test_package.R

In SMAC-Group/mgmwm: Multisignal GMWM

library(simts)
library(imudata)
library(wv)

n1 = 100000
n2 = 500000
n3 = 100000

model1 = AR1(.995, sigma2 = 1e-6) + WN(.005) + RW (1e-7)
model2 = AR1(.3, sigma2 = 1e-7) + WN(.005) + RW (1e-7)
modelg = 3*AR1() + WN() + RW ()

wv_theo(modelg, 2^(1:10))
Wt =  gen_gts(n3, model1)
Xt =  gen_gts(n1, model1)
Yt =  gen_gts(n2, model1)
Zt =  gen_gts(n3, model1)


mimu = make_mimu(Wt ,Xt, Yt, Zt, freq = 100, unit = "s",
         sensor.name = "MTiG - Gyro. X", exp.name = c("today", "yesterday", "a few days ago"))

start_time <- Sys.time()
test_mgmwm1 = mgmwm(mimu, WN(), CI = T, stationarity_test = F, B_stationarity_test = 30,
                    alpha_ci = NULL, alpha_near_test = NULL, seed = 2710, n_boot_ci_max = 300)
end_time <- Sys.time()

end_time - start_time

plot(test_mgmwm1, decomp = T)

test_mgmwm2 = mgmwm(test_mgmwm1, model = 2*AR1(), CI = FALSE, stationarity_test = FALSE, B_stationarity_test = NULL,
                    alpha_ci = NULL, alpha_near_test = NULL, seed = 2710, n_boot_ci_max = 300)

plot(test_mgmwm2, decomp = T)


# Resutlat du test
start_time <- Sys.time()
test_model_selection = model_selection(mimu, modelg, s_est = NULL,
                                       alpha_ci_cvwvic = NULL, seed = 2710, b_ci_wvic = 500)
end_time <- Sys.time()

end_time - start_time

plot(test_model_selection, type = "wvic_all")



ci_test_model_select = ci_mgmwm(test_model_selection)

ci_test_model_select$ci_low - ci_test_optim1$ci_low