Example #1
0
    def _params2cov(self, params, nobs):
        '''get autocovariance matrix from ARMA regression parameter

        ar parameters are assumed to have rhs parameterization

        '''
        ar = np.r_[[1], -params[:self.nar]]
        ma = np.r_[[1], params[-self.nma:]]
        #print 'ar', ar
        #print 'ma', ma
        #print 'nobs', nobs
        autocov = arma_acovf(ar, ma, nobs=nobs)
        #print 'arma_acovf(%r, %r, nobs=%d)' % (ar, ma, nobs)
        #print autocov.shape
        #something is strange  fixed in aram_acovf
        autocov = autocov[:nobs]
        sigma = toeplitz(autocov)
        return sigma
Example #2
0
        [('ma1', acovf_ma1),
        ('ma2', acovf_ma2),
        ('arma11', acovf_arma11),
        ('ar1', acovf_arma11)])

cases = [('ma1', (ar0, ma1)),
        ('ma2', (ar0, ma2)),
        ('arma11', (ar1, ma1)),
        ('ar1', (ar1, ma0))]

for c, args in cases:

    ar, ma = args
    print
    print c, ar, ma
    myacovf = arma_acovf(ar, ma, nobs=10)
    myacf = arma_acf(ar, ma, nobs=10)
    if c[:2]=='ma':
        othacovf = comparefn[c](ma)
    else:
        othacovf = comparefn[c](ar, ma)
    print myacovf[:5]
    print othacovf[:5]
    #something broke again,
    #for high persistence case eg ar=0.99, nobs of IR has to be large
    #made changes to arma_acovf
    assert_array_almost_equal(myacovf, othacovf,10)
    assert_array_almost_equal(myacf, othacovf/othacovf[0],10)


#from nitime.utils