def exampletest():
from scikits.statsmodels.sandbox import tsa
arrep = tsa.arma_impulse_response(res_armarep.ma, res_armarep.ar, nobs=21)[1:]
marep = tsa.arma_impulse_response(res_armarep.ar, res_armarep.ma, nobs=21)[1:]
assert_array_almost_equal(res_armarep.marep.ravel(), marep, 14)
#difference in sign convention to matlab for AR term
assert_array_almost_equal(-res_armarep.arrep.ravel(), arrep, 14)
def exampletest():
from scikits.statsmodels.sandbox import tsa
arrep = tsa.arma_impulse_response(res_armarep.ma, res_armarep.ar,
nobs=21)[1:]
marep = tsa.arma_impulse_response(res_armarep.ar, res_armarep.ma,
nobs=21)[1:]
assert_array_almost_equal(res_armarep.marep.ravel(), marep, 14)
#difference in sign convention to matlab for AR term
assert_array_almost_equal(-res_armarep.arrep.ravel(), arrep, 14)
def msear_err(arma, ar_des):
ar, ma = np.r_[1, arma[:p-1]], np.r_[1, arma[p-1:]]
ar_approx = tsa.arma_impulse_response(ma, ar, n)
## print ar,ma
## print ar_des.shape, ar_approx.shape
## print ar_des
## print ar_approx
return (ar_des - ar_approx) #((ar - ar_approx)**2).sum()
def test_arma_impulse_response():
arrep = tsa.arma_impulse_response(armarep.ma, armarep.ar, nobs=21)[1:]
marep = tsa.arma_impulse_response(armarep.ar, armarep.ma, nobs=21)[1:]
assert_array_almost_equal(armarep.marep.ravel(), marep, 14)
#difference in sign convention to matlab for AR term
assert_array_almost_equal(-armarep.arrep.ravel(), arrep, 14)
def test_fi():
#test identity of ma and ar representation of fi lag polynomial
n = 100
mafromar = tsa.arma_impulse_response(lpol_fiar(0.4, n=n), [1], n)
assert_array_almost_equal(mafromar, lpol_fima(0.4, n=n), 13)
-0.00410998, -0.00383598, -0.00359188, -0.00337324, -0.00317647,
-0.00299859, -0.00283712, -0.00269001, -0.00255551, -0.00243214,
-0.00231864])
>>> # verified for points [[5,10,20,25]] at 4 decimals with Bhardwaj, Swanson, Journal of Eonometrics 2006
'''
print lpol_fiar(0.4, n=20)
print lpol_fima(-0.4, n=20)
print np.sum((lpol_fima(-0.4, n=n)[1:] + riinv[1:])**2) #different signs
print np.sum((lpol_fiar(0.4, n=n)[1:] - riinv[1:])**2) #corrected signs
test_fi()
ar_true = [1, -0.4]
ma_true = [1, 0.5]
ar_desired = tsa.arma_impulse_response(ma_true, ar_true)
ar_app, ma_app, res = ar2arma(ar_desired, 2,1, n=100, mse='ar', start = [0.1])
print ar_app, ma_app
ar_app, ma_app, res = ar2arma(ar_desired, 2,2, n=100, mse='ar', start = [-0.1, 0.1])
print ar_app, ma_app
ar_app, ma_app, res = ar2arma(ar_desired, 2,3, n=100, mse='ar')#, start = [-0.1, 0.1])
print ar_app, ma_app
slow = 0
if slow:
ar_desired = lpol_fiar(0.4, n=100)
ar_app, ma_app, res = ar2arma(ar_desired, (3,1), n=100, mse='ar')#, start = [-0.1, 0.1])
print ar_app, ma_app
ar_app, ma_app, res = ar2arma(ar_desired, (10,10), n=100, mse='ar')#, start = [-0.1, 0.1])
print ar_app, ma_app
