def test_tol_memory(d, tol_memory):
fracdiff = Fracdiff(d, window=None, tol_memory=tol_memory)
try:
fracdiff.transform(X)
window = fracdiff.window_
if d > 1:
d -= floor(d)
assert abs(lost_memory(d, window)) < abs(tol_memory)
except RuntimeWarning: # saturation
pass
def test_tol_coef(d, tol_coef):
fracdiff = Fracdiff(d, window=None, tol_coef=tol_coef)
try:
fracdiff.transform(X)
window = fracdiff.window_
if d.is_integer():
assert window == d + 1
else:
if d > 1:
d -= floor(d)
assert abs(last_coef(d, window)) < abs(tol_coef)
except RuntimeWarning: # saturation
pass
def test_change_d(d, window, n_blanks_1, n_blanks_2, n_terms, n_series):
"""
Test the correctness of coefficients.
"""
X = make_X(window, n_blanks_1, n_blanks_2, n_terms, n_series)
fracdiff = Fracdiff(0.42, window=window)
_ = fracdiff.transform(X)
fracdiff.d = d
Xd = fracdiff.transform(X)
Xd_expected = Fracdiff(d, window=window).transform(X)
assert np.allclose(Xd, Xd_expected, equal_nan=True)
def howto_spx():
spx = fetch_price('^GSPC')
window = 100
fracdiff = Fracdiff(0.5, window=window)
spx_diff = fracdiff.transform(spx.values.reshape(-1, 1))
spxd = pd.Series(spx_diff[:, 0], index=spx.index)
plot_spx(spx[window:], spxd[window:])
def test_transform_twice(d, window, n_blanks_1, n_blanks_2, n_terms, n_series):
"""
Test the correctness of coefficients.
"""
X = make_X(window, n_blanks_1, n_blanks_2, n_terms, n_series)
fracdiff = Fracdiff(d, window=window)
Xd1 = fracdiff.transform(X)
Xd2 = fracdiff.transform(X)
assert np.allclose(Xd1, Xd2, equal_nan=True)
def test_coef(d, window, n_blanks_1, n_blanks_2, n_terms, n_series):
"""
Test the correctness of coefficients.
"""
X = make_X(window, n_blanks_1, n_blanks_2, n_terms, n_series)
fracdiff = Fracdiff(d, window=window)
Xd = fracdiff.transform(X)
coef_expected = fracdiff.coef_
for i in range(n_series):
coef = Xd[window + n_blanks_1:, i][:n_terms]
assert np.allclose(coef, coef_expected)
def test_small_n_samples():
fracdiff = Fracdiff(window=100)
with pytest.raises(ValueError):
fracdiff.transform(np.zeros((10, 2)))
def test_saturation():
small_tolerance = 2**(-20)
fracdiff = Fracdiff(0.5, window=None, tol_memory=small_tolerance)
with pytest.raises(RuntimeWarning):
fracdiff.transform(X)
def test_fracdiff_tol_coef(tol_coef):
with pytest.raises(ValueError):
fracdiff = Fracdiff(tol_coef=tol_coef)
fracdiff.transform(X)
def test_fracdiff_tol_memory(tol_memory):
with pytest.raises(ValueError):
fracdiff = Fracdiff(tol_memory=tol_memory)
fracdiff.transform(X)
def test_fracdiff_noparams():
with pytest.raises(ValueError):
fracdiff = Fracdiff(window=None, tol_coef=None, tol_memory=None)
fracdiff.transform(X)
