Review changes

Author: iagochavarry

src/StateSpaceModels.jl

@@ -22,8 +22,8 @@ include("datasets.jl")
 include("hyperparameters.jl")
 include("systems.jl")
 include("kalman_filter_and_smoother.jl")
-include("kpss.jl") # For auto_arima
-include("canova_hensen.jl") # For auto_arima
+include("statistical_tests/kpss.jl")
+include("statistical_tests/canova_hensen.jl")
 include("filters/univariate_kalman_filter.jl")
 include("filters/multivariate_kalman_filter.jl")
 include("filters/scalar_kalman_filter.jl")

src/canova_hensen.jl renamed to src/statistical_tests/canova_hensen.jl

@@ -14,11 +14,7 @@
 const CRIT_VALS_05 = [0.470, 0.749, 1.01, 1.24, 1.47, 1.68, 1.9, 2.11, 2.32, 2.54, 2.75, 2.96]
 
 function crit_val_05_generalized_von_mises_distribution(s::Int)
-    if s > 12
-        return 0.269*s^0.928
-    else
-        return CRIT_VALS_05[s]
-    end
+    return s > 12 ? 0.269 * s^0.928 : CRIT_VALS_05[s]
 end
 
 function π_statistic(ε::Vector{Fl}, σ::Fl, T::Int) where Fl
@@ -38,25 +34,33 @@ function std_statistic(ε::Vector{Fl}, σ::Fl, T::Int, s::Int, j::Int) where Fl
 end
 
 function test_statistic(ε::Vector{Fl}, σ::Fl, T::Int, s::Int) where Fl
-    # TODO we know this size a priori
-    ω = Fl[]
-    for j = 1:floor(Int, s/2) #check
-        ω_j = j == s/2 ? π_statistic(ε, σ, T) : std_statistic(ε, σ, T, s, j)
-        push!(ω, ω_j)
+    # joint statistical test for all frequencies in 
+    # trigonometric pattern
+    ω = 0
+    # for each frequency in the trigonometric pattern
+    for j = 1:floor(Int, s/2)
+        ω += j == s/2 ? π_statistic(ε, σ, T) : std_statistic(ε, σ, T, s, j)
     end
-    return sum(ω)
+    return ω
 end
 
 function build_std(T::Int, s::Int, j::Int)
+    # add cossine and sine with frequency (2*pi*j)/s
+    # to exogenous matrix X
     return hcat(cos.(λ(j, s)*(1:T)), sin.(λ(j, s)*(1:T)))
 end
 
 function build_π(T::Int, s::Int, j::Int)
+    # when j = s/2
+    # add cossine with frequency pi and intercept
+    # to exogenous matrix X
     return hcat(cos.(λ(j, s)*(1:T)), ones(T))
 end
 
 function build_X(s::Int, T::Int, Fl::Type)
+    # create the exogenous matrix 
     X = Array{Fl, 2}(undef, T, s)
+    # for each frequency in the trigonometric pattern
     for j = 1:floor(Int, s/2)
         X[:,[2*j-1, 2*j]] = j == s/2 ? build_π(T, s, j) : build_std(T, s, j)
     end
@@ -77,7 +81,7 @@ function seasonal_stationarity_test(y::Vector{Fl}, s::Int) where Fl
     res = ω - crit_val
     res > 0 ? println("Rejected seasonal stationarity at 5% significance level"*
             " Test Statistic: $ω - Critical Value: $crit_val") :
-              println("Didn't rejected seasonal stationarity at 5% significance level"*
+              println("Didn't reject seasonal stationarity at 5% significance level"*
             " Test Statistic: $ω - Critical Value: $crit_val")
     return res > 0 ? false : true
 end