def test_pacf_burg():
rnd = np.random.RandomState(12345)
e = rnd.randn(10001)
y = e[1:] + 0.5 * e[:-1]
pacf, sigma2 = pacf_burg(y, 10)
yw_pacf = pacf_yw(y, 10)
assert_allclose(pacf, yw_pacf, atol=5e-4)
# Internal consistency check between pacf and sigma2
ye = y - y.mean()
s2y = ye.dot(ye) / 10000
pacf[0] = 0
sigma2_direct = s2y * np.cumprod(1 - pacf ** 2)
assert_allclose(sigma2, sigma2_direct, atol=1e-3)
def test_pacf_burg():
rnd = np.random.RandomState(12345)
e = rnd.randn(10001)
y = e[1:] + 0.5 * e[:-1]
pacf, sigma2 = pacf_burg(y, 10)
yw_pacf = pacf_yw(y, 10)
assert_allclose(pacf, yw_pacf, atol=5e-4)
# Internal consistency check between pacf and sigma2
ye = y - y.mean()
s2y = ye.dot(ye) / 10000
pacf[0] = 0
sigma2_direct = s2y * np.cumprod(1 - pacf ** 2)
assert_allclose(sigma2, sigma2_direct, atol=1e-3)
def test_pacf_burg_error():
with pytest.raises(ValueError):
pacf_burg(np.empty((20, 2)), 10)
with pytest.raises(ValueError):
pacf_burg(np.empty(100), 101)
def test_burg(self):
pacfburg_, _ = pacf_burg(self.x, nlags=40)
pacfburg = pacf(self.x, nlags=40, method="burg")
assert_almost_equal(pacfburg_, pacfburg, DECIMAL_8)
def test_pacf_burg_error():
with pytest.raises(ValueError):
pacf_burg(np.empty((20,2)), 10)
with pytest.raises(ValueError):
pacf_burg(np.empty(100), 101)