def test001(self): p = 1 R, X = self._create_case(p, T=1000) B_hat, eps = solve_lasso(X, p=p, lmbda=0.0, eps=-np.inf, maxiter=1000) A_hat = B_to_A(B_hat) YW = yule_walker(A_hat, R) np.testing.assert_almost_equal(YW[1], np.zeros_like(YW[1])) self.assertAlmostEqual(eps, 0.0) return
def test002(self): p = 5 R, X = self._create_case(p) B_hat, eps = solve_lasso(X, p=p, lmbda=0.0, eps=-np.inf, maxiter=1000) A_hat = B_to_A(B_hat) YW = yule_walker(A_hat, R) for tau in range(1, p + 1): np.testing.assert_almost_equal(YW[tau], np.zeros_like(YW[tau])) self.assertAlmostEqual(eps, 0.0) return