def test_compare_arma():
#this is a preliminary test to compare arma_kf, arma_cond_ls and arma_cond_mle
#the results returned by the fit methods are incomplete
#for now without random.seed
#np.random.seed(9876565)
x = fa.ArmaFft([1, -0.5], [1., 0.4], 40).generate_sample(size=200,
burnin=1000)
# this used kalman filter through descriptive
# d = ARMA(x)
# d.fit((1,1), trend='nc')
# dres = d.res
modkf = ARMA(x)
##rkf = mkf.fit((1,1))
##rkf.params
reskf = modkf.fit((1,1), trend='nc', disp=-1)
dres = reskf
modc = Arma(x)
resls = modc.fit(order=(1,1))
rescm = modc.fit_mle(order=(1,1), start_params=[0.4,0.4, 1.], disp=0)
#decimal 1 corresponds to threshold of 5% difference
#still different sign corrcted
#assert_almost_equal(np.abs(resls[0] / d.params), np.ones(d.params.shape), decimal=1)
assert_almost_equal(resls[0] / dres.params, np.ones(dres.params.shape),
decimal=1)
#rescm also contains variance estimate as last element of params
#assert_almost_equal(np.abs(rescm.params[:-1] / d.params), np.ones(d.params.shape), decimal=1)
assert_almost_equal(rescm.params[:-1] / dres.params, np.ones(dres.params.shape), decimal=1)
def mcarma22(niter=10, nsample=1000, ar=None, ma=None, sig=0.5):
'''run Monte Carlo for ARMA(2,2)
DGP parameters currently hard coded
also sample size `nsample`
was not a self contained function, used instances from outer scope
now corrected
'''
#nsample = 1000
#ar = [1.0, 0, 0]
if ar is None:
ar = [1.0, -0.55, -0.1]
#ma = [1.0, 0, 0]
if ma is None:
ma = [1.0, 0.3, 0.2]
results = []
results_bse = []
for _ in range(niter):
y2 = arma_generate_sample(ar, ma, nsample + 1000, sig)[-nsample:]
y2 -= y2.mean()
arest2 = Arma(y2)
rhohat2a, cov_x2a, infodict, mesg, ier = arest2.fit((2, 2))
results.append(rhohat2a)
err2a = arest2.geterrors(rhohat2a)
sige2a = np.sqrt(np.dot(err2a, err2a) / nsample)
#print 'sige2a', sige2a,
#print 'cov_x2a.shape', cov_x2a.shape
#results_bse.append(sige2a * np.sqrt(np.diag(cov_x2a)))
if not cov_x2a is None:
results_bse.append(sige2a * np.sqrt(np.diag(cov_x2a)))
else:
results_bse.append(np.nan + np.zeros_like(rhohat2a))
return np.r_[ar[1:], ma[1:]], np.array(results), np.array(results_bse)
def mcarma22(niter=10, nsample=1000, ar=None, ma=None, sig=0.5):
'''run Monte Carlo for ARMA(2,2)
DGP parameters currently hard coded
also sample size `nsample`
was not a self contained function, used instances from outer scope
now corrected
'''
#nsample = 1000
#ar = [1.0, 0, 0]
if ar is None:
ar = [1.0, -0.55, -0.1]
#ma = [1.0, 0, 0]
if ma is None:
ma = [1.0, 0.3, 0.2]
results = []
results_bse = []
for _ in range(niter):
y2 = arma_generate_sample(ar,ma,nsample+1000, sig)[-nsample:]
y2 -= y2.mean()
arest2 = Arma(y2)
rhohat2a, cov_x2a, infodict, mesg, ier = arest2.fit((2,2))
results.append(rhohat2a)
err2a = arest2.geterrors(rhohat2a)
sige2a = np.sqrt(np.dot(err2a,err2a)/nsample)
#print 'sige2a', sige2a,
#print 'cov_x2a.shape', cov_x2a.shape
#results_bse.append(sige2a * np.sqrt(np.diag(cov_x2a)))
if not cov_x2a is None:
results_bse.append(sige2a * np.sqrt(np.diag(cov_x2a)))
else:
results_bse.append(np.nan + np.zeros_like(rhohat2a))
return np.r_[ar[1:], ma[1:]], np.array(results), np.array(results_bse)
def test_compare_arma():
#this is a preliminary test to compare arma_kf, arma_cond_ls and arma_cond_mle
#the results returned by the fit methods are incomplete
#for now without random.seed
#np.random.seed(9876565)
x = fa.ArmaFft([1, -0.5], [1., 0.4], 40).generate_sample(size=200,
burnin=1000)
# this used kalman filter through descriptive
# d = ARMA(x)
# d.fit((1,1), trend='nc')
# dres = d.res
modkf = ARMA(x)
##rkf = mkf.fit((1,1))
##rkf.params
reskf = modkf.fit((1, 1), trend='nc', disp=-1)
dres = reskf
modc = Arma(x)
resls = modc.fit(order=(1, 1))
rescm = modc.fit_mle(order=(1, 1), start_params=[0.4, 0.4, 1.], disp=0)
#decimal 1 corresponds to threshold of 5% difference
#still different sign corrcted
#assert_almost_equal(np.abs(resls[0] / d.params), np.ones(d.params.shape), decimal=1)
assert_almost_equal(resls[0] / dres.params,
np.ones(dres.params.shape),
decimal=1)
#rescm also contains variance estimate as last element of params
#assert_almost_equal(np.abs(rescm.params[:-1] / d.params), np.ones(d.params.shape), decimal=1)
assert_almost_equal(rescm.params[:-1] / dres.params,
np.ones(dres.params.shape),
decimal=1)