71 lines
2.1 KiB
C++
71 lines
2.1 KiB
C++
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// (C) Copyright Nick Thompson 2019.
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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#ifndef BOOST_MATH_STATISTICS_LJUNG_BOX_HPP
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#define BOOST_MATH_STATISTICS_LJUNG_BOX_HPP
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#include <cmath>
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#include <iterator>
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#include <utility>
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#include <boost/math/distributions/chi_squared.hpp>
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#include <boost/math/statistics/univariate_statistics.hpp>
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namespace boost::math::statistics {
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template<class RandomAccessIterator>
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auto ljung_box(RandomAccessIterator begin, RandomAccessIterator end, int64_t lags = -1, int64_t fit_dof = 0) {
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using Real = typename std::iterator_traits<RandomAccessIterator>::value_type;
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int64_t n = std::distance(begin, end);
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if (lags >= n) {
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throw std::domain_error("Number of lags must be < number of elements in array.");
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}
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if (lags == -1) {
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// This is the same default as Mathematica; it seems sensible enough . . .
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lags = static_cast<int64_t>(std::ceil(std::log(Real(n))));
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}
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if (lags <= 0) {
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throw std::domain_error("Must have at least one lag.");
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}
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auto mu = boost::math::statistics::mean(begin, end);
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std::vector<Real> r(lags + 1, Real(0));
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for (size_t i = 0; i < r.size(); ++i) {
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for (auto it = begin + i; it != end; ++it) {
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Real ak = *(it) - mu;
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Real akml = *(it-i) - mu;
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r[i] += ak*akml;
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}
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}
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Real Q = 0;
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for (size_t k = 1; k < r.size(); ++k) {
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Q += r[k]*r[k]/(r[0]*r[0]*(n-k));
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}
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Q *= n*(n+2);
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typedef boost::math::policies::policy<
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boost::math::policies::promote_float<false>,
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boost::math::policies::promote_double<false> >
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no_promote_policy;
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auto chi = boost::math::chi_squared_distribution<Real, no_promote_policy>(Real(lags - fit_dof));
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Real pvalue = 1 - boost::math::cdf(chi, Q);
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return std::make_pair(Q, pvalue);
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}
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template<class RandomAccessContainer>
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auto ljung_box(RandomAccessContainer const & v, int64_t lags = -1, int64_t fit_dof = 0) {
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return ljung_box(v.begin(), v.end(), lags, fit_dof);
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}
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}
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#endif
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