/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.model;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.LocalDate;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.MersenneTwister64;
import com.opengamma.analytics.financial.timeseries.analysis.AutocorrelationFunctionCalculator;
import com.opengamma.analytics.financial.timeseries.analysis.DoubleTimeSeriesStatisticsCalculator;
import com.opengamma.analytics.math.statistics.descriptive.MeanCalculator;
import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
/**
*
*/
public class AutoregressiveTimeSeriesModelTest {
private static final double MEAN = 0;
private static final double STD = 0.25;
private static final AutoregressiveTimeSeriesModel MODEL = new AutoregressiveTimeSeriesModel(new NormalDistribution(MEAN, STD, new MersenneTwister64(
MersenneTwister.DEFAULT_SEED)));
private static final int ORDER = 2;
private static final LocalDateDoubleTimeSeries MA;
private static final double[] PHI;
@SuppressWarnings("unused")
private static double LIMIT = 3;
static {
final int n = 20000;
final LocalDate[] dates = new LocalDate[n];
for (int i = 0; i < n; i++) {
dates[i] = LocalDate.ofEpochDay(i);
}
PHI = new double[ORDER + 1];
for (int i = 0; i <= ORDER; i++) {
PHI[i] = (i + 1) / 10.;
}
MA = MODEL.getSeries(PHI, ORDER, dates);
LIMIT /= Math.sqrt(n);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testBadConstructor() {
new AutoregressiveTimeSeriesModel(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPhis() {
MODEL.getSeries(null, 2, new LocalDate[] { LocalDate.ofEpochDay(1) });
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyPhis() {
MODEL.getSeries(new double[0], 2, new LocalDate[] { LocalDate.ofEpochDay(1) });
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeOrder() {
MODEL.getSeries(new double[] {0.2}, -3, new LocalDate[] { LocalDate.ofEpochDay(1) });
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testInsufficientPhis() {
MODEL.getSeries(new double[] {0.2}, 4, new LocalDate[] { LocalDate.ofEpochDay(1) });
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDates() {
MODEL.getSeries(new double[] {0.3, 0.4}, 1, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyDates() {
MODEL.getSeries(new double[] {0.3, 0.4}, 1, new LocalDate[0]);
}
@Test
public void testACF() {
final double eps = 1e-2;
final double[] rho = new AutocorrelationFunctionCalculator().evaluate(MA);
final double rho1 = PHI[1] / (1 - PHI[2]);
assertEquals(rho[0], 1, 1e-16);
assertEquals(rho[1], rho1, eps);
assertEquals(rho[2], rho1 * PHI[1] + PHI[2], eps);
final Double mean = new DoubleTimeSeriesStatisticsCalculator(new MeanCalculator()).evaluate(MA);
assertEquals(mean, PHI[0] / (1 - PHI[1] - PHI[2]), eps);
}
}