statsample 1.1.0 → 1.2.0
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- data.tar.gz.sig +0 -0
- data/History.txt +7 -0
- data/Manifest.txt +3 -0
- data/README.txt +2 -0
- data/Rakefile +9 -3
- data/grab_references.rb +1 -0
- data/lib/statsample.rb +2 -1
- data/lib/statsample/matrix.rb +5 -5
- data/lib/statsample/regression/simple.rb +1 -1
- data/lib/statsample/timeseries.rb +169 -0
- data/test/fixtures/stock_data.csv +500 -0
- data/test/test_factor_map.rb +1 -1
- data/test/test_tseries.rb +94 -0
- metadata +251 -214
- metadata.gz.sig +0 -0
data/test/test_factor_map.rb
CHANGED
@@ -0,0 +1,94 @@
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1
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+
require(File.expand_path(File.dirname(__FILE__)+'/helpers_tests.rb'))
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2
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+
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3
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+
class StatsampleTestTimeSeries < MiniTest::Unit::TestCase
|
4
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include Statsample::Shorthand
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5
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+
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6
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# All calculations are compared to the output of the equivalent function in R
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8
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def setup
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9
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# daily closes of iShares XIU on the TSX
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10
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+
@xiu = Statsample::TimeSeries::TimeSeries.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,
|
11
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+
16.86, 16.86, 16.56, 16.36, 16.66, 16.77], :scale
|
12
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+
end
|
13
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+
|
14
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+
def test_acf
|
15
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+
acf = @xiu.acf
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16
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|
17
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assert_equal 14, acf.length
|
18
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|
19
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+
# test the first few autocorrelations
|
20
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assert_in_delta 1.0, acf[0], 0.0001
|
21
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assert_in_delta 0.852, acf[1], 0.001
|
22
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+
assert_in_delta 0.669, acf[2], 0.001
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23
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+
assert_in_delta 0.486, acf[3], 0.001
|
24
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+
end
|
25
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+
|
26
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+
def test_lag
|
27
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assert_in_delta 16.66, @xiu.lag[@xiu.size - 1], 0.001
|
28
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assert_in_delta 16.36, @xiu.lag(2)[@xiu.size - 1], 0.001
|
29
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+
end
|
30
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+
|
31
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+
def test_delta
|
32
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diff = @xiu.diff
|
33
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+
|
34
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+
assert_in_delta 0.11, diff[@xiu.size - 1], 0.001
|
35
|
+
assert_in_delta 0.30, diff[@xiu.size - 2], 0.001
|
36
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+
assert_in_delta -0.20, diff[@xiu.size - 3], 0.001
|
37
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+
end
|
38
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+
|
39
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+
def test_ma
|
40
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+
# test default
|
41
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ma10 = @xiu.ma
|
42
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+
|
43
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assert_in_delta ma10[-1], 16.897, 0.001
|
44
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+
assert_in_delta ma10[-5], 17.233, 0.001
|
45
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+
assert_in_delta ma10[-10], 17.587, 0.001
|
46
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+
|
47
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+
# test with a different lookback period
|
48
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+
ma5 = @xiu.ma 5
|
49
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+
|
50
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+
assert_in_delta ma5[-1], 16.642, 0.001
|
51
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+
assert_in_delta ma5[-10], 17.434, 0.001
|
52
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+
assert_in_delta ma5[-15], 17.74, 0.001
|
53
|
+
end
|
54
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+
|
55
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+
def test_ema
|
56
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+
# test default
|
57
|
+
ema10 = @xiu.ema
|
58
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+
|
59
|
+
assert_in_delta ema10[-1], 16.87187, 0.00001
|
60
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+
assert_in_delta ema10[-5], 17.19187, 0.00001
|
61
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+
assert_in_delta ema10[-10], 17.54918, 0.00001
|
62
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+
|
63
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+
# test with a different lookback period
|
64
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+
ema5 = @xiu.ema 5
|
65
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+
|
66
|
+
assert_in_delta ema5[-1], 16.71299, 0.0001
|
67
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+
assert_in_delta ema5[-10], 17.49079, 0.0001
|
68
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+
assert_in_delta ema5[-15], 17.70067, 0.0001
|
69
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+
|
70
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+
# test with a different smoother
|
71
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+
ema_w = @xiu.ema 10, true
|
72
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+
|
73
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+
assert_in_delta ema_w[-1], 17.08044, 0.00001
|
74
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+
assert_in_delta ema_w[-5], 17.33219, 0.00001
|
75
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+
assert_in_delta ema_w[-10], 17.55810, 0.00001
|
76
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+
end
|
77
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+
|
78
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+
def test_macd
|
79
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# MACD uses a lot more data than the other ones, so we need a bigger vector
|
80
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data = File.readlines(File.dirname(__FILE__) + "/fixtures/stock_data.csv").map(&:to_f).to_time_series
|
81
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+
|
82
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macd, signal = data.macd
|
83
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+
|
84
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+
# check the MACD
|
85
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+
assert_in_delta 3.12e-4, macd[-1], 1e-6
|
86
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+
assert_in_delta -1.07e-2, macd[-10], 1e-4
|
87
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+
assert_in_delta -5.65e-3, macd[-20], 1e-5
|
88
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+
|
89
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+
# check the signal
|
90
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assert_in_delta -0.00628, signal[-1], 1e-5
|
91
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assert_in_delta -0.00971, signal[-10], 1e-5
|
92
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assert_in_delta -0.00338, signal[-20], 1e-5
|
93
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+
end
|
94
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+
end
|
metadata
CHANGED
@@ -1,247 +1,296 @@
|
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1
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-
--- !ruby/object:Gem::Specification
|
1
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+
--- !ruby/object:Gem::Specification
|
2
2
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name: statsample
|
3
|
-
version: !ruby/object:Gem::Version
|
3
|
+
version: !ruby/object:Gem::Version
|
4
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+
version: 1.2.0
|
4
5
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prerelease:
|
5
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-
version: 1.1.0
|
6
6
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platform: ruby
|
7
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-
authors:
|
7
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+
authors:
|
8
8
|
- Claudio Bustos
|
9
9
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autorequire:
|
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10
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bindir: bin
|
11
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cert_chain:
|
12
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-
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-
|
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-
|
15
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-
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-
|
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cert_chain:
|
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- !binary |-
|
13
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+
LS0tLS1CRUdJTiBDRVJUSUZJQ0FURS0tLS0tCk1JSURNakNDQWhxZ0F3SUJB
|
14
|
+
Z0lCQURBTkJna3Foa2lHOXcwQkFRVUZBREEvTVJFd0R3WURWUVFEREFoamJH
|
15
|
+
SjEKYzNSdmN6RVZNQk1HQ2dtU0pvbVQ4aXhrQVJrV0JXZHRZV2xzTVJNd0VR
|
16
|
+
WUtDWkltaVpQeUxHUUJHUllEWTI5dApNQjRYRFRFd01ETXlPVEl4TXpnMU5W
|
17
|
+
b1hEVEV4TURNeU9USXhNemcxTlZvd1B6RVJNQThHQTFVRUF3d0lZMnhpCmRY
|
18
|
+
TjBiM014RlRBVEJnb0praWFKay9Jc1pBRVpGZ1ZuYldGcGJERVRNQkVHQ2dt
|
19
|
+
U0pvbVQ4aXhrQVJrV0EyTnYKYlRDQ0FTSXdEUVlKS29aSWh2Y05BUUVCQlFB
|
20
|
+
RGdnRVBBRENDQVFvQ2dnRUJBTGY4SlZNR3FFN201a1liK1BOTgpuZVp2MnBj
|
21
|
+
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|
22
|
+
SVVxdU9JcXczZHl3Ci9LWFdhMzFGeHVOdXZBbTZDTjhmeWVSWVgvb3U0Y3cz
|
23
|
+
T0lVVW5JdkI3Uk1OSXU0d2JnZU02aHRWL1FFc05McnYKYXQxL21oOUpwcWF3
|
24
|
+
UHJjaklPVk1qNEJJcDY3dm16SkNhVWYrUy9IMnVZdFNPMDlGK1lRRTN0djg1
|
25
|
+
VFBlUm1xVQp5anlYeVRjL29KaXcxY1hza1VMOFV0TVdabXJ3TkxIWHVaV1dJ
|
26
|
+
TXpraml6M1VOZGhKci90NVJPazhTMldQem5sCjBiTXkvUE1JbEFicVdvbFJu
|
27
|
+
MXpsMlZGSjNUYVhTY2JxSW1ZOFdmNGc2MmIvMVpTVWxHcnRuTE5zQ1lYcldp
|
28
|
+
c28KVVBVQ0F3RUFBYU01TURjd0NRWURWUjBUQkFJd0FEQUxCZ05WSFE4RUJB
|
29
|
+
TUNCTEF3SFFZRFZSME9CQllFRkd1OQpyckoxSDY0cVJtTk51M0pqL1Fqdmgw
|
30
|
+
dTVNQTBHQ1NxR1NJYjNEUUVCQlFVQUE0SUJBUUNWMFVua2E1aXNyaFprCkdq
|
31
|
+
cVNEcVkvNmhGK0cycGJGY2JXVXBqbUM4Tld0QXhlQys3TkdWM2xqZDBlMVNM
|
32
|
+
Zm95Qmo0Z25GdEZtWThxWDQKSzAydGdTWk0wZURWOFRwZ0ZwV1h6SzZMekh2
|
33
|
+
b2FudWFoSExaRXRrLytaODg1bEZlbmUrbkhhZGtlbTFuOWlBQgpjczk2Sk85
|
34
|
+
L0pmRnl1WE0yN3dGQXdtZkhDbUpmUEYwOVI0VnZHSFJBdmI4TUd6U1ZnazJp
|
35
|
+
MDZPSlRxa0JUd3Z2CkpISmRveXczKzhidzlSSitqTGFOb1EreHUrMXBRZFMy
|
36
|
+
YmIzbTd4alpwdWZtbC9tOHpGQ3RqWU0vN3Fna0tSOHoKL1padDhsQ2lLZkZB
|
37
|
+
cnBwUnJaYXlFMkZWc3BzNFg2V3dCZHJLVE1aMENLU1hUUmN0YkVqMUJBWjY3
|
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|
+
ZW9UdkJCdApycFAwampzMAotLS0tLUVORCBDRVJUSUZJQ0FURS0tLS0tCg==
|
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+
date: 2011-12-15 00:00:00.000000000 Z
|
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dependencies:
|
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+
- !ruby/object:Gem::Dependency
|
17
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name: spreadsheet
|
18
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-
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requirement: &id001 !ruby/object:Gem::Requirement
|
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requirement: &16328900 !ruby/object:Gem::Requirement
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none: false
|
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-
requirements:
|
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requirements:
|
22
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- - ~>
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23
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-
- !ruby/object:Gem::Version
|
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- !ruby/object:Gem::Version
|
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version: 0.6.5
|
25
49
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type: :runtime
|
26
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-
version_requirements: *id001
|
27
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-
- !ruby/object:Gem::Dependency
|
28
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-
name: reportbuilder
|
29
50
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prerelease: false
|
30
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-
|
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version_requirements: *16328900
|
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+
- !ruby/object:Gem::Dependency
|
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name: reportbuilder
|
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+
requirement: &16340700 !ruby/object:Gem::Requirement
|
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none: false
|
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-
requirements:
|
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requirements:
|
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- - ~>
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-
- !ruby/object:Gem::Version
|
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version:
|
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- !ruby/object:Gem::Version
|
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version: '1.4'
|
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type: :runtime
|
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-
version_requirements: *id002
|
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-
- !ruby/object:Gem::Dependency
|
39
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-
name: minimization
|
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prerelease: false
|
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-
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version_requirements: *16340700
|
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- !ruby/object:Gem::Dependency
|
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name: minimization
|
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+
requirement: &16366980 !ruby/object:Gem::Requirement
|
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none: false
|
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-
requirements:
|
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requirements:
|
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68
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- - ~>
|
45
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-
- !ruby/object:Gem::Version
|
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+
- !ruby/object:Gem::Version
|
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version: 0.2.0
|
47
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type: :runtime
|
48
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-
version_requirements: *id003
|
49
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-
- !ruby/object:Gem::Dependency
|
50
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-
name: fastercsv
|
51
72
|
prerelease: false
|
52
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-
|
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+
version_requirements: *16366980
|
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+
- !ruby/object:Gem::Dependency
|
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name: fastercsv
|
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+
requirement: &16365020 !ruby/object:Gem::Requirement
|
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none: false
|
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-
requirements:
|
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-
- -
|
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-
- !ruby/object:Gem::Version
|
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-
version:
|
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requirements:
|
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- - ! '>'
|
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+
- !ruby/object:Gem::Version
|
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version: '0'
|
58
82
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type: :runtime
|
59
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-
version_requirements: *id004
|
60
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-
- !ruby/object:Gem::Dependency
|
61
|
-
name: dirty-memoize
|
62
83
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prerelease: false
|
63
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-
|
84
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+
version_requirements: *16365020
|
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+
- !ruby/object:Gem::Dependency
|
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name: dirty-memoize
|
87
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+
requirement: &16362640 !ruby/object:Gem::Requirement
|
64
88
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none: false
|
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-
requirements:
|
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+
requirements:
|
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90
|
- - ~>
|
67
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-
- !ruby/object:Gem::Version
|
68
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-
version:
|
91
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+
- !ruby/object:Gem::Version
|
92
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+
version: '0.0'
|
69
93
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type: :runtime
|
70
|
-
version_requirements: *id005
|
71
|
-
- !ruby/object:Gem::Dependency
|
72
|
-
name: extendmatrix
|
73
94
|
prerelease: false
|
74
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-
|
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+
version_requirements: *16362640
|
96
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+
- !ruby/object:Gem::Dependency
|
97
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+
name: extendmatrix
|
98
|
+
requirement: &16360700 !ruby/object:Gem::Requirement
|
75
99
|
none: false
|
76
|
-
requirements:
|
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requirements:
|
77
101
|
- - ~>
|
78
|
-
- !ruby/object:Gem::Version
|
102
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- !ruby/object:Gem::Version
|
79
103
|
version: 0.3.1
|
80
104
|
type: :runtime
|
81
|
-
version_requirements: *id006
|
82
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-
- !ruby/object:Gem::Dependency
|
83
|
-
name: statsample-bivariate-extension
|
84
105
|
prerelease: false
|
85
|
-
|
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+
version_requirements: *16360700
|
107
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+
- !ruby/object:Gem::Dependency
|
108
|
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name: statsample-bivariate-extension
|
109
|
+
requirement: &16385380 !ruby/object:Gem::Requirement
|
86
110
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none: false
|
87
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-
requirements:
|
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-
- -
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-
- !ruby/object:Gem::Version
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-
version:
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requirements:
|
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- - ! '>'
|
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- !ruby/object:Gem::Version
|
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version: '0'
|
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type: :runtime
|
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-
version_requirements: *id007
|
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-
- !ruby/object:Gem::Dependency
|
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|
-
name: rserve-client
|
95
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prerelease: false
|
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-
|
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version_requirements: *16385380
|
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+
- !ruby/object:Gem::Dependency
|
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name: rserve-client
|
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+
requirement: &16383940 !ruby/object:Gem::Requirement
|
97
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none: false
|
98
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-
requirements:
|
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+
requirements:
|
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123
|
- - ~>
|
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-
- !ruby/object:Gem::Version
|
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- !ruby/object:Gem::Version
|
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125
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version: 0.2.5
|
102
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type: :runtime
|
103
|
-
version_requirements: *id008
|
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|
-
- !ruby/object:Gem::Dependency
|
105
|
-
name: rubyvis
|
106
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|
prerelease: false
|
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-
|
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version_requirements: *16383940
|
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+
- !ruby/object:Gem::Dependency
|
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name: rubyvis
|
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requirement: &16381840 !ruby/object:Gem::Requirement
|
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none: false
|
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-
requirements:
|
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requirements:
|
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134
|
- - ~>
|
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-
- !ruby/object:Gem::Version
|
112
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-
version: 0.
|
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+
- !ruby/object:Gem::Version
|
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version: '0.5'
|
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type: :runtime
|
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|
-
version_requirements: *id009
|
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|
-
- !ruby/object:Gem::Dependency
|
116
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-
name: distribution
|
117
138
|
prerelease: false
|
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-
|
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version_requirements: *16381840
|
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|
+
- !ruby/object:Gem::Dependency
|
141
|
+
name: distribution
|
142
|
+
requirement: &16379020 !ruby/object:Gem::Requirement
|
119
143
|
none: false
|
120
|
-
requirements:
|
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|
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requirements:
|
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145
|
- - ~>
|
122
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-
- !ruby/object:Gem::Version
|
123
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-
version:
|
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+
- !ruby/object:Gem::Version
|
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version: '0.6'
|
124
148
|
type: :runtime
|
125
|
-
version_requirements: *id010
|
126
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-
- !ruby/object:Gem::Dependency
|
127
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-
name: hoe
|
128
149
|
prerelease: false
|
129
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-
|
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|
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version_requirements: *16379020
|
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description: ! 'A suite for basic and advanced statistics on Ruby. Tested on Ruby
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1.8.7, 1.9.1, 1.9.2 (April, 2010), ruby-head(June, 2011) and JRuby 1.4 (Ruby 1.8.7
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compatible).
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* Descriptive statistics: frequencies, median, mean, standard error, skew, kurtosis
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(and many others).
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* Correlations: Pearson''s r, Spearman''s rank correlation (rho), point biserial,
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tau a, tau b and gamma. Tetrachoric and Polychoric correlation provides by +statsample-bivariate-extension+
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gem.
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for One-way ANOVA.
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* Factorial Analysis: Extraction (PCA and Principal Axis), Rotation (Varimax, Equimax,
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Quartimax) and Parallel Analysis and Velicer''s MAP test, for estimation of number
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of factors.
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* Reliability analysis for simple scale and a DSL to easily analyze multiple scales
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using factor analysis and correlations, if you want it.
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* Basic time series support
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* Structural Equation Modeling (SEM), using R libraries +sem+ and +OpenMx+
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* Graphics: Histogram, Boxplot and Scatterplot'
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email:
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extensions: []
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homepage: http://ruby-statsample.rubyforge.org/
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licenses: []
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to speed some methods.
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using apt-get. Compile ruby 1.8 or 1.9 from
|
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source code first.
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|
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*****************************************************
|
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|
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rdoc_options:
|
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post_install_message: ! "***************************************************\nThanks
|
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|
+
for installing statsample.\n\nOn *nix, you could install statsample-optimization\nto
|
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+
retrieve gems gsl, statistics2 and a C extension\nto speed some methods.\n\n $
|
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+
sudo gem install statsample-optimization\n\nOn Ubuntu, install build-essential
|
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|
+
and libgsl0-dev \nusing apt-get. Compile ruby 1.8 or 1.9 from \nsource code first.\n\n
|
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+
\ $ sudo apt-get install build-essential libgsl0-dev\n\n\n*****************************************************\n"
|
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rdoc_options:
|
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- --main
|
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|
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require_paths:
|
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require_paths:
|
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|
- lib
|
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|
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required_ruby_version: !ruby/object:Gem::Requirement
|
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required_ruby_version: !ruby/object:Gem::Requirement
|
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none: false
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requirements:
|
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- -
|
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version:
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required_rubygems_version: !ruby/object:Gem::Requirement
|
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requirements:
|
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|
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- - ! '>='
|
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|
+
- !ruby/object:Gem::Version
|
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version: '0'
|
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required_rubygems_version: !ruby/object:Gem::Requirement
|
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|
none: false
|
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requirements:
|
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|
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- -
|
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|
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version:
|
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requirements:
|
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|
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- - ! '>='
|
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|
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- !ruby/object:Gem::Version
|
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|
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version: '0'
|
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|
requirements: []
|
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|
-
|
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|
rubyforge_project: ruby-statsample
|
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|
-
rubygems_version: 1.
|
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+
rubygems_version: 1.8.10
|
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|
signing_key:
|
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489
|
specification_version: 3
|
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|
summary: A suite for basic and advanced statistics on Ruby
|
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|
-
test_files:
|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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- test/test_srs.rb
|
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|
+
test_files:
|
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|
+
- test/test_bivariate.rb
|
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|
+
- test/test_factor_pa.rb
|
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|
+
- test/test_dominance_analysis.rb
|
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|
+
- test/test_factor.rb
|
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|
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- test/test_test_kolmogorovsmirnov.rb
|
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|
- test/test_codification.rb
|
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|
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- test/
|
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|
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- test/test_crosstab.rb
|
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|
+
- test/test_anovatwowaywithdataset.rb
|
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|
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|
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|
-
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|
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|
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|
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|
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- test/
|
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|
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|
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|
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|
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|
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- test/test_test_t.rb
|
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|
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- test/test_reliability.rb
|
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|
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- test/test_bivariate.rb
|
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|
+
- test/test_factor_map.rb
|
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|
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|
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|
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- test/
|
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|
-
- test/test_anovaoneway.rb
|
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|
-
- test/test_dataset.rb
|
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|
+
- test/test_crosstab.rb
|
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|
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|
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|
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- test/
|
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|
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- test/
|
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|
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|
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|
+
- test/test_csv.rb
|
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|
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- test/test_analysis.rb
|
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|
- test/test_matrix.rb
|
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|
-
- test/
|
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|
-
- test/
|
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|
-
- test/
|
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|
+
- test/test_gsl.rb
|
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|
+
- test/test_tseries.rb
|
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|
+
- test/test_bartlettsphericity.rb
|
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|
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|
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|
+
- test/test_resample.rb
|
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|
+
- test/test_stratified.rb
|
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|
+
- test/test_vector.rb
|
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|
+
- test/test_srs.rb
|
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|
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- test/test_ggobi.rb
|
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|
+
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|
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|
+
- test/test_logit.rb
|
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|
+
- test/test_stest.rb
|
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|
- test/test_statistics.rb
|
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|
-
- test/
|
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|
-
- test/test_factor_pa.rb
|
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|
+
- test/test_reliability.rb
|
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|
- test/test_reliability_icc.rb
|
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|
+
- test/test_anovatwoway.rb
|
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|
+
- test/test_test_f.rb
|
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|
+
- test/test_test_t.rb
|
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|
+
- test/test_histogram.rb
|
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|
+
- test/test_dataset.rb
|
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|
+
- test/test_regression.rb
|
529
|
+
- test/test_multiset.rb
|
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|
+
- test/test_reliability_skillscale.rb
|
531
|
+
- test/test_anovaoneway.rb
|