@smockle/regression 3.0.4 → 4.0.0

package/flow-typed/npm/nyc_vx.x.x.js

@@ -1,108 +0,0 @@
-// flow-typed signature: f6e603c55941b36c9d8577c99c4196b5
-// flow-typed version: <<STUB>>/nyc_v^11.0.2/flow_v0.53.1
-
-/**
- * This is an autogenerated libdef stub for:
- *
- *   'nyc'
- *
- * Fill this stub out by replacing all the `any` types.
- *
- * Once filled out, we encourage you to share your work with the
- * community by sending a pull request to:
- * https://github.com/flowtype/flow-typed
- */
-
-declare module 'nyc' {
-  declare module.exports: any
-}
-
-/**
- * We include stubs for each file inside this npm package in case you need to
- * require those files directly. Feel free to delete any files that aren't
- * needed.
- */
-declare module 'nyc/bin/nyc' {
-  declare module.exports: any
-}
-
-declare module 'nyc/bin/wrap' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/commands/instrument' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/config-util' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/hash' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/instrumenters/istanbul' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/instrumenters/noop' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/process-args' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/process' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/self-coverage-helper' {
-  declare module.exports: any
-}
-
-declare module 'nyc/lib/source-maps' {
-  declare module.exports: any
-}
-
-// Filename aliases
-declare module 'nyc/bin/nyc.js' {
-  declare module.exports: $Exports<'nyc/bin/nyc'>
-}
-declare module 'nyc/bin/wrap.js' {
-  declare module.exports: $Exports<'nyc/bin/wrap'>
-}
-declare module 'nyc/index' {
-  declare module.exports: $Exports<'nyc'>
-}
-declare module 'nyc/index.js' {
-  declare module.exports: $Exports<'nyc'>
-}
-declare module 'nyc/lib/commands/instrument.js' {
-  declare module.exports: $Exports<'nyc/lib/commands/instrument'>
-}
-declare module 'nyc/lib/config-util.js' {
-  declare module.exports: $Exports<'nyc/lib/config-util'>
-}
-declare module 'nyc/lib/hash.js' {
-  declare module.exports: $Exports<'nyc/lib/hash'>
-}
-declare module 'nyc/lib/instrumenters/istanbul.js' {
-  declare module.exports: $Exports<'nyc/lib/instrumenters/istanbul'>
-}
-declare module 'nyc/lib/instrumenters/noop.js' {
-  declare module.exports: $Exports<'nyc/lib/instrumenters/noop'>
-}
-declare module 'nyc/lib/process-args.js' {
-  declare module.exports: $Exports<'nyc/lib/process-args'>
-}
-declare module 'nyc/lib/process.js' {
-  declare module.exports: $Exports<'nyc/lib/process'>
-}
-declare module 'nyc/lib/self-coverage-helper.js' {
-  declare module.exports: $Exports<'nyc/lib/self-coverage-helper'>
-}
-declare module 'nyc/lib/source-maps.js' {
-  declare module.exports: $Exports<'nyc/lib/source-maps'>
-}

package/flow-typed/npm/prettier-eslint-cli_vx.x.x.js

@@ -1,78 +0,0 @@
-// flow-typed signature: 56ebe15a26b55410ff353983dbf8c878
-// flow-typed version: <<STUB>>/prettier-eslint-cli_v^4.0.0/flow_v0.53.1
-
-/**
- * This is an autogenerated libdef stub for:
- *
- *   'prettier-eslint-cli'
- *
- * Fill this stub out by replacing all the `any` types.
- *
- * Once filled out, we encourage you to share your work with the
- * community by sending a pull request to:
- * https://github.com/flowtype/flow-typed
- */
-
-declare module 'prettier-eslint-cli' {
-  declare module.exports: any
-}
-
-/**
- * We include stubs for each file inside this npm package in case you need to
- * require those files directly. Feel free to delete any files that aren't
- * needed.
- */
-declare module 'prettier-eslint-cli/dist/add-exception-handler' {
-  declare module.exports: any
-}
-
-declare module 'prettier-eslint-cli/dist/format-files' {
-  declare module.exports: any
-}
-
-declare module 'prettier-eslint-cli/dist/index' {
-  declare module.exports: any
-}
-
-declare module 'prettier-eslint-cli/dist/messages' {
-  declare module.exports: any
-}
-
-declare module 'prettier-eslint-cli/dist/no-main' {
-  declare module.exports: any
-}
-
-declare module 'prettier-eslint-cli/dist/parser' {
-  declare module.exports: any
-}
-
-declare module 'prettier-eslint-cli/dist/uncaught-exception-handler' {
-  declare module.exports: any
-}
-
-// Filename aliases
-declare module 'prettier-eslint-cli/dist/add-exception-handler.js' {
-  declare module.exports: $Exports<
-    'prettier-eslint-cli/dist/add-exception-handler'
-  >
-}
-declare module 'prettier-eslint-cli/dist/format-files.js' {
-  declare module.exports: $Exports<'prettier-eslint-cli/dist/format-files'>
-}
-declare module 'prettier-eslint-cli/dist/index.js' {
-  declare module.exports: $Exports<'prettier-eslint-cli/dist/index'>
-}
-declare module 'prettier-eslint-cli/dist/messages.js' {
-  declare module.exports: $Exports<'prettier-eslint-cli/dist/messages'>
-}
-declare module 'prettier-eslint-cli/dist/no-main.js' {
-  declare module.exports: $Exports<'prettier-eslint-cli/dist/no-main'>
-}
-declare module 'prettier-eslint-cli/dist/parser.js' {
-  declare module.exports: $Exports<'prettier-eslint-cli/dist/parser'>
-}
-declare module 'prettier-eslint-cli/dist/uncaught-exception-handler.js' {
-  declare module.exports: $Exports<
-    'prettier-eslint-cli/dist/uncaught-exception-handler'
-  >
-}

package/jsdoc.json

@@ -1,6 +0,0 @@
-{
-  "source": {
-    "includePattern": ".+\\.(m)?js(doc|x)?$",
-    "excludePattern": "(^|\\/|\\\\)_"
-  }
-}

package/jsdoc2md/README.hbs

@@ -1,32 +0,0 @@
-[![npm](https://img.shields.io/npm/v/@smockle/regression.svg)](https://www.npmjs.com/package/@smockle/regression)
-[![Build Status](https://travis-ci.org/smockle/regression.svg?branch=master)](https://travis-ci.org/smockle/regression)
-[![Build status](https://ci.appveyor.com/api/projects/status/x1sjhd5q1jv1eupd?svg=true)](https://ci.appveyor.com/project/smockle/regression)
-[![codecov](https://codecov.io/gh/smockle/regression/branch/master/graph/badge.svg)](https://codecov.io/gh/smockle/regression)
-[![Known Vulnerabilities](https://snyk.io/test/github/smockle/regression/badge.svg)](https://snyk.io/test/github/smockle/regression)
-[![Greenkeeper badge](https://badges.greenkeeper.io/smockle/regression.svg)](https://greenkeeper.io/)
-
-# regression
-
-Estimate multiple linear regression fit using least squares.
-
-## Installation
-
-Run `npm install --save @smockle/regression` to add `regression` to your project.
-
-## Usage
-
-```JavaScript
-const regression = require('@smockle/regression')
-```
-
-## API Reference
-{{#module name="regression"}}
-{{>body~}}
-{{>member-index~}}
-{{>separator~}}
-{{>members~}}
-{{/module}}
-
-## Testing
-
-`regression` includes several unit tests. After cloning the `regression` repo locally, run `npm install` in the project folder to install dependencies. Run `npm test` to execute the tests.

package/lib/regression.js

@@ -1,3 +0,0 @@
-// @flow
-require = require('@std/esm')(module)
-module.exports = require('./regression.mjs').default

package/lib/regression.mjs

@@ -1,93 +0,0 @@
-// @flow
-
-/** @module regression */
-
-import Matrix from '@smockle/matrix'
-import math from 'mathjs'
-import fill from 'lodash/fill'
-import unzip from 'lodash/unzip'
-
-/**
- * Estimate multiple linear regression fit using least squares
- * @constructor
- * @alias module:regression
- * @param {Matrix} X - Input matrix
- * @param {Matrix} Y - Input matrix
- * @return {Regression} Multiple linear regression
- */
-function Regression (X /* : Matrix */, Y /* : Matrix */) /* : Regression */ {
-  const r /* : Regression */ = Object.create(Regression.prototype)
-  r.n = X[0].length
-  r.p = X.length
-  r.X = Matrix([fill(Array(r.n), 1)].concat(X)).transpose()
-  r.Y = Matrix(Y).transpose()
-
-  r.B = Matrix.multiply(
-    r.X.transpose().multiply(r.X).invert(),
-    r.X.transpose().multiply(r.Y)
-  )
-  r.fitted = r.X.multiply(r.B).__value
-  r.mean = math.mean(r.Y.__value)
-
-  r.residuals = math.subtract(r.Y.__value, r.fitted)
-  r.SST = r.Y.__value.reduce((xs, y, i) => xs + math.pow(y - r.mean, 2), 0)
-  r.SSE = r.fitted.reduce(
-    (xs, _fitted) => xs + math.pow(_fitted[0] - r.mean, 2),
-    0
-  )
-  r.SSR = r.Y.__value.reduce(
-    (xs, y, i) => xs + math.pow(y[0] - r.fitted[i], 2),
-    0
-  )
-  r.Rsquared = r.SSE / r.SST
-  r.Rsquaredadj = r.Rsquared - (1 - r.Rsquared) * (r.p - 1) / (r.n - r.p)
-  r.stderr = math.sqrt(
-    r.residuals.reduce((xs, residual) => xs + math.pow(residual[0], 2), 0) /
-      (r.n - r.p - 1)
-  )
-
-  r.MSE = math.sqrt(
-    r.fitted.reduce(
-      (xs, _fitted, i) => xs + math.pow(_fitted[0] - r.Y.__value[i][0], 2),
-      0
-    ) /
-      (r.n - 2)
-  )
-  r.VAR = Matrix(
-    math.multiply(r.MSE, r.X.transpose().multiply(r.X).invert().__value)
-  )
-  r.STDERR = math.sqrt(math.diag(r.VAR.__value))
-  r.TSTAT = r.STDERR.map((err, i) => r.B.__value[i] / err)
-  return r
-}
-
-/**
- * Format and print this regression
- * @alias module:regression#inspect
- * @return {string} Regression results
- */
-Regression.prototype.inspect = function () /*: string */ {
-  var output /* : string */ = ''
-  output += math.format(
-    this.Rsquared,
-    x => `R²: ${math.multiply(x, 100).toFixed(2)}%\n`
-  )
-  output += math.format(
-    this.Rsquaredadj,
-    x => `Adj R²: ${math.multiply(x, 100).toFixed(2)}%\n`
-  )
-  output += math.format(this.stderr, x => `Std Err: ${x.toFixed(2)}\n\n`)
-  const labels = ['y'].concat(fill(Array(this.B.__value.length - 1), 'x'))
-  unzip([unzip(this.B.__value)[0], this.TSTAT]).forEach((x, i) => {
-    output += `${labels[i]}${labels[i] === 'y' ? '' : i}: ${math.format(x[0], {
-      notation: 'fixed',
-      precision: 2
-    })} (t-stat ${math.format(x[1], {
-      notation: 'fixed',
-      precision: 2
-    })})${i === this.B.__value.length - 1 ? '' : '\n'}`
-  })
-  return output
-}
-
-export default Regression

package/test/regression.mjs

@@ -1,264 +0,0 @@
-// @flow
-
-import Regression from '../lib/regression'
-import Matrix from '@smockle/matrix'
-import math from 'mathjs'
-import test from 'tape'
-import util from 'util'
-const { inspect } = util
-
-test('Regression', function (t) {
-  t.plan(20)
-
-  // VBR Return (Return-RF)
-  const RAR = [
-    -3.299606018,
-    5.660926073,
-    1.300771693,
-    -1.297986198,
-    1.370615722,
-    -1.507395904,
-    -0.946105019,
-    -4.841277527,
-    -3.586533681,
-    6.628808772,
-    1.316931792,
-    -4.898786803
-  ]
-
-  // Market (MKT-RF)
-  const MKT = [
-    -3.11,
-    6.13,
-    -1.12,
-    0.59,
-    1.36,
-    -1.53,
-    1.54,
-    -6.04,
-    -3.07,
-    7.75,
-    0.56,
-    -2.17
-  ]
-
-  // Size
-  const SMB = [
-    -0.62,
-    0.47,
-    3.14,
-    -3.03,
-    0.95,
-    2.84,
-    -4.17,
-    0.43,
-    -2.71,
-    -1.86,
-    3.55,
-    -2.99
-  ]
-
-  // Value
-  const HML = [
-    -3.06,
-    -2.16,
-    -0.73,
-    2.13,
-    -1.9,
-    -1.04,
-    -4.49,
-    2.88,
-    0.73,
-    -0.32,
-    -1.23,
-    -2.07
-  ]
-
-  // Momentum
-  const UMD = [
-    3.76,
-    -2.88,
-    3.02,
-    -7.41,
-    5.92,
-    3.05,
-    10.24,
-    -2.16,
-    5.26,
-    -3.92,
-    2.43,
-    3.38
-  ]
-
-  const r = Regression([MKT, SMB, HML, UMD], RAR)
-  t.equal(r.n, 12, 'n observations')
-  t.equal(r.p, 4, 'p factor terms')
-  t.deepEqual(
-    r.X,
-    Matrix([
-      [1, -3.11, -0.62, -3.06, 3.76],
-      [1, 6.13, 0.47, -2.16, -2.88],
-      [1, -1.12, 3.14, -0.73, 3.02],
-      [1, 0.59, -3.03, 2.13, -7.41],
-      [1, 1.36, 0.95, -1.9, 5.92],
-      [1, -1.53, 2.84, -1.04, 3.05],
-      [1, 1.54, -4.17, -4.49, 10.24],
-      [1, -6.04, 0.43, 2.88, -2.16],
-      [1, -3.07, -2.71, 0.73, 5.26],
-      [1, 7.75, -1.86, -0.32, -3.92],
-      [1, 0.56, 3.55, -1.23, 2.43],
-      [1, -2.17, -2.99, -2.07, 3.38]
-    ]),
-    'X matrix'
-  )
-  t.deepEqual(
-    r.Y,
-    Matrix([
-      [-3.299606018],
-      [5.660926073],
-      [1.300771693],
-      [-1.297986198],
-      [1.370615722],
-      [-1.507395904],
-      [-0.946105019],
-      [-4.841277527],
-      [-3.586533681],
-      [6.628808772],
-      [1.316931792],
-      [-4.898786803]
-    ]),
-    'Y matrix'
-  )
-
-  t.deepEqual(
-    r.B,
-    Matrix([
-      [-0.11570512587416651],
-      [0.9965414089434049],
-      [0.46406431951315674],
-      [0.29410972011067305],
-      [0.0758741075412841]
-    ]),
-    'β coefficients factor terms'
-  )
-  t.deepEqual(
-    r.fitted,
-    [
-      [-4.117357884969744],
-      [5.3574095159621375],
-      [0.23977016847441873],
-      [-0.8696340157676041],
-      [1.5708185422604861],
-      [-0.3969288950543946],
-      [-1.0597813505453595],
-      [-5.25211965687211],
-      [-3.818903655863128],
-      [6.352789547145502],
-      [1.912405522995039],
-      [-4.018104935765246]
-    ],
-    'fitted Y values'
-  )
-  t.equal(r.mean, -0.3416364248333333, 'mean Y value')
-
-  t.deepEqual(
-    r.residuals,
-    [
-      [0.8177518669697439],
-      [0.3035165570378622],
-      [1.0610015245255813],
-      [-0.4283521822323959],
-      [-0.2002028202604862],
-      [-1.1104670089456055],
-      [0.1136763315453595],
-      [0.4108421298721101],
-      [0.23236997486312783],
-      [0.27601922485449837],
-      [-0.5954737309950389],
-      [-0.8806818672347543]
-    ],
-    'residual Y values'
-  )
-  t.equal(r.SST, 155.93033742014742, 'SST total sum of squares')
-  t.equal(r.SSE, 151.14498353223317, 'SSE explained sum of squares')
-  t.equal(r.SSR, 4.785353887914211, 'SSR residual sum of squares')
-  t.equal(
-    math.format(r.SST, { notation: 'fixed', precision: 8 }),
-    math.format(r.SSE + r.SSR, { notation: 'fixed', precision: 8 }),
-    'SST = SSE + SSR'
-  )
-  t.equal(r.Rsquared, 0.969310950216055, 'R² coefficient of determination')
-  t.equal(r.Rsquaredadj, 0.9578025565470756, 'adjusted R²')
-  t.equal(r.stderr, 0.8268143588422642, 'standard error of regression')
-
-  t.equal(r.MSE, 0.6917625234077234, 'MSE mean standard error')
-  t.deepEqual(
-    r.VAR,
-    Matrix([
-      [
-        0.07196948249766646,
-        0.0025212277747416315,
-        0.0025208085553061446,
-        0.015445877772156624,
-        0.00047794386911134755
-      ],
-      [
-        0.0025212277747416315,
-        0.008540646610658573,
-        0.0005674745970637586,
-        0.01395071899820061,
-        0.005872357927868933
-      ],
-      [
-        0.002520808555306144,
-        0.0005674745970637586,
-        0.009048264369132409,
-        -0.00017904322635722093,
-        0.00016540723502594728
-      ],
-      [
-        0.015445877772156624,
-        0.01395071899820061,
-        -0.00017904322635722077,
-        0.04885262790234827,
-        0.016993607738073208
-      ],
-      [
-        0.00047794386911134755,
-        0.0058723579278689335,
-        0.00016540723502594734,
-        0.01699360773807321,
-        0.008750503967407862
-      ]
-    ])
-  )
-  t.deepEqual(
-    r.STDERR,
-    [
-      0.26827128526487226,
-      0.09241561886747593,
-      0.09512236524147415,
-      0.22102630590576378,
-      0.09354412844966734
-    ],
-    'standard error matrix (diagonal of variance)'
-  )
-  t.deepEqual(
-    r.TSTAT,
-    [
-      -0.4312989582911469,
-      10.783257431543538,
-      4.878603663135374,
-      1.3306548236664144,
-      0.8111049704430051
-    ],
-    'test statistic (significance)'
-  )
-
-  // Regression#inspect
-  t.equal(
-    inspect(r),
-    'R²: 96.93%\nAdj R²: 95.78%\nStd Err: 0.83\n\ny: -0.12 (t-stat -0.43)\nx1: 1.00 (t-stat 10.78)\nx2: 0.46 (t-stat 4.88)\nx3: 0.29 (t-stat 1.33)\nx4: 0.08 (t-stat 0.81)',
-    'inspect regression'
-  )
-})