stochastic-rs-stochastic 2.0.0

Stochastic process simulation.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129

//! # Autoregressive
//!
//! $$
//! X_t = f(X_{t-1}, X_{t-2}, \ldots, \varepsilon_t, \varepsilon_{t-1}, \ldots)
//! $$
//!
pub mod agrach;
pub mod ar;
pub mod arch;
pub mod arima;
pub mod drr_garch;
pub mod egarch;
pub mod garch;
pub mod ma;
pub mod sarima;
pub mod tgarch;

#[cfg(test)]
mod tests {
  use ndarray::Array1;

  use super::agrach::Agarch;
  use super::ar::ARp;
  use super::egarch::Egarch;
  use super::garch::Garch;
  use super::sarima::Sarima;
  use super::tgarch::Tgarch;
  use crate::traits::ProcessExt;

  #[test]
  fn ar_rejects_short_initial_state() {
    let result = std::panic::catch_unwind(|| {
      let _ = ARp::<f64>::new(
        Array1::from_vec(vec![0.4, -0.1]),
        0.1,
        16,
        Some(Array1::from_vec(vec![0.0])),
      );
    });
    assert!(result.is_err());
  }

  #[test]
  fn egarch_rejects_mismatched_alpha_gamma_lengths() {
    let result = std::panic::catch_unwind(|| {
      let _ = Egarch::<f64>::new(
        0.0,
        Array1::from_vec(vec![0.1, 0.2]),
        Array1::from_vec(vec![0.1]),
        Array1::from_vec(vec![0.9]),
        32,
      );
    });
    assert!(result.is_err());
  }

  #[test]
  fn tgarch_rejects_mismatched_alpha_gamma_lengths() {
    let result = std::panic::catch_unwind(|| {
      let _ = Tgarch::<f64>::new(
        0.05,
        Array1::from_vec(vec![0.1, 0.05]),
        Array1::from_vec(vec![0.1]),
        Array1::from_vec(vec![0.8]),
        32,
      );
    });
    assert!(result.is_err());
  }

  #[test]
  fn agarch_rejects_mismatched_alpha_delta_lengths() {
    let result = std::panic::catch_unwind(|| {
      let _ = Agarch::<f64>::new(
        0.05,
        Array1::from_vec(vec![0.1, 0.05]),
        Array1::from_vec(vec![0.1]),
        Array1::from_vec(vec![0.8]),
        32,
      );
    });
    assert!(result.is_err());
  }

  #[test]
  fn sarima_rejects_zero_season_length() {
    let result = std::panic::catch_unwind(|| {
      let _ = Sarima::<f64>::new(
        Array1::from_vec(vec![0.3]),
        Array1::from_vec(vec![0.1]),
        Array1::from_vec(vec![0.2]),
        Array1::from_vec(vec![0.1]),
        0,
        1,
        0,
        0.1,
        64,
      );
    });
    assert!(result.is_err());
  }

  #[test]
  fn garch_rejects_non_stationary_parameters_at_sampling() {
    let result = std::panic::catch_unwind(|| {
      let model = Garch::<f64>::new(
        0.05,
        Array1::from_vec(vec![0.7]),
        Array1::from_vec(vec![0.4]),
        128,
      );
      let _ = model.sample();
    });
    assert!(result.is_err());
  }

  #[test]
  fn garch_valid_parameters_produce_finite_sample() {
    let model = Garch::<f64>::new(
      0.05,
      Array1::from_vec(vec![0.08]),
      Array1::from_vec(vec![0.9]),
      256,
    );
    let path = model.sample();
    assert_eq!(path.len(), 256);
    assert!(path.iter().all(|x| x.is_finite()));
  }
}