statsample-timeseries 0.0.3 → 0.3.0
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- checksums.yaml +7 -0
- data/.gitignore +19 -0
- data/.travis.yml +13 -10
- data/Gemfile +2 -21
- data/History.md +4 -0
- data/LICENSE.txt +1 -1
- data/README.md +62 -0
- data/Rakefile +12 -17
- data/lib/statsample-timeseries.rb +3 -13
- data/lib/statsample-timeseries/arima.rb +72 -74
- data/lib/statsample-timeseries/arima/kalman.rb +20 -40
- data/lib/statsample-timeseries/arima/likelihood.rb +3 -4
- data/lib/statsample-timeseries/daru_monkeys.rb +78 -0
- data/lib/statsample-timeseries/timeseries/pacf.rb +47 -38
- data/lib/statsample-timeseries/utility.rb +105 -133
- data/lib/statsample-timeseries/version.rb +5 -0
- data/statsample-timeseries.gemspec +31 -0
- data/test/helper.rb +6 -29
- data/test/test_acf.rb +41 -0
- data/test/test_arima_ks.rb +28 -12
- data/test/test_arima_simulators.rb +59 -42
- data/test/test_matrix.rb +1 -1
- data/test/test_pacf.rb +7 -2
- data/test/test_wald.rb +7 -3
- metadata +81 -132
- data/README.rdoc +0 -72
- data/VERSION +0 -1
- data/bin/bio-statsample-timeseries +0 -74
- data/features/acf.feature +0 -31
- data/features/pacf.feature +0 -42
- data/features/step_definitions/bio-statsample-timeseries_steps.rb +0 -0
- data/features/step_definitions/step_definitions.rb +0 -37
- data/features/step_definitions/step_definitions_acf.rb +0 -8
- data/features/support/env.rb +0 -15
- data/lib/statsample-timeseries/timeseries.rb +0 -291
- data/test/test_tseries.rb +0 -103
data/test/test_tseries.rb
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require(File.expand_path(File.dirname(__FILE__)+'/helper.rb'))
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class StatsampleTestTimeSeries < MiniTest::Unit::TestCase
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include Statsample::Shorthand
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# All calculations are compared to the output of the equivalent function in R
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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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def test_acf
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acf = @xiu.acf
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assert_equal 14, acf.length
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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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def test_lag
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#test of default lag
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lag1 = @xiu.lag
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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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#test with different lagging unit
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lag2 = @xiu.lag(2)
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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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def test_delta
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diff = @xiu.diff
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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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def test_ma
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# test default
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ma10 = @xiu.ma
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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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# test with a different lookback period
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ma5 = @xiu.ma 5
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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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def test_ema
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# test default
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ema10 = @xiu.ema
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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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# test with a different lookback period
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ema5 = @xiu.ema 5
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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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# test with a different smoother
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ema_w = @xiu.ema 10, true
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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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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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macd, signal = data.macd
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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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# 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
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