statsample-timeseries 0.0.2

data/test/test_pacf.rb

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+require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
+class StatsampleTimeSeriesPacfTestCase < MiniTest::Unit::TestCase
+  context(Statsample::TimeSeries) do
+    include Statsample::TimeSeries
+    setup do
+      @ts = (1..20).map { |x| x * 10 }.to_ts
+      #setting up a proc to get a closure for pacf calling with variable lags and methods
+      @pacf_proc =->(k, method) { @ts.pacf(k, method) }
+    end
+
+    should "return correct correct pacf size for lags = 5" do
+      assert_equal @pacf_proc.call(5, 'yw').size, 6 
+      assert_equal @pacf_proc.call(5, 'mle').size, 6
+      #first element is 1.0
+    end
+
+    should "return correct correct pacf size for lags = 10" do
+      assert_equal @pacf_proc.call(10, 'yw').size, 11 
+      assert_equal @pacf_proc.call(10, 'mle').size, 11
+      #first element is 1.0
+    end
+
+    should "have first element as 1.0" do
+      assert_equal @pacf_proc.call(10, 'yw')[0], 1.0
+      assert_equal @pacf_proc.call(10, 'mle')[0], 1.0
+    end
+
+    should "give correct pacf results for unbiased yule-walker" do
+      result_10 = [1.0, 0.8947368421052632, -0.10582010582010604, -0.11350188273265083, -0.12357534824820737, -0.13686534216335522, -0.15470588235294147, -0.17938011883732036, -0.2151192288178601, -0.2707082833133261, -0.3678160919540221]
+      result_5 = [1.0, 0.8947368421052632, -0.10582010582010604, -0.11350188273265083, -0.12357534824820737, -0.13686534216335522]
+      assert_equal @pacf_proc.call(10, 'yw'), result_10
+      assert_equal @pacf_proc.call(5, 'yw'), result_5
+
+      #Checking for lag = (1..10)
+      1.upto(10) do |i|
+        assert_equal @pacf_proc.call(i, 'yw'), result_10[0..i]
+      end
+    end
+
+    should "give correct pacf results for mle yule-walker" do
+      result_10 = [1.0, 0.85, -0.07566212829370711, -0.07635069706072706, -0.07698628638512295, -0.07747034005560738, -0.0776780981161499, -0.07744984679625189, -0.0765803323191094, -0.07480650005932366, -0.07179435184923755]
+      result_5 = [1.0, 0.85, -0.07566212829370711, -0.07635069706072706, -0.07698628638512295, -0.07747034005560738]
+      assert_equal @pacf_proc.call(10, 'mle'), result_10
+      assert_equal @pacf_proc.call(5, 'mle'), result_5
+
+      #Checking for lag = (1..10)
+      1.upto(10) do |i|
+        assert_equal @pacf_proc.call(i, 'mle'), result_10[0..i]
+      end
+    end
+  end
+end

data/test/test_tseries.rb

@@ -0,0 +1,103 @@
+require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
+
+class StatsampleTestTimeSeries < MiniTest::Unit::TestCase
+  include Statsample::Shorthand
+
+  # All calculations are compared to the output of the equivalent function in R
+
+  def setup
+    # daily closes of iShares XIU on the TSX
+    @xiu = Statsample::TimeSeries::Series.new [17.28, 17.45, 17.84, 17.74, 17.82, 17.85, 17.36, 17.3, 17.56, 17.49, 17.46, 17.4, 17.03, 17.01,
+      16.86, 16.86, 16.56, 16.36, 16.66, 16.77], :scale
+  end
+
+  def test_acf
+    acf = @xiu.acf
+
+    assert_equal 14,       acf.length
+
+    # test the first few autocorrelations
+    assert_in_delta 1.0,   acf[0], 0.0001
+    assert_in_delta 0.852, acf[1], 0.001
+    assert_in_delta 0.669, acf[2], 0.001
+    assert_in_delta 0.486, acf[3], 0.001
+  end
+
+  def test_lag
+    #test of default lag
+    lag1 = @xiu.lag
+
+    assert_in_delta 16.66, lag1[lag1.size - 1], 0.001
+    assert_in_delta 16.36, lag1[lag1.size - 2], 0.001
+
+    #test with different lagging unit
+    lag2 = @xiu.lag(2)
+
+    assert_in_delta 16.36, lag2[lag2.size - 1], 0.001
+    assert_in_delta 16.56, lag2[lag2.size - 2], 0.001
+  end
+
+  def test_delta
+    diff = @xiu.diff
+
+    assert_in_delta  0.11, diff[@xiu.size - 1], 0.001
+    assert_in_delta  0.30, diff[@xiu.size - 2], 0.001
+    assert_in_delta -0.20, diff[@xiu.size - 3], 0.001
+  end
+
+  def test_ma
+    # test default
+    ma10 = @xiu.ma
+
+    assert_in_delta ma10[-1],  16.897, 0.001
+    assert_in_delta ma10[-5],  17.233, 0.001
+    assert_in_delta ma10[-10], 17.587, 0.001
+
+    # test with a different lookback period
+    ma5 = @xiu.ma 5
+
+    assert_in_delta ma5[-1],  16.642, 0.001
+    assert_in_delta ma5[-10], 17.434, 0.001
+    assert_in_delta ma5[-15], 17.74,  0.001
+  end
+
+  def test_ema
+    # test default
+    ema10 = @xiu.ema
+
+    assert_in_delta ema10[-1],  16.87187, 0.00001
+    assert_in_delta ema10[-5],  17.19187, 0.00001
+    assert_in_delta ema10[-10], 17.54918, 0.00001
+
+    # test with a different lookback period
+    ema5 = @xiu.ema 5
+
+    assert_in_delta ema5[-1],  16.71299, 0.0001
+    assert_in_delta ema5[-10], 17.49079, 0.0001
+    assert_in_delta ema5[-15], 17.70067, 0.0001
+
+    # test with a different smoother
+    ema_w = @xiu.ema 10, true
+
+    assert_in_delta ema_w[-1],  17.08044, 0.00001
+    assert_in_delta ema_w[-5],  17.33219, 0.00001
+    assert_in_delta ema_w[-10], 17.55810, 0.00001
+  end
+
+  def test_macd
+    # MACD uses a lot more data than the other ones, so we need a bigger vector
+    data = File.readlines(File.dirname(__FILE__) + "/fixtures/stock_data.csv").map(&:to_f).to_time_series
+
+    macd, signal = data.macd
+
+    # check the MACD
+    assert_in_delta  3.12e-4, macd[-1],  1e-6
+    assert_in_delta -1.07e-2, macd[-10], 1e-4
+    assert_in_delta -5.65e-3, macd[-20], 1e-5
+
+    # check the signal
+    assert_in_delta -0.00628, signal[-1],  1e-5
+    assert_in_delta -0.00971, signal[-10], 1e-5
+    assert_in_delta -0.00338, signal[-20], 1e-5
+  end
+end

data/test/test_wald.rb

@@ -0,0 +1,71 @@
+require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
+
+class StatsampleWaldTest < MiniTest::Unit::TestCase
+  # Wald test is useful to test a series of n acf with Chi-square
+  # degree of freedom. It is extremely useful to test fit the fit of
+  # an ARIMA model to test the residuals.
+
+  include Statsample::TimeSeries
+  include Statsample::Shorthand
+  include Distribution
+
+  def setup
+    #create time series to evaluate later
+    @wald = 100.times.map { rand(100) }.to_ts
+  end
+
+  def sum_of_squares_of_acf_series(lags)
+    #perform sum of squares for a series of acf with specified lags
+    acf = @wald.acf(lags)
+    return acf.map { |x| x ** 2 }.inject(:+)
+  end
+
+  def chisquare_cdf(sum_of_squares, lags)
+    1 - ChiSquare.cdf(sum_of_squares, lags)
+  end
+
+
+  def test_wald_with_5_lags
+    #number of lags for acf = 5
+    lags = 5
+    sum_of_squares = sum_of_squares_of_acf_series(lags)
+    assert_in_delta chisquare_cdf(sum_of_squares, lags), 1, 0.05
+    assert_equal @wald.acf(lags).size, lags + 1
+  end
+
+
+  def test_wald_with_10_lags
+    #number of lags for acf = 10
+    lags = 10
+    sum_of_squares = sum_of_squares_of_acf_series(lags)
+    assert_in_delta chisquare_cdf(sum_of_squares, lags), 1, 0.05
+    assert_equal @wald.acf(lags).size, lags + 1
+  end
+
+
+  def test_wald_with_15_lags
+    #number of lags for acf = 15
+    lags = 15
+    sum_of_squares = sum_of_squares_of_acf_series(lags)
+    assert_in_delta chisquare_cdf(sum_of_squares, lags), 1, 0.05
+    assert_equal @wald.acf(lags).size, lags + 1
+  end
+
+
+  def test_wald_with_20_lags
+    #number of lags for acf = 20
+    lags = 20
+    sum_of_squares = sum_of_squares_of_acf_series(lags)
+    assert_in_delta chisquare_cdf(sum_of_squares, lags), 1, 0.05
+    assert_equal @wald.acf(lags).size, lags + 1
+  end
+
+
+  def test_wald_with_25_lags
+    #number of lags for acf = 25
+    lags = 25
+    sum_of_squares = sum_of_squares_of_acf_series(lags)
+    assert_in_delta chisquare_cdf(sum_of_squares, lags), 1, 0.05
+    assert_equal @wald.acf(lags).size, lags + 1
+  end
+end

metadata

@@ -0,0 +1,273 @@
+--- !ruby/object:Gem::Specification
+name: statsample-timeseries
+version: !ruby/object:Gem::Version
+  version: 0.0.2
+  prerelease: 
+platform: ruby
+authors:
+- Ankur Goel
+- Claudio Bustos
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2013-09-25 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: statsample
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '='
+      - !ruby/object:Gem::Version
+        version: 1.2.0
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '='
+      - !ruby/object:Gem::Version
+        version: 1.2.0
+- !ruby/object:Gem::Dependency
+  name: activesupport
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '='
+      - !ruby/object:Gem::Version
+        version: 3.2.10
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '='
+      - !ruby/object:Gem::Version
+        version: 3.2.10
+- !ruby/object:Gem::Dependency
+  name: shoulda
+  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'
+- !ruby/object:Gem::Dependency
+  name: rdoc
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '3.12'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '3.12'
+- !ruby/object:Gem::Dependency
+  name: minitest
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 4.7.5
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 4.7.5
+- !ruby/object:Gem::Dependency
+  name: cucumber
+  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'
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 1.3.5
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 1.3.5
+- !ruby/object:Gem::Dependency
+  name: jeweler
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 1.8.4
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 1.8.4
+- !ruby/object:Gem::Dependency
+  name: bio
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: 1.4.2
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: 1.4.2
+- !ruby/object:Gem::Dependency
+  name: rdoc
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '3.12'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '3.12'
+- !ruby/object:Gem::Dependency
+  name: mocha
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 0.14.0
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !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
+executables:
+- bio-statsample-timeseries
+extensions: []
+extra_rdoc_files:
+- LICENSE.txt
+- README.rdoc
+files:
+- .document
+- .travis.yml
+- Gemfile
+- LICENSE.txt
+- README.rdoc
+- Rakefile
+- VERSION
+- bin/bio-statsample-timeseries
+- features/acf.feature
+- features/pacf.feature
+- features/step_definitions/bio-statsample-timeseries_steps.rb
+- features/step_definitions/step_definitions.rb
+- features/step_definitions/step_definitions_acf.rb
+- features/support/env.rb
+- lib/statsample-timeseries.rb
+- lib/statsample-timeseries/arima.rb
+- lib/statsample-timeseries/arima/kalman.rb
+- lib/statsample-timeseries/arima/likelihood.rb
+- lib/statsample-timeseries/timeseries.rb
+- lib/statsample-timeseries/timeseries/pacf.rb
+- lib/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
+- test/test_tseries.rb
+- test/test_wald.rb
+homepage: http://github.com/AnkurGel/statsample-timeseries
+licenses: []
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+      segments:
+      - 0
+      hash: -237853649
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 1.8.25
+signing_key: 
+specification_version: 3
+summary: TimeSeries modules for Statsample
+test_files: []