Moved new tests with complex data into a separate file

Author: kagalenko-m-b

test/signalcorr.jl renamed to test/signalcorr_complex.jl

@@ -0,0 +1,136 @@
+# Test corr.jl
+#
+# Many test cases are migrated from test/01.jl in the old version
+# The reference results are generated from R.
+#
+
+using StatsBase
+using Test
+
+# random data for testing
+
+x = [-2.133252557240862    -.7445937365828654;
+       .1775816414485478   -.5834801838041446;
+      -.6264517920318317   -.68444205333293;
+      -.8809042583216906    .9071671734302398;
+       .09251017186697393 -1.0404476733379926;
+      -.9271887119115569   -.620728578941385;
+      3.355819743178915    -.8325051361909978;
+      -.2834039258495755   -.22394811874731657;
+       .5354280026977677    .7481337671592626;
+       .39182285417742585   .3085762550821047]
+
+x1 = view(x, :, 1)
+x2 = view(x, :, 2)
+realx = convert(AbstractMatrix{Real}, x)
+realx1 = convert(AbstractVector{Real}, x1)
+realx2 = convert(AbstractVector{Real}, x2)
+
+# autocov & autocorr
+
+@test autocov([1:5;])          ≈ [2.0, 0.8, -0.2, -0.8, -0.8]
+@test autocor([1, 2, 3, 4, 5]) ≈ [1.0, 0.4, -0.1, -0.4, -0.4]
+
+racovx1 =  [1.839214242630635709475,
+           -0.406784553146903871124,
+            0.421772254824993531042,
+            0.035874943792884653182,
+           -0.255679775928512320604,
+            0.231154400105831353551,
+           -0.787016960267425180753,
+            0.039909287349160660341,
+           -0.110149697877911914579,
+           -0.088687020167434751916]
+
+@test autocov(x1) ≈ racovx1
+@test autocov(realx1) ≈ racovx1
+@test autocov(x)  ≈ [autocov(x1) autocov(x2)]
+@test autocov(realx)  ≈ [autocov(realx1) autocov(realx2)]
+
+racorx1 = [0.999999999999999888978,
+          -0.221173011668873431557,
+           0.229321981664153962122,
+           0.019505581764945757045,
+          -0.139015765538446717242,
+           0.125681062460244019618,
+          -0.427909344123907742219,
+           0.021699096507690283225,
+          -0.059889541590524189574,
+          -0.048220059475281865091]
+
+@test autocor(x1) ≈ racorx1
+@test autocor(realx1) ≈ racorx1
+@test autocor(x)  ≈ [autocor(x1) autocor(x2)]
+@test autocor(realx)  ≈ [autocor(realx1) autocor(realx2)]
+
+
+# crosscov & crosscor
+
+rcov0 = [0.320000000000000006661,
+        -0.319999999999999951150,
+         0.080000000000000029421,
+        -0.479999999999999982236,
+         0.000000000000000000000,
+         0.479999999999999982236,
+        -0.080000000000000029421,
+         0.319999999999999951150,
+        -0.320000000000000006661]
+
+@test crosscov([1, 2, 3, 4, 5], [1, -1, 1, -1, 1]) ≈ rcov0
+@test crosscov([1:5;], [1:5;]) ≈ [-0.8, -0.8, -0.2, 0.8, 2.0, 0.8, -0.2, -0.8, -0.8]
+
+c11 = crosscov(x1, x1)
+c12 = crosscov(x1, x2)
+c21 = crosscov(x2, x1)
+c22 = crosscov(x2, x2)
+@test crosscov(realx1, realx2) ≈ c12
+
+@test crosscov(x,  x1) ≈ [c11 c21]
+@test crosscov(realx, realx1) ≈ [c11 c21]
+@test crosscov(x1, x)  ≈ [c11 c12]
+@test crosscov(realx1, realx)  ≈ [c11 c12]
+@test crosscov(x,  x)  ≈ cat([c11 c21], [c12 c22], dims=3)
+@test crosscov(realx,  realx)  ≈ cat([c11 c21], [c12 c22], dims=3)
+
+rcor0 = [0.230940107675850,
+        -0.230940107675850,
+         0.057735026918963,
+        -0.346410161513775,
+         0.000000000000000,
+         0.346410161513775,
+        -0.057735026918963,
+         0.230940107675850,
+        -0.230940107675850]
+
+@test crosscor([1, 2, 3, 4, 5], [1, -1, 1, -1, 1]) ≈ rcor0
+@test crosscor([1:5;], [1:5;]) ≈ [-0.4, -0.4, -0.1, 0.4, 1.0, 0.4, -0.1, -0.4, -0.4]
+
+c11 = crosscor(x1, x1)
+c12 = crosscor(x1, x2)
+c21 = crosscor(x2, x1)
+c22 = crosscor(x2, x2)
+@test crosscor(realx1, realx2) ≈ c12
+
+@test crosscor(x,  x1) ≈ [c11 c21]
+@test crosscor(realx, realx1) ≈ [c11 c21]
+@test crosscor(x1, x)  ≈ [c11 c12]
+@test crosscor(realx1, realx)  ≈ [c11 c12]
+@test crosscor(x,  x)  ≈ cat([c11 c21], [c12 c22], dims=3)
+@test crosscor(realx, realx)  ≈ cat([c11 c21], [c12 c22], dims=3)
+
+
+## pacf
+
+rpacfr =  [-0.218158122381419,
+            0.195015316828711,
+            0.144315804606139,
+           -0.199791229449779]
+
+@test pacf(x[:,1], 1:4) ≈ rpacfr
+
+rpacfy = [-0.221173011668873,
+           0.189683314308021,
+           0.111857020733719,
+          -0.175020669835420]
+
+@test pacf(x[:,1], 1:4, method=:yulewalker) ≈ rpacfy