DickeyFuller.js

class Line {
    constructor(m, c) {
        this.m = m;
        this.c = c
    }

    apply(x) {
        return this.m * x + this.c;
    }

    invert(y) {
        return this.m != 0 ? (y - this.c) / this.m : 0;
    }
}

class LeastSquares {

    constructor(n, sumX, sumY, sumXY, sumXX) {
        this.n = n || 0;
        this.sumX = sumX || 0;
        this.sumY = sumY || 0;
        this.sumXY = sumXY || 0;
        this.sumXX = sumXX || 0;
    }

    line() {
        if(n == 0) throw "No data point added.";
        const m = (this.sumXY - (this.sumX * this.sumY) / this.n) / (this.sumXX - (this.sumX * this.sumX) / n);
        const c = (this.sumY - m * this.sumX) / n;
        return new Line(m, c);
    }

    add(x, y) {
        return new LeastSquares (
            this.n + 1,
            this.sumX + x,
            this.sumY + y,
            this.sumXY + x*y,
            this.sumXX + x * x
        );
    }
}

class DickeyFuller {
    constructor(n, yprev, linearmodel, drift, trend) {
        this.n = n || 0;
        this.yprev = yprev || 0;
        this.linearmodel = linearmodel || new LeastSquares();
        this.drift = drift || 0;
        this.trend = trend || 0;
    }

    add(y) {
        if(n == 0) return new DickeyFuller(
            1, 
            y, 
            this.linearmodel, 
            this.drift, 
            this.trend);

        else new DickeyFuller(
            this.n + 1, 
            y, 
            this.linearmodel.add(this.yprev, y - this.yprev), 
            this.drift, 
            this.trend);
    }

    predict() {
        return this.linearmodel.line().m == 0;
    }
}