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/*
* Copyright Nick Thompson, 2019
* Use, modification and distribution are subject to the
* Boost Software License, Version 1.0. (See accompanying file
* LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
*/
#include "math_unit_test.hpp"
#include <numeric>
#include <utility>
#include <random>
#include <boost/math/statistics/ljung_box.hpp>
using boost::math::statistics::ljung_box;
template<class Real>
void test_trivial()
{
// Validate in R:
// > v <- c(1,2)
// > Box.test(v, lag=1, "Ljung")
// Box-Ljung test
// data: v
// X-squared = 2, df = 1, p-value = 0.1573
std::vector<Real> v{1,2};
double expected_statistic = 2;
double expected_pvalue = 0.15729920705028455;
auto [computed_statistic, computed_pvalue] = ljung_box(v, 1);
CHECK_ULP_CLOSE(expected_statistic, computed_statistic, 10);
CHECK_ULP_CLOSE(expected_pvalue, computed_pvalue, 30);
}
void test_agreement_with_mathematica()
{
std::vector<double> v{0.7739928761039216,-0.4468259278452086,0.98287381303903,-0.3943029116201079,0.6569015496559457};
double expected_statistic = 10.2076093223439;
double expected_pvalue = 0.00607359458123835072;
auto [computed_statistic, computed_pvalue] = ljung_box(v);
CHECK_ULP_CLOSE(expected_statistic, computed_statistic, 3);
CHECK_ULP_CLOSE(expected_pvalue, computed_pvalue, 3);
}
int main()
{
test_trivial<double>();
test_agreement_with_mathematica();
return boost::math::test::report_errors();
}
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