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Variance Ratio function

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mrFendel 2023-04-12 22:24:48 +03:00
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commit 2b83560da8
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kmath-stat/src/commonMain/kotlin/space/kscience/kmath/series/VarianceRatio.kt Normal file
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/*
* 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<Double>, 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)
}
}