public void testOutputsNoIntercept()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, true);
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 1);
checkOutputs(0, 1.89855);
var residuals = indicator[0].getResiduals();
AlmostEqual(residuals[0], -3.10144, 1e-5);
AlmostEqual(residuals[1], -0.69565, 1e-5);
AlmostEqual(residuals[7], 1.49275, 1e-5);
AlmostEqual(residuals[8], 0.05072, 1e-5);
AlmostEqual(residuals[9], -1.89855, 1e-5);
AlmostEqual(indicator[0].getLastResidual(), -1.89855, 1e-5);
AlmostEqual(indicator[0].getSigma(), 2.30395, 1e-5);
AlmostEqual(indicator[0].getLastZScore(), -0.92569, 1e-5);
AlmostEqual(indicator[0].getNumFactors(), 1, 1e-5);
AlmostEqual(indicator[0].predict(5), 9.49275, 1e-5);
AlmostEqual(indicator[0].rSquare(), 0.75749, 1e-5);
AlmostEqual(indicator[0].rSquareAdj(), 0.73054, 1e-5);
}
public void testOutputsWithIntercept()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, false);
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 0);
var residuals = indicator[0].getResiduals();
AlmostEqual(residuals[0], -3.48098, 1e-5);
AlmostEqual(residuals[1], -1.24643, 1e-5);
AlmostEqual(residuals[7], 1.28446, 1e-5);
AlmostEqual(residuals[8], -0.39302, 1e-5);
AlmostEqual(residuals[9], -0.42234, 1e-5);
AlmostEqual(indicator[0].getLastResidual(), -0.42234, 1e-5);
AlmostEqual(indicator[0].getSigma(), 2.29937, 1e-5);
AlmostEqual(indicator[0].getLastZScore(), -0.18367, 1e-5);
AlmostEqual(indicator[0].getNumFactors(), 2, 1e-5);
AlmostEqual(indicator[0].predict(5), 10.12916, 1e-5);
AlmostEqual(indicator[0].rSquare(), 0.78253, 1e-5);
AlmostEqual(indicator[0].rSquareAdj(), 0.75535, 1e-5);
}
public void testWeightedRegression()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, false, new [] { 0.5, 0.5358867, 0.5743492, 0.6155722, 0.6597540, 0.7071068, 0.7578583, 0.8122524, 0.8705506, 0.9330330 });
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 0);
checkOutputs(0.5499542078002, 1.91841053644205);
AlmostEqual(indicator[0].getLastResidual(), -0.54995, 1e-5);
AlmostEqual(indicator[0].getLastResidual(true), -0.53122, 1e-5);
AlmostEqual(indicator[0].getSigma(), 2.30431, 1e-5);
AlmostEqual(indicator[0].getSigma(true), 1.84317, 1e-5);
AlmostEqual(indicator[0].getLastZScore(), -0.18368, 1e-5);
AlmostEqual(indicator[0].getLastZScore(true), -0.26229, 1e-5);
AlmostEqual(indicator[0].rSquare(), 0.77860, 1e-5);
AlmostEqual(indicator[0].rSquare(true), 0.79859, 1e-5);
AlmostEqual(indicator[0].rSquareAdj(true), 0.77341, 1e-5);
}
public void testXIsConstant()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(5, 2);
hasNaN();
addPoint(6, 2);
hasNaN();
addPoint(9, 2);
checkOutputs(6.66666, 0);
}
public void testYIsConstant()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(8, 5);
hasNaN();
addPoint(8, 6);
hasNaN();
addPoint(8, 9);
checkOutputs(8, 0);
}
public void testYAndYAreZero()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(0, 0);
hasNaN();
addPoint(0, 0);
hasNaN();
addPoint(0, 0);
checkOutputs(0, 0);
}
public void testXHasInfinity()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(5, 2);
hasNaN();
addPoint(double.NegativeInfinity, 2);
hasNaN();
addPoint(9, 2);
hasNaN();
}
public void testBasicUseCase()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(7, 9);
hasNaN();
addPoint(6, 8);
hasNaN();
addPoint(5, 0);
checkOutputs(4.952055, 0.18493);
addPoint(6, 8);
checkOutputs(5, 0.125);
addPoint(9, 7);
checkOutputs(5.21929, 0.28947);
}
public void testLongSeries()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, false);
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 0);
checkOutputs(0.42234, 1.94136);
}