Python elimination_matrix Examples

Example #1

File: irf.py Project: arnab0000/Internships

    def H(self):
        k = self.neqs
        Lk = tsa.elimination_matrix(k)
        Kkk = tsa.commutation_matrix(k, k)
        Ik = np.eye(k)

        # B = Lk @ (np.eye(k**2) + commutation_matrix(k, k)) @ \
        #     np.kron(self.P, np.eye(k)) @ Lk.T
        # return Lk.T @ L.inv(B)

        B = Lk @ (np.kron(Ik, self.P) @ Kkk + np.kron(self.P, Ik)) @ Lk.T

        return np.dot(Lk.T, L.inv(B))

Example #2

File: irf.py Project: AnaMP/statsmodels

    def H(self):
        k = self.neqs
        Lk = tsa.elimination_matrix(k)
        Kkk = tsa.commutation_matrix(k, k)
        Ik = np.eye(k)

        # B = chain_dot(Lk, np.eye(k**2) + commutation_matrix(k, k),
        #               np.kron(self.P, np.eye(k)), Lk.T)

        # return np.dot(Lk.T, L.inv(B))

        B = chain_dot(Lk,
                      np.dot(np.kron(Ik, self.P), Kkk) + np.kron(self.P, Ik),
                      Lk.T)

        return np.dot(Lk.T, L.inv(B))

Example #3

    def H(self):
        k = self.neqs
        Lk = tsa.elimination_matrix(k)
        Kkk = tsa.commutation_matrix(k, k)
        Ik = np.eye(k)

        # B = chain_dot(Lk, np.eye(k**2) + commutation_matrix(k, k),
        #               np.kron(self.P, np.eye(k)), Lk.T)

        # return np.dot(Lk.T, L.inv(B))

        B = chain_dot(Lk,
                      np.dot(np.kron(Ik, self.P), Kkk) + np.kron(self.P, Ik),
                      Lk.T)

        return np.dot(Lk.T, L.inv(B))

Example #4

def test_elimination_matrix():
    for k in range(2, 10):
        m = np.random.randn(k, k)
        Lk = tools.elimination_matrix(k)
        assert (np.array_equal(vech(m), np.dot(Lk, vec(m))))

Example #5

File: test_tsa_tools.py Project: 0ceangypsy/statsmodels

def test_elimination_matrix():
    for k in range(2, 10):
        m = np.random.randn(k, k)
        Lk = tools.elimination_matrix(k)
        assert(np.array_equal(vech(m), np.dot(Lk, vec(m))))