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)