Variance Ratio function

kmath-stat/src/commonMain/kotlin/space/kscience/kmath/series/VarianceRatio.kt

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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)
+    }
+}