src/ports/postgres/modules/tsa/test/arima_train.sql_in

/* -----------------------------------------------------------------------------
 * ARIMA Install Check.
 * -------------------------------------------------------------------------- */


DROP TABLE IF EXISTS mini_ts;
CREATE TABLE mini_ts(
    id  integer,
    val float8
);

COPY mini_ts(id, val) FROM stdin;
1	100.8
2	81.599999999999994
3	66.5
4	34.799999999999997
5	30.600000000000001
6	7
7	19.800000000000001
8	92.5
9	154.40000000000001
10	125.90000000000001
11	84.799999999999997
12	68.099999999999994
13	38.5
14	22.800000000000001
15	10.199999999999999
16	24.100000000000001
17	82.900000000000006
18	132
19	130.90000000000001
20	118.09999999999999
21	89.900000000000006
22	66.599999999999994
23	60
24	46.899999999999999
25	41
26	21.300000000000001
27	16
28	6.4000000000000004
29	4.0999999999999996
30	6.7999999999999998
31	14.5
32	34
33	45
34	43.100000000000001
35	47.5
36	42.200000000000003
37	28.100000000000001
38	10.1
39	8.0999999999999996
40	2.5
41	0
42	1.3999999999999999
43	5
44	12.199999999999999
45	13.9
46	35.399999999999999
47	45.799999999999997
48	41.100000000000001
49	30.399999999999999
\.

-- TRUE, ARRAY[1,0,1]
drop table if exists tsa_out;
drop table if exists tsa_out_summary;
drop table if exists tsa_out_residual;
select arima_train('mini_ts', 'tsa_out', 'id', 'val', NULL, TRUE, ARRAY[1,0,1]);
select assert(relative_error(ar_params, ARRAY[0.685268276058]) < 1e-2, 'ARIMA: wrong ar_params') from tsa_out;
select assert(relative_error(ar_std_errors, ARRAY[0.103996616127]) < 1e-2, 'ARIMA: wrong ar_std_errors') from tsa_out;
select assert(relative_error(ma_params, ARRAY[0.730629026211]) < 1e-2, 'ARIMA: wrong ma_params') from tsa_out;
select assert(relative_error(ma_std_errors, ARRAY[0.0979481470864]) < 1e-2, 'ARIMA: wrong ma_std_errors') from tsa_out;
select assert(relative_error(mean, 38.6009250545) < 1e-2, 'ARIMA: wrong mean') from tsa_out;
select assert(relative_error(mean_std_error, 13.2499230619) < 1e-2, 'ARIMA: wrong mean_std_errors') from tsa_out;
select assert(relative_error(residual_variance, 281.669418496) < 1e-2, 'ARIMA: wrong residual_variance') from tsa_out_summary;
select assert(relative_error(log_likelihood, -207.725973784) < 1e-2, 'ARIMA: wrong log_likelihood') from tsa_out_summary;

-- FALSE, ARRAY[1,0,1]
drop table if exists tsa_out;
drop table if exists tsa_out_summary;
drop table if exists tsa_out_residual;
select arima_train('mini_ts', 'tsa_out', 'id', 'val', NULL, FALSE, ARRAY[1,0,1]);
select assert(relative_error(ar_params, ARRAY[0.831752901064]) < 1e-2, 'ARIMA: wrong ar_params') from tsa_out;
select assert(relative_error(ar_std_errors, ARRAY[0.0695053543058]) < 1e-2, 'ARIMA: wrong ar_std_errors') from tsa_out;
select assert(relative_error(ma_params, ARRAY[0.701393608306]) < 1e-2, 'ARIMA: wrong ma_params') from tsa_out;
select assert(relative_error(ma_std_errors, ARRAY[0.0969171335486]) < 1e-2, 'ARIMA: wrong ma_std_errors') from tsa_out;
select assert(relative_error(residual_variance, 304.217719576) < 1e-2, 'ARIMA: wrong residual_variance') from tsa_out_summary;
select assert(relative_error(log_likelihood, -209.61270701) < 1e-2, 'ARIMA: wrong log_likelihood') from tsa_out_summary;

-- FALSE, ARRAY[1,1,1]
drop table if exists tsa_out;
drop table if exists tsa_out_summary;
drop table if exists tsa_out_residual;
select arima_train('mini_ts', 'tsa_out', 'id', 'val', NULL, FALSE, ARRAY[1,1,1]);
select assert(relative_error(ar_params, ARRAY[0.16327119476]) < 1e-2, 'ARIMA: wrong ar_params') from tsa_out;
select assert(relative_error(ar_std_errors, ARRAY[0.211608737666]) < 1e-2, 'ARIMA: wrong ar_std_errors') from tsa_out;
select assert(relative_error(ma_params, ARRAY[0.630297255402]) < 1e-2, 'ARIMA: wrong ma_params') from tsa_out;
select assert(relative_error(ma_std_errors, ARRAY[0.163395070851]) < 1e-2, 'ARIMA: wrong ma_std_errors') from tsa_out;
select assert(relative_error(residual_variance, 322.217055379) < 1e-2, 'ARIMA: wrong residual_variance') from tsa_out_summary;
select assert(relative_error(log_likelihood, -206.714459277) < 1e-2, 'ARIMA: wrong log_likelihood') from tsa_out_summary;

-- FALSE, ARRAY[1,0,0]
drop table if exists tsa_out;
drop table if exists tsa_out_summary;
drop table if exists tsa_out_residual;
select arima_train('mini_ts', 'tsa_out', 'id', 'val', NULL, FALSE, ARRAY[1,0,0]);
select assert(relative_error(ar_params, ARRAY[0.90180701677]) < 1e-2, 'ARIMA: wrong ar_params') from tsa_out;
select assert(relative_error(ar_std_errors, ARRAY[0.0524855716423]) < 1e-2, 'ARIMA: wrong ar_std_errors') from tsa_out;
select assert(relative_error(residual_variance, 501.798665305) < 1e-2, 'ARIMA: wrong residual_variance') from tsa_out_summary;
select assert(relative_error(log_likelihood, -221.873862993) < 1e-2, 'ARIMA: wrong log_likelihood') from tsa_out_summary;

-- FALSE, ARRAY[0,0,1]
drop table if exists tsa_out;
drop table if exists tsa_out_summary;
drop table if exists tsa_out_residual;
select arima_train('mini_ts', 'tsa_out', 'id', 'val', NULL, FALSE, ARRAY[0,0,1]);
select assert(relative_error(ma_params, ARRAY[0.794860003635]) < 1e-2, 'ARIMA: wrong ma_params') from tsa_out;
select assert(relative_error(ma_std_errors, ARRAY[0.0625911839965]) < 1e-2, 'ARIMA: wrong ma_std_errors') from tsa_out;
select assert(relative_error(residual_variance, 1436.32174849) < 1e-2, 'ARIMA: wrong residual_variance') from tsa_out_summary;
select assert(relative_error(log_likelihood, -247.639087319) < 1e-2, 'ARIMA: wrong log_likelihood') from tsa_out_summary;