def test_harch(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion_python(parameters, resids, sigma2, lags, T,
backcast, self.var_bounds)
sigma2_python = sigma2.copy()
recpy.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
sigma2_numba = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
def test_harch(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion_python(parameters, resids, sigma2, lags, T,
backcast, self.var_bounds)
sigma2_python = sigma2.copy()
recpy.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
sigma2_numba = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
def test_harch(self):
nobs, resids = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([0.1, 0.4, 0.3, 0.2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion_python(
parameters, resids, sigma2, lags, nobs, backcast, self.var_bounds
)
sigma2_python = sigma2.copy()
recpy.harch_recursion(
parameters, resids, sigma2, lags, nobs, backcast, self.var_bounds
)
sigma2_numba = sigma2.copy()
rec.harch_recursion(
parameters, resids, sigma2, lags, nobs, backcast, self.var_bounds
)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([-0.1, -0.4, 0.3, 0.2])
recpy.harch_recursion_python(
parameters, resids, sigma2, lags, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([0.1, 4e8, 3, 2])
recpy.harch_recursion_python(
parameters, resids, sigma2, lags, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([0.1, 4e8, 3, 2])
mod_resids = resids.copy()
mod_resids[:10] = np.inf
recpy.harch_recursion_python(
parameters, mod_resids, sigma2, lags, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.harch_recursion(
parameters, mod_resids, sigma2, lags, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_harch(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion_python(parameters, resids, sigma2, lags, nobs,
backcast, self.var_bounds)
sigma2_python = sigma2.copy()
recpy.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
sigma2_numba = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([-.1, -.4, .3, .2])
recpy.harch_recursion_python(parameters, resids, sigma2, lags, nobs,
backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, 4e8, 3, 2])
recpy.harch_recursion_python(parameters, resids, sigma2, lags, nobs,
backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, 4e8, 3, 2])
mod_resids = resids.copy()
mod_resids[:10] = np.inf
recpy.harch_recursion_python(parameters, mod_resids, sigma2, lags, nobs,
backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.harch_recursion(parameters, mod_resids, sigma2, lags, nobs, backcast,
self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
