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)
print "Battle of the dueling ARMAs" from time import time from scikits.statsmodels.tsa.arma_mle import Arma from scikits.statsmodels.tsa.api import ARMA import numpy as np y_arma22 = np.loadtxt(r'C:\Josef\eclipsegworkspace\statsmodels-josef-experimental-gsoc\scikits\statsmodels\tsa\y_arma22.txt') arma1 = Arma(y_arma22) arma2 = ARMA(y_arma22) print "The actual results from gretl exact mle are" params_mle = np.array([.826990, -.333986, .0362419, -.792825]) sigma_mle = 1.094011 llf_mle = -1510.233 print "params: ", params_mle print "sigma: ", sigma_mle print "llf: ", llf_mle print "The actual results from gretl css are" params_css = np.array([.824810, -.337077, .0407222, -.789792]) sigma_css = 1.095688 llf_css = -1507.301 results = [] results += ["gretl exact mle", params_mle, sigma_mle, llf_mle] results += ["gretl css", params_css, sigma_css, llf_css] t0 = time() print "Exact MLE - Kalman filter version using l_bfgs_b" arma2.fit(order=(2,2), trend='nc')
import scikits.statsmodels.api as sm
from scikits.statsmodels.sandbox import tsa
from scikits.statsmodels.tsa.arma_mle import Arma # local import
from scikits.statsmodels.tsa.arima_process import arma_generate_sample
examples = ['arma']
if 'arma' in examples:
print "\nExample 1"
print '----------'
ar = [1.0, -0.8]
ma = [1.0, 0.5]
y1 = arma_generate_sample(ar, ma, 1000, 0.1)
y1 -= y1.mean() #no mean correction/constant in estimation so far
arma1 = Arma(y1)
arma1.nar = 1
arma1.nma = 1
arma1res = arma1.fit_mle(order=(1, 1), method='fmin')
print arma1res.params
#Warning need new instance otherwise results carry over
arma2 = Arma(y1)
arma2.nar = 1
arma2.nma = 1
res2 = arma2.fit(method='bfgs')
print res2.params
print res2.model.hessian(res2.params)
print ndt.Hessian(arma1.loglike, stepMax=1e-2)(res2.params)
arest = tsa.arima.ARIMA(y1)
resls = arest.fit((1, 0, 1))
import scikits.statsmodels.api as sm
from scikits.statsmodels.sandbox import tsa
from scikits.statsmodels.tsa.arma_mle import Arma # local import
from scikits.statsmodels.tsa.arima_process import arma_generate_sample
examples = ['arma']
if 'arma' in examples:
print "\nExample 1"
print '----------'
ar = [1.0, -0.8]
ma = [1.0, 0.5]
y1 = arma_generate_sample(ar,ma,1000,0.1)
y1 -= y1.mean() #no mean correction/constant in estimation so far
arma1 = Arma(y1)
arma1.nar = 1
arma1.nma = 1
arma1res = arma1.fit_mle(order=(1,1), method='fmin')
print arma1res.params
#Warning need new instance otherwise results carry over
arma2 = Arma(y1)
arma2.nar = 1
arma2.nma = 1
res2 = arma2.fit(method='bfgs')
print res2.params
print res2.model.hessian(res2.params)
print ndt.Hessian(arma1.loglike, stepMax=1e-2)(res2.params)
arest = tsa.arima.ARIMA(y1)
resls = arest.fit((1,0,1))
import numpy as np from numpy.testing import assert_almost_equal import matplotlib.pyplot as plt import scikits.statsmodels.sandbox.tsa.fftarma as fa from scikits.statsmodels.tsa.descriptivestats import TsaDescriptive from scikits.statsmodels.tsa.arma_mle import Arma x = fa.ArmaFft([1, -0.5], [1., 0.4], 40).generate_sample(size=200, burnin=1000) d = TsaDescriptive(x) d.plot4() #d.fit(order=(1,1)) d.fit((1,1), trend='nc') print d.res.params modc = Arma(x) resls = modc.fit(order=(1,1)) print resls[0] rescm = modc.fit_mle(order=(1,1), start_params=[-0.4,0.4, 1.]) print rescm.params #decimal 1 corresponds to threshold of 5% difference assert_almost_equal(resls[0] / d.res.params, 1, decimal=1) assert_almost_equal(rescm.params[:-1] / d.res.params, 1, decimal=1) #copied to tsa.tests plt.figure() plt.plot(x, 'b-o') plt.plot(modc.predicted(), 'r-') plt.figure() plt.plot(modc.error_estimate)
import numpy as np from numpy.testing import assert_almost_equal import matplotlib.pyplot as plt import scikits.statsmodels.sandbox.tsa.fftarma as fa from scikits.statsmodels.tsa.descriptivestats import TsaDescriptive from scikits.statsmodels.tsa.arma_mle import Arma x = fa.ArmaFft([1, -0.5], [1., 0.4], 40).generate_sample(size=200, burnin=1000) d = TsaDescriptive(x) d.plot4() #d.fit(order=(1,1)) d.fit((1,1), trend='nc') print d.res.params modc = Arma(x) resls = modc.fit(order=(1,1)) print resls[0] rescm = modc.fit_mle(order=(1,1), start_params=[-0.4,0.4, 1.]) print rescm.params #decimal 1 corresponds to threshold of 5% difference assert_almost_equal(resls[0] / d.res.params, 1, decimal=1) assert_almost_equal(rescm.params[:-1] / d.res.params, 1, decimal=1) #copied to tsa.tests plt.figure() plt.plot(x, 'b-o') plt.plot(modc.predicted(), 'r-') plt.figure() plt.plot(modc.error_estimate)
print 'truelhs', np.r_[ar[1:], ma[1:]]
###bug in current version, fixed in Skipper and 1 more
###arr[1:q,:] = params[p+k:p+k+q] # p to p+q short params are MA coeffs
###ValueError: array dimensions are not compatible for copy
##arma22 = ARMA_kf(y22, constant=False, order=(2,2))
##res = arma22.fit(start_params=start_params)
##print res.params
print '\nARIMA new'
arest2 = Arma(y22)
naryw = 4 #= 30
resyw = sm.regression.yule_walker(y22, order=naryw, inv=True)
arest2.nar = naryw
arest2.nma = 0
e = arest2.geterrors(np.r_[1, -resyw[0]])
x=sm.tsa.tsatools.lagmat2ds(np.column_stack((y22,e)),3,dropex=1,
trim='both')
yt = x[:,0]
xt = x[:,1:]
res_ols = sm.OLS(yt, xt).fit()
print 'hannan_rissannen'
print res_ols.params
start_params = res_ols.params
start_params_mle = np.r_[-res_ols.params[:2],
