tradestats 0.1.14

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/// ADF T Statistic
/// Calculates the T-Statistic for ADF
pub fn calculate_adf_test_statistic(residuals: Vec<f64>, residuals_diff: Vec<f64>) -> Result<f64, String> {

  let x: &[f64] = &residuals[..residuals.len() - 1];
  let y: &[f64] = &residuals_diff[..];

  let x_bar: f64 = x.iter().sum::<f64>() / x.len() as f64;
  let y_bar: f64 = y.iter().sum::<f64>() / y.len() as f64;

  let beta_hat_num: f64 = x.iter().zip(y.iter()).map(|(&x, &y)| (x - x_bar) * (y - y_bar)).sum::<f64>();
  let beta_hat_denom: f64 = x.iter().map(|&x| (x - x_bar).powi(2)).sum::<f64>();
  let beta_hat: f64 = beta_hat_num / beta_hat_denom;

  let alpha_hat: f64 = y_bar - beta_hat * x_bar;

  let y_hat: Vec<f64> = x.iter().map(|&x| alpha_hat + beta_hat * x).collect();
  let sse: f64 = y.iter().zip(y_hat.iter()).map(|(&y, &yh)| (y - yh).powi(2)).sum::<f64>();

  let se_beta_hat_denom: f64 = (y.len() - 2) as f64 * x.iter().map(|&x| (x - x_bar).powi(2)).sum::<f64>();
  let se_beta_hat: f64 = (sse / se_beta_hat_denom).sqrt();
  let adf_stat: f64 = beta_hat / se_beta_hat;
  Ok(adf_stat)
}