat.row_size
+    end
+  end
+end