public void AutoCorrelationTest2()
{
var tol = 1e-14;
var n = 10;
// make some dummy data
var a = Generate.LinearSpacedMap(n, 0, 2 * Constants.Pi, Math.Sin);
var idxs = new int[] { 2, 1, 7 };
var resFull = Correlation.Auto(a);
var resLim = Correlation.Auto(a, 4);
Assert.AreEqual(4 + 1, resLim.Length);
for (int i = 0; i < resLim.Length; i++)
{
Assert.AreEqual(resFull[i], resLim[i], tol);
}
var resRange = Correlation.Auto(a, 3, 6); // -> Order will be set in function anyways
Assert.AreEqual(6 - 3 + 1, resRange.Length);
for (int i = 0; i < resRange.Length; i++)
{
Assert.AreEqual(resFull[i], resLim[i], tol);
}
var resIdxs = Correlation.Auto(a, idxs);
Assert.AreEqual(idxs.Length, resIdxs.Length);
Assert.AreEqual(resFull[2], resIdxs[0], tol);
Assert.AreEqual(resFull[1], resIdxs[1], tol);
Assert.AreEqual(resFull[7], resIdxs[2], tol);
}
protected void checkCorrelationComplex(IEnumerable <double> vectorA, IEnumerable <double> vectorB)
{
var correlationByPearsman = Math.Abs(Correlation.Pearson(vectorA, vectorB));
var correlationBySpearman = Math.Abs(Correlation.Spearman(vectorA, vectorB));
var autoCorrelationValue = Correlation.Auto(vectorB.ToArray());
Warn.If(correlationByPearsman < 0.7, $"Weak correlation by pearsman, was {correlationByPearsman}");
Warn.If(correlationBySpearman < 0.7, $"Weak correlation by Spearman, was {correlationBySpearman}");
Console.WriteLine($"{nameof(correlationByPearsman)}: {correlationByPearsman}");
Console.WriteLine($"{nameof(correlationBySpearman)}: {correlationBySpearman}");
var st = new StackTrace();
var sf = st.GetFrame(1);
Console.WriteLine($"Complex correlation check for {sf.GetMethod()} done");
}
public void AutoCorrelationTest(string fName, double tol)
{
var data = Data.ReadAllLines(fName)
.Select(line =>
{
var vals = line.Split(new[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
return(new Tuple <string, string>(vals[0], vals[1]));
}).ToArray();
var series = data.Select(tuple => Double.Parse(tuple.Item1, CultureInfo.InvariantCulture)).ToArray();
var resNumpy = data.Select(tuple => Double.Parse(tuple.Item2, CultureInfo.InvariantCulture)).ToArray();
var resMathNet = Correlation.Auto(series);
for (int i = 0; i < resMathNet.Length; i++)
{
Assert.AreEqual(resNumpy[i], resMathNet[i], tol);
}
}
