Variance Ratio Test

variance_ratio.py

import numpy as np

def variance_ratio(ts, lag = 2):
    """
    Returns the variance ratio test result
    """
    # make sure we are working with an array, convert if necessary
    ts = np.asarray(ts)
    
    # Apply the formula to calculate the test
    n = len(ts)
    mu  = sum(ts[1:n]-ts[:n-1])/n;
    m=(n-lag+1)*(1-lag/n);
    b=sum(np.square(ts[1:n]-ts[:n-1]-mu))/(n-1)
    t=sum(np.square(ts[lag:n]-ts[:n-lag]-lag*mu))/m
    return t/(lag*b);