Variance Ratio function
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/*
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* Copyright 2018-2023 KMath contributors.
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* Use of this source code is governed by the Apache 2.0 license that can be found in the license/LICENSE.txt file.
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*/
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package space.kscience.kmath.series
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import space.kscience.kmath.operations.DoubleBufferOps.Companion.map
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import space.kscience.kmath.operations.algebra
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import space.kscience.kmath.operations.bufferAlgebra
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import space.kscience.kmath.operations.fold
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fun varianceRatio(series: Series<Double>, shift: Int): Double {
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val mean = series.fold(0.0) {acc, value -> acc + value} / series.size
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val demeanedSquares = series.map { power(it - mean, 2) }
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val variance = demeanedSquares.fold(0.0) {acc, value -> acc + value}
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with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
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val seriesAgg = series
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for (i in -1..-shift + 1) {
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seriesAgg.shiftOp(i) { v1, v2 -> v1 + v2 }
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}
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val demeanedSquaresAgg = seriesAgg.map { power(it - shift * mean, 2) }
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val varianceAgg = demeanedSquaresAgg.fold(0.0) { acc, value -> acc + value }
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return varianceAgg * (series.size - 1) / variance / (series.size - shift + 1) / (1 - shift / series.size)
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}
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}
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