Python _compute_multivariate_sample_pacf Examples

Example #1

File: test_tools.py Project: yl565/statsmodels

def test_multivariate_pacf():
    # Test sample acovf in the univariate case against sm.tsa.acovf
    np.random.seed(1234)
    x = np.arange(10000)
    y = np.random.normal(size=10000)
    # Note: could make this test more precise with higher nobs, but no need to
    assert_allclose(
        tools._compute_multivariate_sample_pacf(np.c_[x, y], maxlag=1)[0],
        np.diag([1, 0]), atol=1e-2)

Example #2

File: test_tools.py Project: quuhua911/statsmodels

def test_multivariate_pacf():
    # Test sample acovf in the univariate case against sm.tsa.acovf
    np.random.seed(1234)
    x = np.arange(10000)
    y = np.random.normal(size=10000)
    # Note: could make this test more precise with higher nobs, but no need to
    assert_allclose(
        tools._compute_multivariate_sample_pacf(np.c_[x, y], maxlag=1)[0],
        np.diag([1, 0]), atol=1e-2)