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Moved new tests with complex data into a separate file
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# Test corr.jl | ||
# | ||
# Many test cases are migrated from test/01.jl in the old version | ||
# The reference results are generated from R. | ||
# | ||
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using StatsBase | ||
using Test | ||
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# random data for testing | ||
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x = [-2.133252557240862 -.7445937365828654; | ||
.1775816414485478 -.5834801838041446; | ||
-.6264517920318317 -.68444205333293; | ||
-.8809042583216906 .9071671734302398; | ||
.09251017186697393 -1.0404476733379926; | ||
-.9271887119115569 -.620728578941385; | ||
3.355819743178915 -.8325051361909978; | ||
-.2834039258495755 -.22394811874731657; | ||
.5354280026977677 .7481337671592626; | ||
.39182285417742585 .3085762550821047] | ||
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x1 = view(x, :, 1) | ||
x2 = view(x, :, 2) | ||
realx = convert(AbstractMatrix{Real}, x) | ||
realx1 = convert(AbstractVector{Real}, x1) | ||
realx2 = convert(AbstractVector{Real}, x2) | ||
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# autocov & autocorr | ||
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@test autocov([1:5;]) ≈ [2.0, 0.8, -0.2, -0.8, -0.8] | ||
@test autocor([1, 2, 3, 4, 5]) ≈ [1.0, 0.4, -0.1, -0.4, -0.4] | ||
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racovx1 = [1.839214242630635709475, | ||
-0.406784553146903871124, | ||
0.421772254824993531042, | ||
0.035874943792884653182, | ||
-0.255679775928512320604, | ||
0.231154400105831353551, | ||
-0.787016960267425180753, | ||
0.039909287349160660341, | ||
-0.110149697877911914579, | ||
-0.088687020167434751916] | ||
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@test autocov(x1) ≈ racovx1 | ||
@test autocov(realx1) ≈ racovx1 | ||
@test autocov(x) ≈ [autocov(x1) autocov(x2)] | ||
@test autocov(realx) ≈ [autocov(realx1) autocov(realx2)] | ||
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racorx1 = [0.999999999999999888978, | ||
-0.221173011668873431557, | ||
0.229321981664153962122, | ||
0.019505581764945757045, | ||
-0.139015765538446717242, | ||
0.125681062460244019618, | ||
-0.427909344123907742219, | ||
0.021699096507690283225, | ||
-0.059889541590524189574, | ||
-0.048220059475281865091] | ||
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@test autocor(x1) ≈ racorx1 | ||
@test autocor(realx1) ≈ racorx1 | ||
@test autocor(x) ≈ [autocor(x1) autocor(x2)] | ||
@test autocor(realx) ≈ [autocor(realx1) autocor(realx2)] | ||
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# crosscov & crosscor | ||
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rcov0 = [0.320000000000000006661, | ||
-0.319999999999999951150, | ||
0.080000000000000029421, | ||
-0.479999999999999982236, | ||
0.000000000000000000000, | ||
0.479999999999999982236, | ||
-0.080000000000000029421, | ||
0.319999999999999951150, | ||
-0.320000000000000006661] | ||
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@test crosscov([1, 2, 3, 4, 5], [1, -1, 1, -1, 1]) ≈ rcov0 | ||
@test crosscov([1:5;], [1:5;]) ≈ [-0.8, -0.8, -0.2, 0.8, 2.0, 0.8, -0.2, -0.8, -0.8] | ||
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c11 = crosscov(x1, x1) | ||
c12 = crosscov(x1, x2) | ||
c21 = crosscov(x2, x1) | ||
c22 = crosscov(x2, x2) | ||
@test crosscov(realx1, realx2) ≈ c12 | ||
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@test crosscov(x, x1) ≈ [c11 c21] | ||
@test crosscov(realx, realx1) ≈ [c11 c21] | ||
@test crosscov(x1, x) ≈ [c11 c12] | ||
@test crosscov(realx1, realx) ≈ [c11 c12] | ||
@test crosscov(x, x) ≈ cat([c11 c21], [c12 c22], dims=3) | ||
@test crosscov(realx, realx) ≈ cat([c11 c21], [c12 c22], dims=3) | ||
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rcor0 = [0.230940107675850, | ||
-0.230940107675850, | ||
0.057735026918963, | ||
-0.346410161513775, | ||
0.000000000000000, | ||
0.346410161513775, | ||
-0.057735026918963, | ||
0.230940107675850, | ||
-0.230940107675850] | ||
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@test crosscor([1, 2, 3, 4, 5], [1, -1, 1, -1, 1]) ≈ rcor0 | ||
@test crosscor([1:5;], [1:5;]) ≈ [-0.4, -0.4, -0.1, 0.4, 1.0, 0.4, -0.1, -0.4, -0.4] | ||
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c11 = crosscor(x1, x1) | ||
c12 = crosscor(x1, x2) | ||
c21 = crosscor(x2, x1) | ||
c22 = crosscor(x2, x2) | ||
@test crosscor(realx1, realx2) ≈ c12 | ||
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@test crosscor(x, x1) ≈ [c11 c21] | ||
@test crosscor(realx, realx1) ≈ [c11 c21] | ||
@test crosscor(x1, x) ≈ [c11 c12] | ||
@test crosscor(realx1, realx) ≈ [c11 c12] | ||
@test crosscor(x, x) ≈ cat([c11 c21], [c12 c22], dims=3) | ||
@test crosscor(realx, realx) ≈ cat([c11 c21], [c12 c22], dims=3) | ||
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## pacf | ||
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rpacfr = [-0.218158122381419, | ||
0.195015316828711, | ||
0.144315804606139, | ||
-0.199791229449779] | ||
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@test pacf(x[:,1], 1:4) ≈ rpacfr | ||
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rpacfy = [-0.221173011668873, | ||
0.189683314308021, | ||
0.111857020733719, | ||
-0.175020669835420] | ||
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@test pacf(x[:,1], 1:4, method=:yulewalker) ≈ rpacfy |