tests for varianceRatio

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

@@ -24,10 +24,10 @@ public fun varianceRatioTest(series: Series<Double>, shift: Int, homoscedastic:
      * **/
 
     val sum = { x: Double, y: Double -> x + y }
-
+    //TODO: catch if shift is too large
     val mean = series.fold(0.0, sum) / series.size
     val demeanedSquares = series.map { power(it - mean, 2) }
-    val variance = demeanedSquares.fold(0.0, sum)
+    val variance = demeanedSquares.fold(0.0, sum) // TODO: catch if variance is zero
 
     with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
         for (i in -1..-shift + 1) { series.shiftOp(i) { v1, v2 -> v1 + v2 } }

kmath-stat/src/commonTest/kotlin/space/kscience/kmath/series/TestVarianceRatioTest.kt

@@ -0,0 +1,51 @@
+/*
+ * 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.algebra
+import space.kscience.kmath.operations.bufferAlgebra
+import kotlin.math.PI
+import kotlin.test.Test
+import kotlin.test.assertEquals
+
+class TestVarianceRatioTest {
+
+    @Test
+    fun volatileData() {
+        with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
+            val volatileData = series(10) { sin(PI * it + PI/2) + 1.0}
+            val resultHomo = varianceRatioTest(volatileData, 2, homoscedastic = true)
+            assertEquals(0.0, resultHomo.varianceRatio, 1e-6)
+            // homoscedastic zScore
+            assertEquals(-3.162277, resultHomo.zScore, 1e-6)
+            val resultHetero = varianceRatioTest(volatileData, 2, homoscedastic = false)
+            // heteroscedastic zScore
+            assertEquals(-3.535533, resultHetero.zScore, 1e-6)
+        }
+    }
+
+    @Test
+    fun negativeData() {
+        with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
+            val volatileData = series(10) { sin(PI * it)}
+            val resultHomo = varianceRatioTest(volatileData, 2, homoscedastic = true)
+            assertEquals(1.142857, resultHomo.varianceRatio, 1e-6)
+            // homoscedastic zScore
+            assertEquals(0.451753, resultHomo.zScore, 1e-6)
+            val resultHetero = varianceRatioTest(volatileData, 2, homoscedastic = false)
+            // heteroscedastic zScore
+            assertEquals(2.462591, resultHetero.zScore, 1e-6)
+        }
+    }
+
+//    @Test
+//    fun zeroVolatility() {
+//        with(Double.algebra.bufferAlgebra.seriesAlgebra()) {
+//            val volatileData = series(10) { 1.0 }
+//            val result = varianceRatioTest(volatileData, 2, homoscedastic = true)
+//        }
+//    }
+}