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