def test_cases(self):
for constrained in self.constrained_cases:
if type(constrained) == list:
cov = np.eye(constrained[0].shape[0])
else:
cov = np.eye(constrained.shape[0])
unconstrained, _ = tools.unconstrain_stationary_multivariate(constrained, cov)
reconstrained, _ = tools.constrain_stationary_multivariate(unconstrained, cov)
assert_allclose(reconstrained, constrained)
for unconstrained in self.unconstrained_cases:
if type(unconstrained) == list:
cov = np.eye(unconstrained[0].shape[0])
else:
cov = np.eye(unconstrained.shape[0])
constrained, _ = tools.constrain_stationary_multivariate(unconstrained, cov)
reunconstrained, _ = tools.unconstrain_stationary_multivariate(constrained, cov)
# Note: low tolerance comes from last example in unconstrained_cases,
# but is not a real problem
assert_allclose(reunconstrained, unconstrained, atol=1e-4)
def test_cases(self):
for constrained in self.constrained_cases:
if type(constrained) == list:
cov = np.eye(constrained[0].shape[0])
else:
cov = np.eye(constrained.shape[0])
unconstrained, _ = tools.unconstrain_stationary_multivariate(
constrained, cov)
reconstrained, _ = tools.constrain_stationary_multivariate(
unconstrained, cov)
assert_allclose(reconstrained, constrained)
for unconstrained in self.unconstrained_cases:
if type(unconstrained) == list:
cov = np.eye(unconstrained[0].shape[0])
else:
cov = np.eye(unconstrained.shape[0])
constrained, _ = tools.constrain_stationary_multivariate(
unconstrained, cov)
reunconstrained, _ = tools.unconstrain_stationary_multivariate(
constrained, cov)
# Note: low tolerance comes from last example in unconstrained_cases,
# but is not a real problem
assert_allclose(reunconstrained, unconstrained, atol=1e-4)
def untransform_params(self, constrained):
"""
Transform constrained parameters used in likelihood evaluation
to unconstrained parameters used by the optimizer.
Parameters
----------
constrained : array_like
Array of constrained parameters used in likelihood evalution, to be
transformed.
Returns
-------
unconstrained : array_like
Array of unconstrained parameters used by the optimizer.
"""
constrained = np.array(constrained, ndmin=1)
unconstrained = np.zeros(constrained.shape, dtype=constrained.dtype)
# 1. Intercept terms: nothing to do
unconstrained[self._params_trend] = constrained[self._params_trend]
# 2. AR terms: optionally were forced to be stationary
if self.k_ar > 0 and self.enforce_stationarity:
# Create the state covariance matrix
if self.error_cov_type == 'diagonal':
state_cov = np.diag(constrained[self._params_state_cov])
elif self.error_cov_type == 'unstructured':
state_cov_lower = np.zeros(self.ssm['state_cov'].shape,
dtype=constrained.dtype)
state_cov_lower[self._idx_lower_state_cov] = (
constrained[self._params_state_cov])
state_cov = np.dot(state_cov_lower, state_cov_lower.T)
# Transform the parameters
coefficients = constrained[self._params_ar].reshape(
self.k_endog, self.k_endog * self.k_ar)
unconstrained_matrices, variance = (
unconstrain_stationary_multivariate(coefficients, state_cov))
unconstrained[self._params_ar] = unconstrained_matrices.ravel()
else:
unconstrained[self._params_ar] = constrained[self._params_ar]
# 3. MA terms: optionally were forced to be invertible
if self.k_ma > 0 and self.enforce_invertibility:
# Transform the parameters, using an identity variance matrix
state_cov = np.eye(self.k_endog, dtype=constrained.dtype)
coefficients = constrained[self._params_ma].reshape(
self.k_endog, self.k_endog * self.k_ma)
unconstrained_matrices, variance = (
unconstrain_stationary_multivariate(coefficients, state_cov))
unconstrained[self._params_ma] = unconstrained_matrices.ravel()
else:
unconstrained[self._params_ma] = constrained[self._params_ma]
# 4. Regression terms: nothing to do
unconstrained[self._params_regression] = (
constrained[self._params_regression])
# 5. State covariance terms
# If we have variances, then these were forced to be positive
if self.error_cov_type == 'diagonal':
unconstrained[self._params_state_cov] = (
constrained[self._params_state_cov]**0.5)
# Otherwise, nothing needs to be done
elif self.error_cov_type == 'unstructured':
unconstrained[self._params_state_cov] = (
constrained[self._params_state_cov])
# 5. Measurement error variance terms
if self.measurement_error:
# These were forced to be positive
unconstrained[self._params_obs_cov] = (
constrained[self._params_obs_cov]**0.5)
return unconstrained
def test_cases(self):
for constrained, error_variance, unconstrained in self.cases:
result = tools.unconstrain_stationary_multivariate(
constrained, error_variance)
assert_allclose(result[0], unconstrained)
def test_cases(self):
for constrained, error_variance, unconstrained in self.cases:
result = tools.unconstrain_stationary_multivariate(
constrained, error_variance)
assert_allclose(result[0], unconstrained)
def untransform_params(self, constrained):
"""
Transform constrained parameters used in likelihood evaluation
to unconstrained parameters used by the optimizer.
Parameters
----------
constrained : array_like
Array of constrained parameters used in likelihood evalution, to be
transformed.
Returns
-------
unconstrained : array_like
Array of unconstrained parameters used by the optimizer.
"""
constrained = np.array(constrained, ndmin=1)
unconstrained = np.zeros(constrained.shape, dtype=constrained.dtype)
# 1. Intercept terms: nothing to do
unconstrained[self._params_trend] = constrained[self._params_trend]
# 2. AR terms: optionally were forced to be stationary
if self.k_ar > 0 and self.enforce_stationarity:
# Create the state covariance matrix
if self.error_cov_type == 'diagonal':
state_cov = np.diag(constrained[self._params_state_cov])
elif self.error_cov_type == 'unstructured':
state_cov_lower = np.zeros(self.ssm['state_cov'].shape,
dtype=constrained.dtype)
state_cov_lower[self._idx_lower_state_cov] = (
constrained[self._params_state_cov])
state_cov = np.dot(state_cov_lower, state_cov_lower.T)
# Transform the parameters
coefficients = constrained[self._params_ar].reshape(
self.k_endog, self.k_endog * self.k_ar)
unconstrained_matrices, variance = (
unconstrain_stationary_multivariate(coefficients, state_cov))
unconstrained[self._params_ar] = unconstrained_matrices.ravel()
else:
unconstrained[self._params_ar] = constrained[self._params_ar]
# 3. MA terms: optionally were forced to be invertible
if self.k_ma > 0 and self.enforce_invertibility:
# Transform the parameters, using an identity variance matrix
state_cov = np.eye(self.k_endog, dtype=constrained.dtype)
coefficients = constrained[self._params_ma].reshape(
self.k_endog, self.k_endog * self.k_ma)
unconstrained_matrices, variance = (
unconstrain_stationary_multivariate(coefficients, state_cov))
unconstrained[self._params_ma] = unconstrained_matrices.ravel()
else:
unconstrained[self._params_ma] = constrained[self._params_ma]
# 4. Regression terms: nothing to do
unconstrained[self._params_regression] = (
constrained[self._params_regression])
# 5. State covariance terms
# If we have variances, then these were forced to be positive
if self.error_cov_type == 'diagonal':
unconstrained[self._params_state_cov] = (
constrained[self._params_state_cov]**0.5)
# Otherwise, nothing needs to be done
elif self.error_cov_type == 'unstructured':
unconstrained[self._params_state_cov] = (
constrained[self._params_state_cov])
# 5. Measurement error variance terms
if self.measurement_error:
# These were forced to be positive
unconstrained[self._params_obs_cov] = (
constrained[self._params_obs_cov]**0.5)
return unconstrained