def test_fit_ar1_model(self):
model = ARModel(1.5, [0.2], sc=self.sc)
ts = model.sample(5000)
fittedModel = Autoregression.fit_model(ts.toArray(), 1, sc=self.sc)
self.assertTrue(len(fittedModel.coefficients) == 1)
self.assertAlmostEqual(fittedModel.c, 1.5, delta=0.07)
self.assertAlmostEqual(fittedModel.coefficients[0], 0.2, delta=0.03)
def test_fit_ar1_model(self):
model = ARModel(1.5, [0.2], sc=self.sc)
ts = model.sample(5000)
fittedModel = Autoregression.fit_model(ts.toArray(), 1, sc=self.sc)
self.assertTrue(len(fittedModel.coefficients) == 1)
self.assertAlmostEqual(fittedModel.c, 1.5, delta=0.07)
self.assertAlmostEqual(fittedModel.coefficients[0], 0.2, delta=0.03)
def test_add_and_remove_time_dependent_effects(self):
ts = np.random.normal(size=1000)
model = ARModel(1.5, [0.2, 0.3], sc=self.sc)
added = model.add_time_dependent_effects(ts)
removed = model.remove_time_dependent_effects(added)
for i in range(len(added)):
self.assertAlmostEqual(ts[i], removed[i], delta=0.001, msg=("failed at index %d: %f != %f" % (i, added[i], removed[i])))
def test_add_and_remove_time_dependent_effects(self):
ts = np.random.normal(size=1000)
model = ARModel(1.5, [0.2, 0.3], sc=self.sc)
added = model.add_time_dependent_effects(ts)
removed = model.remove_time_dependent_effects(added)
for i in range(len(added)):
self.assertAlmostEqual(ts[i],
removed[i],
delta=0.001,
msg=("failed at index %d: %f != %f" %
(i, added[i], removed[i])))
