dycw-utilities 0.109.21__tar.gz → 0.109.22__tar.gz

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/PKG-INFO

@@ -1,12 +1,12 @@
 Metadata-Version: 2.4
 Name: dycw-utilities
-Version: 0.109.21
+Version: 0.109.22
 Author-email: Derek Wan <d.wan@icloud.com>
 License-File: LICENSE
 Requires-Python: >=3.12
 Requires-Dist: typing-extensions<4.14,>=4.13.1
 Provides-Extra: test
-Requires-Dist: hypothesis<6.132,>=6.131.7; extra == 'test'
+Requires-Dist: hypothesis<6.132,>=6.131.9; extra == 'test'
 Requires-Dist: pytest-asyncio<0.27,>=0.26.0; extra == 'test'
 Requires-Dist: pytest-cov<6.2,>=6.1.1; extra == 'test'
 Requires-Dist: pytest-instafail<0.6,>=0.5.0; extra == 'test'
@@ -80,7 +80,7 @@ Provides-Extra: zzz-test-hypothesis
 Requires-Dist: aiosqlite<0.22,>=0.21.0; extra == 'zzz-test-hypothesis'
 Requires-Dist: asyncpg<0.31,>=0.30.0; extra == 'zzz-test-hypothesis'
 Requires-Dist: greenlet<3.3,>=3.2.0; extra == 'zzz-test-hypothesis'
-Requires-Dist: hypothesis<6.132,>=6.131.7; extra == 'zzz-test-hypothesis'
+Requires-Dist: hypothesis<6.132,>=6.131.9; extra == 'zzz-test-hypothesis'
 Requires-Dist: luigi<3.7,>=3.6.0; extra == 'zzz-test-hypothesis'
 Requires-Dist: numpy<2.3,>=2.2.5; extra == 'zzz-test-hypothesis'
 Requires-Dist: pathvalidate<3.3,>=3.2.3; extra == 'zzz-test-hypothesis'

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/pyproject.toml

@@ -27,7 +27,7 @@ dev = [
   "fpdf2 >= 2.8.3, < 2.9",
   "greenlet >= 3.2.0, < 3.3",  # for sqlalchemy async
   "httpx >= 0.28.1, < 0.29",  # for fastapi
-  "hypothesis >= 6.131.7, < 6.132",
+  "hypothesis >= 6.131.9, < 6.132",
   "img2pdf >= 0.6.0, < 0.7",
   "lightweight-charts >= 2.1, < 2.2",
   "loguru >= 0.7.3, < 0.8",
@@ -93,11 +93,11 @@ dependencies = [
 name = "dycw-utilities"
 readme = "README.md"
 requires-python = ">= 3.12"
-version = "0.109.21"
+version = "0.109.22"
 
 [project.optional-dependencies]
 test = [
-  "hypothesis >= 6.131.7, < 6.132",
+  "hypothesis >= 6.131.9, < 6.132",
   "pytest >= 8.3.5, < 8.4",
   "pytest-asyncio >= 0.26.0, < 0.27",
   "pytest-cov >= 6.1.1, < 6.2",
@@ -175,7 +175,7 @@ zzz-test-hypothesis = [
   "aiosqlite >= 0.21.0, < 0.22",
   "asyncpg >= 0.30.0, < 0.31",  # for sqlalchemy async
   "greenlet >= 3.2.0, < 3.3",  # for sqlalchemy async
-  "hypothesis >= 6.131.7, < 6.132",
+  "hypothesis >= 6.131.9, < 6.132",
   "luigi >= 3.6.0, < 3.7",
   "numpy >= 2.2.5, < 2.3",
   "pathvalidate >= 3.2.3, < 3.3",
@@ -336,7 +336,7 @@ zzz-test-zoneinfo = [
 # bump-my-version
 [tool.bumpversion]
 allow_dirty = true
-current_version = "0.109.21"
+current_version = "0.109.22"
 
 [[tool.bumpversion.files]]
 filename = "src/utilities/__init__.py"

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/src/tests/test_polars.py

@@ -108,6 +108,7 @@ from utilities.polars import (
     _InsertBetweenMissingColumnsError,
     _InsertBetweenNonConsecutiveError,
     _yield_struct_series_element_remove_nulls,
+    ac_halflife,
     acf,
     adjust_frequencies,
     append_dataclass,
@@ -223,6 +224,13 @@ class TestACF:
         )
 
 
+class TestACHalfLife:
+    def test_main(self) -> None:
+        series = Series(linspace(0, 2 * pi, 1000))
+        halflife = ac_halflife(series)
+        assert halflife == 169.94
+
+
 class TestAdjustFrequencies:
     def test_main(self) -> None:
         n = 1000

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/src/tests/test_statsmodel.py

@@ -2,7 +2,7 @@ from __future__ import annotations
 
 from numpy import allclose, isclose, linspace, pi
 
-from utilities.statsmodels import acf
+from utilities.statsmodels import ac_halflife, acf
 
 
 class TestACF:
@@ -42,3 +42,10 @@ class TestACF:
         assert isclose(qstat[-1], 27769.955439016478)
         assert pvalues.shape == (30,)
         assert isclose(pvalues[-1], 0.0)
+
+
+class TestACHalfLife:
+    def test_main(self) -> None:
+        x = linspace(0, 2 * pi, 1000)
+        halflife = ac_halflife(x)
+        assert halflife == 169.94

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/src/utilities/__init__.py

@@ -1,3 +1,3 @@
 from __future__ import annotations
 
-__version__ = "0.109.21"
+__version__ = "0.109.22"

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/src/utilities/polars.py

@@ -140,6 +140,32 @@ DatetimeUSEastern = Datetime(time_zone="US/Eastern")
 DatetimeUTC = Datetime(time_zone="UTC")
 _FINITE_EWM_MIN_WEIGHT = 0.9999
 
+##
+
+
+def ac_halflife(
+    series: Series,
+    /,
+    *,
+    adjusted: bool = False,
+    fft: bool = True,
+    bartlett_confint: bool = True,
+    missing: ACFMissing = "none",
+    step: float = 0.01,
+) -> float:
+    """Compute the autocorrelation halflife."""
+    import utilities.statsmodels
+
+    array = series.to_numpy()
+    return utilities.statsmodels.ac_halflife(
+        array,
+        adjusted=adjusted,
+        fft=fft,
+        bartlett_confint=bartlett_confint,
+        missing=missing,
+        step=step,
+    )
+
 
 ##
 
@@ -223,6 +249,11 @@ def _acf_process_qstats_pvalues(qstats: NDArrayF, pvalues: NDArrayF, /) -> DataF
 ##
 
 
+# def acf_halflife(series: Series,/)
+
+##
+
+
 def adjust_frequencies(
     series: Series,
     /,

{dycw_utilities-0.109.21 → dycw_utilities-0.109.22}/src/utilities/statsmodels.py

@@ -2,12 +2,45 @@ from __future__ import annotations
 
 from typing import TYPE_CHECKING, Any, Literal, cast, overload
 
+import numpy as np
 import statsmodels.tsa.stattools
+from numpy import arange, argmax, interp, nan
+
+from utilities.numpy import shift
 
 if TYPE_CHECKING:
     from utilities.numpy import NDArrayF
 
 
+def ac_halflife(
+    array: NDArrayF,
+    /,
+    *,
+    adjusted: bool = False,
+    fft: bool = True,
+    bartlett_confint: bool = True,
+    missing: ACFMissing = "none",
+    step: float = 0.01,
+) -> float:
+    """Compute the autocorrelation halflife."""
+    (n,) = array.shape
+    acfs = acf(
+        array,
+        adjusted=adjusted,
+        nlags=n,
+        fft=fft,
+        bartlett_confint=bartlett_confint,
+        missing=missing,
+    )
+    lags = arange(0, n, step=step)
+    interp_acfs = interp(lags, arange(n), acfs)
+    is_half = (shift(interp_acfs) > 0.5) & (interp_acfs <= 0.5)
+    return lags[argmax(is_half)].item() if np.any(is_half) else nan
+
+
+##
+
+
 type ACFMissing = Literal["none", "raise", "conservative", "drop"]
 
 
@@ -114,4 +147,4 @@ def acf(
     )
 
 
-__all__ = ["ACFMissing", "acf"]
+__all__ = ["ACFMissing", "ac_halflife", "acf"]