moving-average-arima/test.js

ARIMA, SARIMA, SARIMAX and AutoARIMA models for time series analysis and forecasting

const ARIMA = require('.')
var test = require('tape')

function mse (yt, yp) {
  return yt.reduce((a, v, i) => a + Math.pow(v - yp[i], 2) / yt.length, 0)
}

function rmse (yt, yp) {
  return Math.sqrt(mse(yt, yp))
}

function uniq (arr) {
  const uniq = []
  arr.forEach(v => {
    if (!uniq.includes(v)) {
      uniq.push(v)
    }
  })
  return uniq
}

test('Old API', (_) => {
  const ts = [112,118,132,129,121,135,148,148,136,119,104,118,115,126,141,135,125,149,170,170,158,133,114,140,145,150,178,163,172,178,199,199,184,162,146,166,171,180,193,181,183,218,230,242,209,191,172,194,196,196,236,235,229,243,264,272,237,211,180,201,204,188,235,227,234,264,302,293,259,229,203,229,242,233,267,269,270,315,364,347,312,274,237,278,284,277,317,313,318,374,413,405,355,306,271,306,315,301,356,348,355,422,465,467,404,347,305,336,340,318,362,348,363,435,491,505,404,359,310,337,360,342,406,396,420,472,548,559,463,407,362,405]
  const tstest = [417,391,419,461,472,535,622,606,508,461,390,432]
  const N = 50
  const [pred, errors] = ARIMA(ts, tstest.length, {
    p: 0,
    d: 1,
    q: 1,
    P: 0,
    D: 1,
    Q: 1,
    s: 12,
    verbose: false
  })
  const loss = rmse(pred, tstest)
  _.true(loss < 22)
  _.end()
})

test('SARIMA', (_) => {
  const ts = [112,118,132,129,121,135,148,148,136,119,104,118,115,126,141,135,125,149,170,170,158,133,114,140,145,150,178,163,172,178,199,199,184,162,146,166,171,180,193,181,183,218,230,242,209,191,172,194,196,196,236,235,229,243,264,272,237,211,180,201,204,188,235,227,234,264,302,293,259,229,203,229,242,233,267,269,270,315,364,347,312,274,237,278,284,277,317,313,318,374,413,405,355,306,271,306,315,301,356,348,355,422,465,467,404,347,305,336,340,318,362,348,363,435,491,505,404,359,310,337,360,342,406,396,420,472,548,559,463,407,362,405]
  const tstest = [417,391,419,461,472,535,622,606,508,461,390,432]
  const N = 50
  const losses = []
  for (let i = 0; i < N; i++) {
    const arima = new ARIMA({
      p: 0,
      d: 1,
      q: 1,
      P: 0,
      D: 1,
      Q: 1,
      s: 12,
      verbose: false
    })
    arima.fit(ts)
    const res = arima.predict(12)
    losses.push(rmse(res[0], tstest))
  }

  const ul = uniq(losses)
  _.equal(ul.length, 1)
  _.true(Math.max(...ul) < 22)
  _.end()
})

test('AutoARIMA', (_) => {
  const ts = [16.9969, 16.5969, 16.3012, 16.1018, 17.0998, 16.8997, 16.8002, 17.4001, 17.0998, 16.9996, 16.6991, 17.3993, 17.2002, 17.4013, 17.4029, 17.0015, 17.2965, 17.1966, 17.4013, 16.802, 17.1, 17.3995, 17.3995, 17.5008, 17.3998, 17.6, 17.4, 17.3, 17, 17.8, 17.5, 18.1, 17.5, 17.4, 17.4, 17.1, 17.6, 17.7, 17.4, 17.8, 17.6, 17.5, 16.5, 17.8, 17.3, 17.3, 17.1, 17.4, 16.9, 17.3, 17.6, 16.9, 16.7, 16.8, 16.8, 17.2, 16.8, 17.6, 17.2, 16.6, 17.1, 16.9, 16.6, 18, 17.2, 17.3, 17, 16.9, 17.3, 16.8, 17.3, 17.4, 17.7, 16.8, 16.9, 17, 16.9, 17, 16.6, 16.7, 16.8, 16.7, 16.4, 16.5, 16.4, 16.6, 16.5, 16.7, 16.4, 16.4, 16.2, 16.4, 16.3, 16.4, 17, 16.9, 17.1, 17.1, 16.7, 16.9, 16.5, 17.2, 16.4, 17, 17, 16.7, 16.2, 16.6, 16.9, 16.5, 16.6, 16.6, 17, 17.1, 17.1, 16.7, 16.8, 16.3, 16.6, 16.8, 16.9, 17.1, 16.8, 17, 17.2, 17.3, 17.2, 17.3, 17.2, 17.2, 17.5, 16.9, 16.9, 16.9, 17.0001, 16.4999, 16.6996, 16.8001, 16.7013, 16.6985, 16.6005, 16.5, 17, 16.7, 16.7, 16.9, 17.4, 17.1, 17, 16.8, 17.2, 17.2, 17.4, 17.2, 16.9, 16.8, 17, 17.4, 17.2, 17.2, 17.1, 17.1, 17.1, 17.4, 17.2, 16.9, 16.9, 17, 16.7, 16.9, 17.3, 17.8, 17.8, 17.6, 17.5, 17, 16.8999, 17.1, 17.2002, 17.3998, 17.5001, 17.9, 17, 17, 17, 17.2, 17.3, 17.4]
  const tstest = [17.4, 17.4, 17.0001, 18.0001, 18.2001, 17.5999, 17.7996, 17.6992, 17.2002, 17.4027]
  const N = 10
  const losses = []
  for (let i = 0; i < N; i++) {
    const arima = new ARIMA({
      auto: true,
      verbose: false,
      search: 0,
      aproximation: 0
    })
    arima.fit(ts)
    const res = arima.predict(10)
    losses.push(rmse(res[0], tstest))
  }

  const ul = uniq(losses)
  _.equal(ul.length, 1)
  _.true(Math.max(...ul) < 1)
  _.end()
})

test('SARIMAX with 2 exogenous variables', (_) => {
  const N = 30
  const f = (a, b) => a * 2 + b * 5
  const losses = []
  for (let i = 0; i < N; i++) {
    const exog = Array(30).fill(0).map(x => [Math.random(), Math.random()])
    const exognew = Array(10).fill(0).map(x => [Math.random(), Math.random()])
    const ts = exog.map(x => f(x[0], x[1]) + Math.random() / 5)
    for (let j = 0; j < 10; j++) {
      const arima = new ARIMA({
        p: 1,
        d: 0,
        q: 1,
        transpose: true,
        verbose: false
      })
      arima.fit(ts, exog)
      const res = arima.predict(10, exognew)
      const ytrue = exognew.map(x => f(x[0], x[1]))
      const ypred = res[0]
      losses.push(rmse(ytrue, ypred))
    }
  }

  const ul = uniq(losses)
  _.equal(ul.length, N)
  _.true(Math.max(...ul) < 2)
  _.end()
})