def setUp(self):
self.args = (2, 2)
self.dummy_source = sources.Constant(1)
self.arma = make_random_arma(*self.args, rng=np.random.default_rng(0))
self.arma_alt = make_random_arma(*self.args,
rng=np.random.default_rng(0),
default_source=self.dummy_source)
def test_generated_ma_has_correct_orders(self):
q = 2
ar = make_random_arma(0, q, self.rng)
self.assertEqual(ar.p, 0)
self.assertEqual(ar.q, q)
self.assertEqual(len(ar.a), ar.p)
self.assertEqual(len(ar.b), ar.q)
def make_bio_wta_with_stable_initial(*args, **kwargs) -> BioWTARegressor:
""" Call the BioWTARegressor constructor, ensuring that the initial coefficients are
chosen to correspond to stable AR processes.
"""
weights = [
make_random_arma(kwargs["n_features"], 0, rng=kwargs["rng"]).a
for _ in range(kwargs["n_models"])
]
return BioWTARegressor(*args, weights=weights, **kwargs)
def test_generated_ar_has_correct_orders(self):
p = 3
ar = make_random_arma(p, 0, self.rng)
self.assertEqual(ar.p, p)
self.assertEqual(ar.q, 0)
self.assertEqual(len(ar.a), ar.p)
self.assertEqual(len(ar.b), ar.q)
def test_generated_process_has_random_biases_when_bias_range_given(self):
n = 20
bias_range = (-0.5, 0.7)
biases = []
for i in range(n):
arma = make_random_arma(5, 3, self.rng, bias_range=bias_range)
biases.append(arma.bias)
self.assertGreater(np.std(biases), 0.0)
def test_generated_process_has_bias_in_given_range(self):
n = 20
bias_range = (-0.5, 0.7)
biases = []
for i in range(n):
arma = make_random_arma(5, 3, self.rng, bias_range=bias_range)
biases.append(arma.bias)
np.testing.assert_array_less(bias_range[0], biases)
np.testing.assert_array_less(biases, bias_range[1])
def test_fix_source_scale_returns_final_scale(self):
seed = 10
src = sources.GaussianNoise(seed)
rng = np.random.default_rng(30)
arma = make_random_arma(2, 0, rng, default_source=src)
scale = sources.fix_source_scale(arma)
self.assertAlmostEqual(scale, src.scale)
def test_ar1_output_variance_is_fixed_to_one_by_default(self):
seed = 10
src = sources.GaussianNoise(seed)
rng = np.random.default_rng(30)
arma = make_random_arma(1, 0, rng, default_source=src)
sources.fix_source_scale(arma, n_samples=5000)
ma_var = src.scale**2
arma_var = ma_var / (1 - arma.a[0]**2)
self.assertAlmostEqual(arma_var, 1, places=2)
def test_ar2_output_variance_is_fixed_to_one_by_default(self):
seed = 10
src = sources.GaussianNoise(seed)
rng = np.random.default_rng(30)
arma = make_random_arma(2, 0, rng, default_source=src)
sources.fix_source_scale(arma, n_samples=10000)
ma_var = src.scale**2
a_diff = 1 - arma.a[1]
a_sum = 1 + arma.a[1]
arma_var = a_diff * ma_var / (a_sum * (a_diff**2 - arma.a[0]**2))
self.assertAlmostEqual(arma_var, 1, places=2)
def test_scale_varies_in_proportion_to_output_variance(self):
seed = 10
src = sources.GaussianNoise(seed)
rng = np.random.default_rng(30)
arma = make_random_arma(2, 0, rng, default_source=src)
var1 = 0.5
sources.fix_source_scale(arma, output_std=var1)
scale1 = src.scale
var2 = 1.5
sources.fix_source_scale(arma, output_std=var2)
scale2 = src.scale
self.assertAlmostEqual(var1 / var2, scale1 / scale2, places=2)
def test_fix_source_scale_does_not_affect_sources_rng_by_default(self):
seed = 123
src1 = sources.GaussianNoise(seed)
n = 12
u1 = src1(size=n)
rng = np.random.default_rng(30)
src2 = sources.GaussianNoise(seed)
arma = make_random_arma(3, 2, rng, default_source=src2)
sources.fix_source_scale(arma)
# reset scale
src2.scale = 1
u2 = src2(size=n)
np.testing.assert_allclose(u1, u2)
def test_fix_source_scale_affects_sources_rng_when_use_copy_is_false(self):
seed = 123
src1 = sources.GaussianNoise(seed)
n = 12
u1 = src1(size=n)
rng = np.random.default_rng(30)
src2 = sources.GaussianNoise(seed)
arma = make_random_arma(3, 2, rng, default_source=src2)
sources.fix_source_scale(arma, use_copy=False)
# reset scale
src2.scale = 1
u2 = src2(size=n)
self.assertGreater(np.max(np.abs(u1 - u2)), 1e-3)
def assert_if_poles_or_zeros_not_within_given_radius(
self, n: int, kind: str, order: int, radius: float):
""" Generate many AR or MA processes and check that their poles or zeros
are within the given radius.
Parameters
----------
n
Number of processes to generate.
kind
Kind of process, either "ar" or "ma".
order
Order of the AR or MA processes.
radius
Radius to request (and check) for the poles / zeros.
"""
if kind == "ar":
p = order
q = 0
elif kind == "ma":
p = 0
q = order
else:
raise NotImplementedError("Unknown kind.")
all_roots = []
for i in range(n):
arma = make_random_arma(p,
q,
self.rng,
max_pole_radius=radius,
max_zero_radius=radius)
coeffs = np.ones(order + 1)
if q == 0:
coeffs[1:] = -arma.a
else:
coeffs[1:] = arma.b
roots = np.roots(coeffs)
all_roots.extend(roots)
np.testing.assert_array_less(np.abs(all_roots), radius)
def _generate_armas(
self,
rng: Union[np.random.RandomState, np.random.Generator],
arma_orders: Optional[Sequence] = None,
arma_kws: Optional[dict] = None,
):
""" Generate the ARMA processes to use for each signal. """
# handle None arma_kws
if arma_kws is None:
arma_kws = {}
armas = []
for i in range(self.n_signals):
crt_armas = []
for crt_order in arma_orders:
crt_arma = make_random_arma(*crt_order, rng=rng, **arma_kws)
crt_armas.append(crt_arma)
armas.append(crt_armas)
self.armas = armas
def test_raises_if_both_bias_range_and_bias_keyword(self):
with self.assertRaises(TypeError):
make_random_arma(3, 2, default_rng(1), bias_range=(2, 3), bias=2.5)
def test_generated_process_has_zero_bias_by_default(self):
arma = make_random_arma(5, 3, self.rng)
self.assertEqual(arma.bias, 0)
def test_generated_arma_ma_coeffs_are_random(self):
arma1 = make_random_arma(3, 4, self.rng)
arma2 = make_random_arma(3, 4, self.rng)
self.assertFalse(np.allclose(arma1.b, arma2.b))
def test_additional_kws_passed_to_arma_init(self):
kws = {"bias": 5, "default_source": lambda size: np.zeros(size)}
with mock.patch("bioslds.arma.Arma") as MockInit:
make_random_arma(2, 3, self.rng, **kws)
self.assertEqual(MockInit.call_args_list[0][1], kws)