def test_whiteness(self, nlags=10, plot=True, linewidth=8):
"""
Test white noise assumption. Sample (Y) autocorrelations are compared
with the standard :math:`2 / \sqrt(T)` bounds.
Parameters
----------
plot : boolean, default True
Plot autocorrelations with 2 / sqrt(T) bounds
"""
acorrs = self.sample_acorr(nlags)
bound = 2 / np.sqrt(self.nobs)
# TODO: this probably needs some UI work
if (np.abs(acorrs) > bound).any():
print ('FAIL: Some autocorrelations exceed %.4f bound. '
'See plot' % bound)
else:
print 'PASS: No autocorrelations exceed %.4f bound' % bound
if plot:
fig = plotting.plot_full_acorr(acorrs[1:],
xlabel=np.arange(1, nlags+1),
err_bound=bound,
linewidth=linewidth)
fig.suptitle(r"ACF plots with $2 / \sqrt{T}$ bounds "
"for testing whiteness assumption")
def plot_sample_acorr(self, nlags=10, linewidth=8):
"Plot theoretical autocorrelation function"
plotting.plot_full_acorr(self.sample_acorr(nlags=nlags),
linewidth=linewidth)
