refactoring
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@ -202,11 +202,11 @@ public open class SeriesAlgebra<T, out A : Ring<T>, out BA : BufferAlgebra<T, A>
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/**
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* Zip buffer with itself, but shifted
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* */
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public inline fun Buffer<T>.shiftOp(
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public inline fun Buffer<T>.zipWithShift(
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shift: Int = 1,
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crossinline operation: A.(left: T, right: T) -> T
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): Buffer<T> {
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val shifted = this.moveTo(this.startOffset+shift)
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val shifted = this.moveBy(shift)
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return zip(shifted, operation)
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}
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@ -216,7 +216,7 @@ public open class SeriesAlgebra<T, out A : Ring<T>, out BA : BufferAlgebra<T, A>
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override fun multiply(left: Buffer<T>, right: Buffer<T>): Buffer<T> = left.zip(right) { l, r -> l * r }
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public inline fun Buffer<T>.diff(): Buffer<T> = this.shiftOp {l, r -> r - l}
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public fun Buffer<T>.diff(shift: Int=1): Buffer<T> = this.zipWithShift(shift) {l, r -> r - l}
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public companion object
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}
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@ -12,10 +12,14 @@ import space.kscience.kmath.operations.bufferAlgebra
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import space.kscience.kmath.operations.fold
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// TODO: add p-value
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// TODO: add p-value with formula: 2*(1 - cdf(|zScore|))
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public data class VarianceRatioTestResult(val varianceRatio: Double, val zScore: Double)
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/**
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* Container class for Variance Ratio Test result:
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* ratio itself, corresponding Z-score, also it's p-value
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* **/
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public fun varianceRatioTest(series: Series<Double>, shift: Int, homoscedastic: Boolean): VarianceRatioTestResult {
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public fun varianceRatioTest(series: Series<Double>, shift: Int, homoscedastic: Boolean=true): VarianceRatioTestResult {
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/**
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* Calculate the Z statistic and the p-value for the Lo and MacKinlay's Variance Ratio test (1987)
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@ -44,17 +48,17 @@ public fun varianceRatioTest(series: Series<Double>, shift: Int, homoscedastic:
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// calculating asymptotic variance
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var phi: Double
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if (homoscedastic) { // under homoscedastic null hypothesis
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phi = 2 * (2 * shift - 1.0) * (shift - 1.0) / (3 * shift * series.size)
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val phi = if (homoscedastic) { // under homoscedastic null hypothesis
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2 * (2 * shift - 1.0) * (shift - 1.0) / (3 * shift * series.size)
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} else { // under homoscedastic null hypothesis
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phi = 0.0
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var accumulator = 0.0
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var shiftedProd = demeanedSquares
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for (j in 1..<shift) {
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shiftedProd = shiftedProd.zip(demeanedSquares.moveTo(j)) { v1, v2 -> v1 * v2 }
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val delta = series.size * shiftedProd.fold(0.0, sum) / variance.pow(2)
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phi += delta * 4 * (shift - j) * (shift - j) / shift / shift // TODO: refactor with square
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accumulator += delta * 4 * (shift - j) * (shift - j) / shift / shift // TODO: refactor with square
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}
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accumulator
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}
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val zScore = (varianceRatio - 1) / phi.pow(0.5)
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