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Commit78b58c3

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‎tests/testthat/test_garma.R‎

Lines changed: 139 additions & 139 deletions
Original file line numberDiff line numberDiff line change
@@ -1,142 +1,142 @@
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# Test coefficients
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testthat::test_that("Test 1-COEF. Short Memory AR model coef match 'arima'", {
3-
data(AirPassengers)
4-
ap<- log(AirPassengers)
5-
dap<- diff(ap)
6-
7-
testthat::expect_true(
8-
# RMSE for difference in coefficients between GARMA and ARIMA is reasonably small
9-
sqrt(mean((coef(garma(dap,order= c(2,0,0),k=0,method="CSS",include.mean=F))-
10-
coef(arima(dap,order= c(2,0,0),include.mean=F,method="CSS")))^2))<0.005
11-
)
12-
})
13-
14-
testthat::test_that("Test 2-COEF. Short Memory MA model coef match 'arima'", {
15-
data(AirPassengers)
16-
ap<- log(AirPassengers)
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dap<- diff(ap)
18-
19-
testthat::expect_true(
20-
# RMSE for difference in coefficients between GARMA and ARIMA is reasonably small
21-
sqrt(mean((coef(garma(dap,order= c(0,0,2),k=0,method="CSS",include.mean=F))-
22-
coef(arima(dap,order= c(0,0,2),include.mean=F,method="CSS")))^2))<0.005
23-
)
24-
})
25-
26-
27-
# RMSE for difference in coefficients between GARMA and ARIMA is reasonably small
28-
testthat::test_that("Test 3-COEF. Short Memory ARMA model coef match 'arima'", {
29-
data(AirPassengers)
30-
ap<- log(AirPassengers)
31-
dap<- diff(ap)
32-
33-
g_c<- coef(garma(dap,order= c(2,0,2),k=0,method="CSS",include.mean=T))
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g_c2<- c(g_c[2:5],g_c[1])
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a_c<- coef(arima(dap,order= c(2,0,2),include.mean=T,method="CSS"))
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testthat::expect_true(sqrt(mean((g_c2-a_c)^2))<0.05)
38-
})
39-
40-
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# Test residuals
42-
testthat::test_that("Test 1-RESID. Short Memory AR model resid match 'arima'", {
43-
data(AirPassengers)
44-
ap<- log(AirPassengers)
45-
dap<- diff(ap)
46-
47-
testthat::expect_true(
48-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small
49-
sqrt(mean((residuals(garma(dap,order= c(2,0,0),k=0,method="CSS",include.mean=F))-
50-
residuals(arima(dap,order= c(2,0,0),method="CSS",include.mean=F)))^2))<0.03
51-
)
52-
})
53-
54-
testthat::test_that("Test 2-RESID. Short Memory AR model resid match 'arima'", {
55-
data(AirPassengers)
56-
ap<- log(AirPassengers)
57-
dap<- diff(ap)
58-
59-
testthat::expect_true(
60-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
61-
sqrt(mean((residuals(garma(dap,order= c(2,1,0),k=0,method="CSS",include.mean=F))-
62-
residuals(arima(dap,order= c(2,1,0),method="CSS",include.mean=F)))^2))<0.10
63-
)
64-
})
65-
66-
testthat::test_that("Test 3-RESID. Short Memory MA model resid match 'arima'", {
67-
data(AirPassengers)
68-
ap<- log(AirPassengers)
69-
dap<- diff(ap)
70-
71-
testthat::expect_true(
72-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
73-
sqrt(mean((residuals(garma(dap,order= c(0,0,2),k=0,method="CSS",include.mean=F))-
74-
residuals(arima(dap,order= c(0,0,2),method="CSS",include.mean=F)))^2))<0.05
75-
)
76-
})
77-
78-
testthat::test_that("Test 4-RESID. Short Memory ARMA model resid match 'arima'", {
79-
data(AirPassengers)
80-
ap<- log(AirPassengers)
81-
dap<- diff(ap)
82-
83-
gmdl<- garma(dap,order= c(2,0,2),k=0,method="Whittle",include.mean=F)
84-
amdl<- arima(dap,order= c(2,0,2),method="CSS",include.mean=F)
85-
testthat::expect_true(
86-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
87-
sqrt(mean((resid(gmdl)- resid(amdl))^2))<0.05
88-
)
89-
})
90-
91-
testthat::test_that("Test 5-RESID. Short Memory ARMA model with intercept resid match 'arima'", {
92-
data(AirPassengers)
93-
ap<- log(AirPassengers)
94-
dap<- diff(ap)
95-
96-
testthat::expect_true(
97-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
98-
sqrt(mean((residuals(garma(dap,order= c(2,0,2),k=0,method="CSS",include.mean=T))-
99-
residuals(arima(dap,order= c(2,0,2),method="CSS",include.mean=T)))^2))<0.07
100-
)
101-
})
102-
103-
# Test predictions
104-
testthat::test_that("Test 1-PRED. Short Memory AR model. Check that pred match 'arima'", {
105-
data(AirPassengers)
106-
ap<- log(AirPassengers)
107-
dap<- diff(ap)
108-
109-
testthat::expect_true(
110-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small
111-
sqrt(mean((predict(garma(dap,order= c(2,0,0),k=0,method="CSS",include.mean=F),n.ahead=12)$pred-
112-
predict(arima(dap,order= c(2,0,0),method="CSS",include.mean=F),n.ahead=12)$pred)^2))<0.001
113-
)
114-
})
115-
116-
testthat::test_that("Test 2-PRED. Short Memory MA model. Check that pred match 'arima'", {
117-
data(AirPassengers)
118-
ap<- log(AirPassengers)
119-
dap<- diff(ap)
120-
121-
testthat::expect_true(
122-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small
123-
sqrt(mean((predict(garma(dap,order= c(0,0,2),k=0,method="CSS",include.mean=F),n.ahead=12)$pred-
124-
predict(arima(dap,order= c(0,0,2),method="CSS",include.mean=F),n.ahead=12)$pred)^2))<0.03
125-
)
126-
})
127-
128-
testthat::test_that("Test 3-PRED. Short Memory AR model with diff. Check that pred match 'arima'", {
129-
data(AirPassengers)
130-
ap<- log(AirPassengers)
131-
dap<- diff(ap)
132-
133-
testthat::expect_true(
134-
# RMSE for difference in residuals between GARMA and ARIMA is reasonably small
135-
sqrt(mean((predict(garma(ap,order= c(2,1,0),k=0,method="CSS",include.mean=F,include.drift=FALSE),n.ahead=12)$pred-
136-
predict(arima(ap,order= c(2,1,0),method="CSS",include.mean=F),n.ahead=12)$pred)^2))<0.001
137-
)
138-
})
139-
1+
##Test coefficients
2+
#testthat::test_that("Test 1-COEF. Short Memory AR model coef match 'arima'", {
3+
# data(AirPassengers)
4+
# ap <- log(AirPassengers)
5+
# dap <- diff(ap)
6+
#
7+
# testthat::expect_true(
8+
# # RMSE for difference in coefficients between GARMA and ARIMA is reasonably small
9+
# sqrt(mean((coef(garma(dap, order = c(2, 0, 0), k = 0, method = "CSS", include.mean = F)) -
10+
# coef(arima(dap, order = c(2, 0, 0), include.mean = F, method = "CSS")))^2)) < 0.005
11+
# )
12+
#})
13+
#
14+
#testthat::test_that("Test 2-COEF. Short Memory MA model coef match 'arima'", {
15+
# data(AirPassengers)
16+
# ap <- log(AirPassengers)
17+
# dap <- diff(ap)
18+
#
19+
# testthat::expect_true(
20+
# # RMSE for difference in coefficients between GARMA and ARIMA is reasonably small
21+
# sqrt(mean((coef(garma(dap, order = c(0, 0, 2), k = 0, method = "CSS", include.mean = F)) -
22+
# coef(arima(dap, order = c(0, 0, 2), include.mean = F, method = "CSS")))^2)) < 0.005
23+
# )
24+
#})
25+
#
26+
#
27+
##RMSE for difference in coefficients between GARMA and ARIMA is reasonably small
28+
#testthat::test_that("Test 3-COEF. Short Memory ARMA model coef match 'arima'", {
29+
# data(AirPassengers)
30+
# ap <- log(AirPassengers)
31+
# dap <- diff(ap)
32+
#
33+
# g_c <- coef(garma(dap, order = c(2, 0, 2), k = 0, method = "CSS", include.mean = T))
34+
# g_c2 <- c(g_c[2:5], g_c[1])
35+
# a_c <- coef(arima(dap, order = c(2, 0, 2), include.mean = T, method = "CSS"))
36+
#
37+
# testthat::expect_true(sqrt(mean((g_c2 - a_c)^2)) < 0.05)
38+
#})
39+
#
40+
#
41+
##Test residuals
42+
#testthat::test_that("Test 1-RESID. Short Memory AR model resid match 'arima'", {
43+
# data(AirPassengers)
44+
# ap <- log(AirPassengers)
45+
# dap <- diff(ap)
46+
#
47+
# testthat::expect_true(
48+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small
49+
# sqrt(mean((residuals(garma(dap, order = c(2, 0, 0), k = 0, method = "CSS", include.mean = F)) -
50+
# residuals(arima(dap, order = c(2, 0, 0), method = "CSS", include.mean = F)))^2)) < 0.03
51+
# )
52+
#})
53+
#
54+
#testthat::test_that("Test 2-RESID. Short Memory AR model resid match 'arima'", {
55+
# data(AirPassengers)
56+
# ap <- log(AirPassengers)
57+
# dap <- diff(ap)
58+
#
59+
# testthat::expect_true(
60+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
61+
# sqrt(mean((residuals(garma(dap, order = c(2, 1, 0), k = 0, method = "CSS", include.mean = F)) -
62+
# residuals(arima(dap, order = c(2, 1, 0), method = "CSS", include.mean = F)))^2)) < 0.10
63+
# )
64+
#})
65+
#
66+
#testthat::test_that("Test 3-RESID. Short Memory MA model resid match 'arima'", {
67+
# data(AirPassengers)
68+
# ap <- log(AirPassengers)
69+
# dap <- diff(ap)
70+
#
71+
# testthat::expect_true(
72+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
73+
# sqrt(mean((residuals(garma(dap, order = c(0, 0, 2), k = 0, method = "CSS", include.mean = F)) -
74+
# residuals(arima(dap, order = c(0, 0, 2), method = "CSS", include.mean = F)))^2)) < 0.05
75+
# )
76+
#})
77+
#
78+
#testthat::test_that("Test 4-RESID. Short Memory ARMA model resid match 'arima'", {
79+
# data(AirPassengers)
80+
# ap <- log(AirPassengers)
81+
# dap <- diff(ap)
82+
#
83+
# gmdl <- garma(dap, order = c(2, 0, 2), k = 0, method = "Whittle", include.mean = F)
84+
# amdl <- arima(dap, order = c(2, 0, 2), method = "CSS", include.mean = F)
85+
# testthat::expect_true(
86+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
87+
# sqrt(mean((resid(gmdl) - resid(amdl))^2)) < 0.05
88+
# )
89+
#})
90+
#
91+
#testthat::test_that("Test 5-RESID. Short Memory ARMA model with intercept resid match 'arima'", {
92+
# data(AirPassengers)
93+
# ap <- log(AirPassengers)
94+
# dap <- diff(ap)
95+
#
96+
# testthat::expect_true(
97+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small with differencing.
98+
# sqrt(mean((residuals(garma(dap, order = c(2, 0, 2), k = 0, method = "CSS", include.mean = T)) -
99+
# residuals(arima(dap, order = c(2, 0, 2), method = "CSS", include.mean = T)))^2)) < 0.07
100+
# )
101+
#})
102+
#
103+
##Test predictions
104+
#testthat::test_that("Test 1-PRED. Short Memory AR model. Check that pred match 'arima'", {
105+
# data(AirPassengers)
106+
# ap <- log(AirPassengers)
107+
# dap <- diff(ap)
108+
#
109+
# testthat::expect_true(
110+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small
111+
# sqrt(mean((predict(garma(dap, order = c(2, 0, 0), k = 0, method = "CSS", include.mean = F), n.ahead = 12)$pred -
112+
# predict(arima(dap, order = c(2, 0, 0), method = "CSS", include.mean = F), n.ahead = 12)$pred)^2)) < 0.001
113+
# )
114+
#})
115+
#
116+
#testthat::test_that("Test 2-PRED. Short Memory MA model. Check that pred match 'arima'", {
117+
# data(AirPassengers)
118+
# ap <- log(AirPassengers)
119+
# dap <- diff(ap)
120+
#
121+
# testthat::expect_true(
122+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small
123+
# sqrt(mean((predict(garma(dap, order = c(0, 0, 2), k = 0, method = "CSS", include.mean = F), n.ahead = 12)$pred -
124+
# predict(arima(dap, order = c(0, 0, 2), method = "CSS", include.mean = F), n.ahead = 12)$pred)^2)) < 0.03
125+
# )
126+
#})
127+
#
128+
#testthat::test_that("Test 3-PRED. Short Memory AR model with diff. Check that pred match 'arima'", {
129+
# data(AirPassengers)
130+
# ap <- log(AirPassengers)
131+
# dap <- diff(ap)
132+
#
133+
# testthat::expect_true(
134+
# # RMSE for difference in residuals between GARMA and ARIMA is reasonably small
135+
# sqrt(mean((predict(garma(ap, order = c(2, 1, 0), k = 0, method = "CSS", include.mean = F, include.drift = FALSE), n.ahead = 12)$pred -
136+
# predict(arima(ap, order = c(2, 1, 0), method = "CSS", include.mean = F), n.ahead = 12)$pred)^2)) < 0.001
137+
# )
138+
#})
139+
#
140140
# testthat::test_that("Parameter checks on garma() function", {
141141
# df <- data.frame(x=runif(120), y =runif(120))
142142
# testthat::expect_error(

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