/* movstat/test_variance.c * * Copyright (C) 2018 Patrick Alken * * This program is free software; you can redistribute it and/or modify * it under the terms of the GNU General Public License as published by * the Free Software Foundation; either version 3 of the License, or (at * your option) any later version. * * This program is distributed in the hope that it will be useful, but * WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU * General Public License for more details. * * You should have received a copy of the GNU General Public License * along with this program; if not, write to the Free Software * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA. */ #include #include #include #include #include /* compute moving variance by explicitely constructing window and computing variance */ int slow_movvar(const gsl_movstat_end_t etype, const gsl_vector * x, gsl_vector * y, const int H, const int J) { const size_t n = x->size; const int K = H + J + 1; double *window = malloc(K * sizeof(double)); size_t i; for (i = 0; i < n; ++i) { size_t wsize = gsl_movstat_fill(etype, x, i, H, J, window); double variance = (wsize > 1) ? gsl_stats_variance(window, 1, wsize) : 0.0; gsl_vector_set(y, i, variance); } free(window); return GSL_SUCCESS; } /* compute moving variance by explicitely constructing window and computing variance */ int slow_movsd(const gsl_movstat_end_t etype, const gsl_vector * x, gsl_vector * y, const int H, const int J) { const size_t n = x->size; const int K = H + J + 1; double *window = malloc(K * sizeof(double)); size_t i; for (i = 0; i < n; ++i) { size_t wsize = gsl_movstat_fill(etype, x, i, H, J, window); double sd = (wsize > 1) ? gsl_stats_sd(window, 1, wsize) : 0.0; gsl_vector_set(y, i, sd); } free(window); return GSL_SUCCESS; } static double func_var(const size_t n, double x[], void * params) { (void) params; if (n > 1) return gsl_stats_variance(x, 1, n); else return 0.0; } static double func_sd(const size_t n, double x[], void * params) { (void) params; if (n > 1) return gsl_stats_sd(x, 1, n); else return 0.0; } static void test_variance_proc(const double tol, const size_t n, const size_t H, const size_t J, const gsl_movstat_end_t etype, gsl_rng * rng_p) { gsl_movstat_workspace * w = gsl_movstat_alloc2(H, J); gsl_vector * x = gsl_vector_alloc(n); gsl_vector * y = gsl_vector_alloc(n); gsl_vector * z = gsl_vector_alloc(n); gsl_movstat_function F1, F2; char buf[2048]; F1.function = func_var; F1.params = NULL; F2.function = func_sd; F2.params = NULL; random_vector(x, rng_p); /* test variance */ /* y = variance(x) with slow brute force method */ slow_movvar(etype, x, y, H, J); /* y = variance(x) with fast method */ gsl_movstat_variance(etype, x, z, w); /* test y = z */ sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u variance random", n, H, J, etype); compare_vectors(tol, z, y, buf); /* z = variance(x) in-place */ gsl_vector_memcpy(z, x); gsl_movstat_variance(etype, z, z, w); sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u variance random in-place", n, H, J, etype); compare_vectors(tol, z, y, buf); /* z = variance(x) with user-defined function */ gsl_movstat_apply(etype, &F1, x, z, w); sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u variance user", n, H, J, etype); compare_vectors(tol, z, y, buf); /* test standard deviation */ /* y = stddev(x) with slow brute force method */ slow_movsd(etype, x, y, H, J); /* y = stddev(x) with fast method */ gsl_movstat_sd(etype, x, z, w); /* test y = z */ sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u stddev random", n, H, J, etype); compare_vectors(tol, z, y, buf); /* z = stddev(x) in-place */ gsl_vector_memcpy(z, x); gsl_movstat_sd(etype, z, z, w); sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u stddev random in-place", n, H, J, etype); compare_vectors(tol, z, y, buf); /* z = stddev(x) with user-defined function */ gsl_movstat_apply(etype, &F2, x, z, w); sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u stddev user", n, H, J, etype); compare_vectors(tol, z, y, buf); gsl_movstat_free(w); gsl_vector_free(x); gsl_vector_free(y); gsl_vector_free(z); } static void test_variance(gsl_rng * rng_p) { const double eps = 1.0e-10; test_variance_proc(eps, 1000, 0, 0, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 1000, 3, 3, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 1000, 0, 5, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 1000, 5, 0, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 2000, 10, 5, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 2000, 5, 10, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 20, 50, 50, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 20, 10, 50, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 20, 50, 10, GSL_MOVSTAT_END_PADZERO, rng_p); test_variance_proc(eps, 1000, 0, 0, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 1000, 3, 3, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 1000, 1, 5, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 1000, 5, 1, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 2000, 10, 5, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 2000, 5, 10, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 20, 50, 50, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 20, 10, 50, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 20, 50, 10, GSL_MOVSTAT_END_PADVALUE, rng_p); test_variance_proc(eps, 1000, 0, 0, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 1000, 3, 3, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 1000, 0, 5, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 1000, 5, 0, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 2000, 10, 5, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 2000, 5, 10, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 20, 50, 50, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 20, 10, 50, GSL_MOVSTAT_END_TRUNCATE, rng_p); test_variance_proc(eps, 20, 50, 10, GSL_MOVSTAT_END_TRUNCATE, rng_p); }