Diagnose PR118 seasonal causation lags

Author: OVVO-Financial

tests/invariants/test_pr118_debug.py

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+import numpy as np
+
+from nns import nns_causation
+from nns.seasonality import nns_seas
+
+
+def test_pr118_debug_seasonal_lags():
+    t = np.arange(1, 71, dtype=np.float64)
+    x = np.sin(2.0 * np.pi * t / 7.0)
+    y = np.roll(x, 1) + 0.05 * np.cos(t / 3.0)
+    rows = {
+        'period7_x_periods': nns_seas(x, plot=False)['periods'].tolist(),
+        'period7_y_periods': nns_seas(y, plot=False)['periods'].tolist(),
+        'period7_by_tau': {tau: list(nns_causation(x, y, tau=tau).values()) for tau in range(1, 9)},
+    }
+    t2 = np.arange(1, 81, dtype=np.float64)
+    z = [
+        np.sin(2.0 * np.pi * t2 / 5.0),
+        np.sin(2.0 * np.pi * t2 / 6.0 + 0.2),
+        np.sin(2.0 * np.pi * t2 / 7.0 + 0.5),
+    ]
+    rows['matrix_periods'] = [nns_seas(v, plot=False)['periods'].tolist() for v in z]
+    raise AssertionError(repr(rows))