libs/math/test/ljung_box_test.cpp

   1 /*
   2  * Copyright Nick Thompson, 2019
   3  * Use, modification and distribution are subject to the
   4  * Boost Software License, Version 1.0. (See accompanying file
   5  * LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
   6  */
   7
   8 #include "math_unit_test.hpp"
   9 #include <numeric>
  10 #include <utility>
  11 #include <random>
  12 #include <boost/math/statistics/ljung_box.hpp>
  13
  14 using boost::math::statistics::ljung_box;
  15
  16 template<class Real>
  17 void test_trivial()
  18 {
  19
  20   // Validate in R:
  21   // > v <- c(1,2)
  22   // > Box.test(v, lag=1, "Ljung")
  23   //    Box-Ljung test
  24   // data:  v
  25   // X-squared = 2, df = 1, p-value = 0.1573
  26
  27   std::vector<Real> v{1,2};
  28
  29   double expected_statistic = 2;
  30   double expected_pvalue = 0.15729920705028455;
  31
  32   auto [computed_statistic, computed_pvalue] = ljung_box(v, 1);
  33   CHECK_ULP_CLOSE(expected_statistic, computed_statistic, 10);
  34   CHECK_ULP_CLOSE(expected_pvalue, computed_pvalue, 30);
  35 }
  36
  37
  38 void test_agreement_with_mathematica()
  39 {
  40   std::vector<double> v{0.7739928761039216,-0.4468259278452086,0.98287381303903,-0.3943029116201079,0.6569015496559457};
  41   double expected_statistic = 10.2076093223439;
  42   double expected_pvalue = 0.00607359458123835072;
  43
  44   auto [computed_statistic, computed_pvalue] = ljung_box(v);
  45   CHECK_ULP_CLOSE(expected_statistic, computed_statistic, 3);
  46   CHECK_ULP_CLOSE(expected_pvalue, computed_pvalue, 3);
  47 }
  48
  49 int main()
  50 {
  51     test_trivial<double>();
  52     test_agreement_with_mathematica();
  53     return boost::math::test::report_errors();
  54 }