statsample-timeseries 0.0.3 → 0.3.0

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Files changed (36) hide show
  1. checksums.yaml +7 -0
  2. data/.gitignore +19 -0
  3. data/.travis.yml +13 -10
  4. data/Gemfile +2 -21
  5. data/History.md +4 -0
  6. data/LICENSE.txt +1 -1
  7. data/README.md +62 -0
  8. data/Rakefile +12 -17
  9. data/lib/statsample-timeseries.rb +3 -13
  10. data/lib/statsample-timeseries/arima.rb +72 -74
  11. data/lib/statsample-timeseries/arima/kalman.rb +20 -40
  12. data/lib/statsample-timeseries/arima/likelihood.rb +3 -4
  13. data/lib/statsample-timeseries/daru_monkeys.rb +78 -0
  14. data/lib/statsample-timeseries/timeseries/pacf.rb +47 -38
  15. data/lib/statsample-timeseries/utility.rb +105 -133
  16. data/lib/statsample-timeseries/version.rb +5 -0
  17. data/statsample-timeseries.gemspec +31 -0
  18. data/test/helper.rb +6 -29
  19. data/test/test_acf.rb +41 -0
  20. data/test/test_arima_ks.rb +28 -12
  21. data/test/test_arima_simulators.rb +59 -42
  22. data/test/test_matrix.rb +1 -1
  23. data/test/test_pacf.rb +7 -2
  24. data/test/test_wald.rb +7 -3
  25. metadata +81 -132
  26. data/README.rdoc +0 -72
  27. data/VERSION +0 -1
  28. data/bin/bio-statsample-timeseries +0 -74
  29. data/features/acf.feature +0 -31
  30. data/features/pacf.feature +0 -42
  31. data/features/step_definitions/bio-statsample-timeseries_steps.rb +0 -0
  32. data/features/step_definitions/step_definitions.rb +0 -37
  33. data/features/step_definitions/step_definitions_acf.rb +0 -8
  34. data/features/support/env.rb +0 -15
  35. data/lib/statsample-timeseries/timeseries.rb +0 -291
  36. data/test/test_tseries.rb +0 -103
data/test/test_tseries.rb DELETED
@@ -1,103 +0,0 @@
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- require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
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-
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- class StatsampleTestTimeSeries < MiniTest::Unit::TestCase
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- include Statsample::Shorthand
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-
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- # All calculations are compared to the output of the equivalent function in R
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-
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- def setup
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- # daily closes of iShares XIU on the TSX
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- @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,
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- 16.86, 16.86, 16.56, 16.36, 16.66, 16.77], :scale
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- end
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-
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- def test_acf
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- acf = @xiu.acf
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-
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- assert_equal 14, acf.length
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-
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- # test the first few autocorrelations
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- assert_in_delta 1.0, acf[0], 0.0001
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- assert_in_delta 0.852, acf[1], 0.001
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- assert_in_delta 0.669, acf[2], 0.001
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- assert_in_delta 0.486, acf[3], 0.001
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- end
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-
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- def test_lag
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- #test of default lag
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- lag1 = @xiu.lag
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-
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- assert_in_delta 16.66, lag1[lag1.size - 1], 0.001
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- assert_in_delta 16.36, lag1[lag1.size - 2], 0.001
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-
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- #test with different lagging unit
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- lag2 = @xiu.lag(2)
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-
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- assert_in_delta 16.36, lag2[lag2.size - 1], 0.001
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- assert_in_delta 16.56, lag2[lag2.size - 2], 0.001
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- end
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-
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- def test_delta
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- diff = @xiu.diff
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-
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- assert_in_delta 0.11, diff[@xiu.size - 1], 0.001
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- assert_in_delta 0.30, diff[@xiu.size - 2], 0.001
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- assert_in_delta -0.20, diff[@xiu.size - 3], 0.001
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- end
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-
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- def test_ma
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- # test default
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- ma10 = @xiu.ma
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-
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- assert_in_delta ma10[-1], 16.897, 0.001
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- assert_in_delta ma10[-5], 17.233, 0.001
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- assert_in_delta ma10[-10], 17.587, 0.001
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-
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- # test with a different lookback period
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- ma5 = @xiu.ma 5
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-
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- assert_in_delta ma5[-1], 16.642, 0.001
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- assert_in_delta ma5[-10], 17.434, 0.001
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- assert_in_delta ma5[-15], 17.74, 0.001
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- end
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-
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- def test_ema
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- # test default
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- ema10 = @xiu.ema
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-
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- assert_in_delta ema10[-1], 16.87187, 0.00001
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- assert_in_delta ema10[-5], 17.19187, 0.00001
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- assert_in_delta ema10[-10], 17.54918, 0.00001
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-
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- # test with a different lookback period
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- ema5 = @xiu.ema 5
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-
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- assert_in_delta ema5[-1], 16.71299, 0.0001
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- assert_in_delta ema5[-10], 17.49079, 0.0001
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- assert_in_delta ema5[-15], 17.70067, 0.0001
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-
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- # test with a different smoother
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- ema_w = @xiu.ema 10, true
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-
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- assert_in_delta ema_w[-1], 17.08044, 0.00001
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- assert_in_delta ema_w[-5], 17.33219, 0.00001
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- assert_in_delta ema_w[-10], 17.55810, 0.00001
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- end
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-
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- def test_macd
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- # MACD uses a lot more data than the other ones, so we need a bigger vector
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- data = File.readlines(File.dirname(__FILE__) + "/fixtures/stock_data.csv").map(&:to_f).to_time_series
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-
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- macd, signal = data.macd
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-
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- # check the MACD
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- assert_in_delta 3.12e-4, macd[-1], 1e-6
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- assert_in_delta -1.07e-2, macd[-10], 1e-4
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- assert_in_delta -5.65e-3, macd[-20], 1e-5
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-
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- # check the signal
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- assert_in_delta -0.00628, signal[-1], 1e-5
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- assert_in_delta -0.00971, signal[-10], 1e-5
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- assert_in_delta -0.00338, signal[-20], 1e-5
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- end
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- end