From 2b83560da8ff62b58d0df8bb334a76f3db3ccf09 Mon Sep 17 00:00:00 2001 From: mrFendel Date: Wed, 12 Apr 2023 22:24:48 +0300 Subject: [PATCH] Variance Ratio function --- .../kscience/kmath/series/VarianceRatio.kt | 30 +++++++++++++++++++ 1 file changed, 30 insertions(+) create mode 100644 kmath-stat/src/commonMain/kotlin/space/kscience/kmath/series/VarianceRatio.kt diff --git a/kmath-stat/src/commonMain/kotlin/space/kscience/kmath/series/VarianceRatio.kt b/kmath-stat/src/commonMain/kotlin/space/kscience/kmath/series/VarianceRatio.kt new file mode 100644 index 000000000..aa616487b --- /dev/null +++ b/kmath-stat/src/commonMain/kotlin/space/kscience/kmath/series/VarianceRatio.kt @@ -0,0 +1,30 @@ +/* + * Copyright 2018-2023 KMath contributors. + * Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file. + */ + +package space.kscience.kmath.series + +import space.kscience.kmath.operations.DoubleBufferOps.Companion.map +import space.kscience.kmath.operations.algebra +import space.kscience.kmath.operations.bufferAlgebra +import space.kscience.kmath.operations.fold + + +fun varianceRatio(series: Series, shift: Int): Double { + val mean = series.fold(0.0) {acc, value -> acc + value} / series.size + val demeanedSquares = series.map { power(it - mean, 2) } + val variance = demeanedSquares.fold(0.0) {acc, value -> acc + value} + + with(Double.algebra.bufferAlgebra.seriesAlgebra()) { + val seriesAgg = series + for (i in -1..-shift + 1) { + seriesAgg.shiftOp(i) { v1, v2 -> v1 + v2 } + } + + val demeanedSquaresAgg = seriesAgg.map { power(it - shift * mean, 2) } + val varianceAgg = demeanedSquaresAgg.fold(0.0) { acc, value -> acc + value } + + return varianceAgg * (series.size - 1) / variance / (series.size - shift + 1) / (1 - shift / series.size) + } +}