def test_innovations_mle_integrated():
endog = np.r_[0, np.cumsum(lake.copy())]
start_params = [0, np.var(lake.copy())]
with assert_warns(UserWarning):
p, mleres = innovations_mle(endog, order=(1, 1, 0),
demean=False, start_params=start_params)
mod = sarimax.SARIMAX(endog, order=(1, 1, 0),
simple_differencing=True)
# Test that the maximized log-likelihood found via applications of the
# innovations algorithm matches the log-likelihood found by the Kalman
# filter at the same parameters
res = mod.filter(p.params)
assert_allclose(-mleres.minimize_results.fun, res.llf)
# Test MLE fitting
# To avoid small numerical differences with MLE fitting, start at the
# parameters found from innovations_mle
res2 = mod.fit(start_params=p.params, disp=0)
# Test that the state space approach confirms the MLE values found by
# innovations_mle
# Note: atol is required only due to precision issues on Windows
assert_allclose(p.params, res2.params, atol=1e-6)
# Test that the result is equivalent to order=(1, 0, 0) on the differenced
# data
p2, _ = innovations_mle(lake.copy(), order=(1, 0, 0), demean=False,
start_params=start_params)
# (doesn't need to be high-precision test since it's okay if different
# starting parameters give slightly different MLE)
assert_allclose(p.params, p2.params, atol=1e-5)
def test_itsmr_with_fixed_params(fixed_params):
# This test is a variation of test_itsmr where we fix 1 or more parameters
# for Example 5.1.7 in Brockwell and Davis (2016) and check that free
# parameters are still correct'.
endog = lake.copy()
hr, _ = hannan_rissanen(
endog, ar_order=1, ma_order=1, demean=True,
initial_ar_order=22, unbiased=False,
fixed_params=fixed_params
)
assert_allclose(hr.ar_params, [0.69607715], atol=1e-4)
assert_allclose(hr.ma_params, [0.3787969217], atol=1e-4)
# Because our fast implementation of the innovations algorithm does not
# allow for non-stationary processes, the estimate of the variance returned
# by `hannan_rissanen` is based on the residuals from the least-squares
# regression, rather than (as reported by BD) based on the innovations
# algorithm output. Since the estimates here do correspond to a stationary
# series, we can compute the innovations variance manually to check
# against BD.
u, v = arma_innovations(endog - endog.mean(), hr.ar_params, hr.ma_params,
sigma2=1)
tmp = u / v**0.5
assert_allclose(np.inner(tmp, tmp) / len(u), 0.4773580109, atol=1e-4)
def test_start_params():
endog = lake.copy()
# Test for valid use of starting parameters
p, _ = statespace(endog, order=(1, 0, 0), start_params=[0, 0, 1.])
p, _ = statespace(endog,
order=(1, 0, 0),
start_params=[0, 1., 1.],
enforce_stationarity=False)
p, _ = statespace(endog,
order=(0, 0, 1),
start_params=[0, 1., 1.],
enforce_invertibility=False)
# Test for invalid use of starting parameters
assert_raises(ValueError,
statespace,
endog,
order=(1, 0, 0),
start_params=[0, 1., 1.])
assert_raises(ValueError,
statespace,
endog,
order=(0, 0, 1),
start_params=[0, 1., 1.])
def test_itsmr():
# This is essentially a high precision version of
# test_brockwell_davis_example_517, where the desired values were computed
# from R itsmr::hannan; see results/results_hr.R
endog = lake.copy()
hr, _ = hannan_rissanen(endog,
ar_order=1,
ma_order=1,
demean=True,
initial_ar_order=22,
unbiased=False)
assert_allclose(hr.ar_params, [0.69607715], atol=1e-4)
assert_allclose(hr.ma_params, [0.3787969217], atol=1e-4)
# Because our fast implementation of the innovations algorithm does not
# allow for non-stationary processes, the estimate of the variance returned
# by `hannan_rissanen` is based on the residuals from the least-squares
# regression, rather than (as reported by BD) based on the innovations
# algorithm output. Since the estimates here do correspond to a stationary
# series, we can compute the innovations variance manually to check
# against BD.
u, v = arma_innovations(endog - endog.mean(),
hr.ar_params,
hr.ma_params,
sigma2=1)
tmp = u / v**0.5
assert_allclose(np.inner(tmp, tmp) / len(u), 0.4773580109, atol=1e-4)
def test_innovations_mle_statespace_nonconsecutive():
# Test innovations output against state-space output.
endog = lake.copy()
endog = endog - endog.mean()
start_params = [0, 0, np.var(endog)]
p, mleres = innovations_mle(endog,
order=([0, 1], 0, [0, 1]),
demean=False,
start_params=start_params)
mod = sarimax.SARIMAX(endog, order=([0, 1], 0, [0, 1]))
# Test that the maximized log-likelihood found via applications of the
# innovations algorithm matches the log-likelihood found by the Kalman
# filter at the same parameters
res = mod.filter(p.params)
assert_allclose(-mleres.minimize_results.fun, res.llf)
# Test MLE fitting
# To avoid small numerical differences with MLE fitting, start at the
# parameters found from innovations_mle
res2 = mod.fit(start_params=p.params, disp=0)
# Test that the state space approach confirms the MLE values found by
# innovations_mle
assert_allclose(p.params, res2.params)
# Test that starting parameter estimation succeeds and isn't terrible
# (i.e. leads to the same MLE)
p2, _ = innovations_mle(endog, order=([0, 1], 0, [0, 1]), demean=False)
# (does not need to be high-precision test since it's okay if different
# starting parameters give slightly different MLE)
assert_allclose(p.params, p2.params, atol=1e-5)
def test_brockwell_davis_example_517():
# Get the lake data
endog = lake.copy()
# BD do not implement the "bias correction" third step that they describe,
# so we can't use their results to test that. Thus here `unbiased=False`.
# Note: it's not clear why BD use initial_order=22 (and they don't mention
# that they do this), but it is the value that allows the test to pass.
hr, _ = hannan_rissanen(endog,
ar_order=1,
ma_order=1,
demean=True,
initial_ar_order=22,
unbiased=False)
assert_allclose(hr.ar_params, [0.6961], atol=1e-4)
assert_allclose(hr.ma_params, [0.3788], atol=1e-4)
# Because our fast implementation of the innovations algorithm does not
# allow for non-stationary processes, the estimate of the variance returned
# by `hannan_rissanen` is based on the residuals from the least-squares
# regression, rather than (as reported by BD) based on the innovations
# algorithm output. Since the estimates here do correspond to a stationary
# series, we can compute the innovations variance manually to check
# against BD.
u, v = arma_innovations(endog - endog.mean(),
hr.ar_params,
hr.ma_params,
sigma2=1)
tmp = u / v**0.5
assert_allclose(np.inner(tmp, tmp) / len(u), 0.4774, atol=1e-4)
def test_iterations():
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
# Test for n_iter usage
_, res = gls(endog, exog, order=(1, 0, 0), n_iter=1)
assert_equal(res.iterations, 1)
assert_equal(res.converged, None)
def test_innovations_ma_itsmr():
# Note: apparently itsmr automatically demeans (there is no option to
# control this)
endog = lake.copy()
check_innovations_ma_itsmr(endog) # Pandas series
check_innovations_ma_itsmr(endog.values) # Numpy array
check_innovations_ma_itsmr(endog.tolist()) # Python list
def test_integrated_invalid():
# Test for invalid versions of integrated model
# - include_constant=True is invalid if integration is present
endog = lake.copy()
exog = np.arange(1, len(endog) + 1) * 1.0
assert_raises(ValueError,
gls,
endog,
exog,
order=(1, 1, 0),
include_constant=True)
def test_misc():
# Test defaults (order = 0, demean=True)
endog = lake.copy()
res, _ = burg(endog)
assert_allclose(res.params, np.var(endog))
# Test that integer input gives the same result as float-coerced input.
endog = np.array([1, 2, 5, 3, -2, 1, -3, 5, 2, 3, -1], dtype=int)
res_int, _ = burg(endog, 2)
res_float, _ = burg(endog * 1.0, 2)
assert_allclose(res_int.params, res_float.params)
def test_innovations_mle_invalid():
endog = np.arange(2) * 1.0
assert_raises(ValueError, innovations_mle, endog, order=(0, 0, 2))
assert_raises(ValueError, innovations_mle, endog, order=(0, 0, -1))
assert_raises(ValueError, innovations_mle, endog, order=(0, 0, 1.5))
endog = lake.copy()
assert_raises(ValueError, innovations_mle, endog, order=(1, 0, 0),
start_params=[1., 1.])
assert_raises(ValueError, innovations_mle, endog, order=(0, 0, 1),
start_params=[1., 1.])
def test_brockwell_davis_example_662():
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
res, _ = gls(endog, exog, order=(2, 0, 0))
# Parameter values taken from Table 6.3 row 2, except for sigma2 and the
# last digit of the exog_params[0], which were given in the text
assert_allclose(res.exog_params, [10.091, -.0216], atol=1e-3)
assert_allclose(res.ar_params, [1.005, -.291], atol=1e-3)
assert_allclose(res.sigma2, .4571, atol=1e-3)
def test_brockwell_davis_example_514():
# Note: this example is primarily tested in
# test_burg::test_brockwell_davis_example_514.
# Get the lake data, demean
endog = lake.copy()
# Yule-Walker
res, _ = yule_walker(endog, ar_order=2, demean=True)
assert_allclose(res.ar_params, [1.0538, -0.2668], atol=1e-4)
assert_allclose(res.sigma2, 0.4920, atol=1e-4)
def test_misc():
# Test defaults (order = 0, demean=True)
endog = lake.copy()
res, _ = durbin_levinson(endog)
assert_allclose(res[0].params, np.var(endog))
# Test that integer input gives the same result as float-coerced input.
endog = np.array([1, 2, 5, 3, -2, 1, -3, 5, 2, 3, -1], dtype=int)
res_int, _ = durbin_levinson(endog, 2, demean=False)
res_float, _ = durbin_levinson(endog * 1.0, 2, demean=False)
assert_allclose(res_int[0].params, res_float[0].params)
assert_allclose(res_int[1].params, res_float[1].params)
assert_allclose(res_int[2].params, res_float[2].params)
def test_alternate_arma_estimators_valid():
# Test that we can use (valid) alternate ARMA estimators
# Note that this does not test the results of the alternative estimators,
# and so it is labeled as a smoke test / TODO. However, assuming those
# estimators are tested elsewhere, the main testable concern from their
# inclusion in the feasible GLS step is that produce results at all.
# Thus, for example, we specify n_iter=1, and ignore the actual results.
# Nonetheless, it would be good to test against another package.
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
_, res_yw = gls(endog,
exog=exog,
order=(1, 0, 0),
arma_estimator='yule_walker',
n_iter=1)
assert_equal(res_yw.arma_estimator, 'yule_walker')
_, res_b = gls(endog,
exog=exog,
order=(1, 0, 0),
arma_estimator='burg',
n_iter=1)
assert_equal(res_b.arma_estimator, 'burg')
_, res_i = gls(endog,
exog=exog,
order=(0, 0, 1),
arma_estimator='innovations',
n_iter=1)
assert_equal(res_i.arma_estimator, 'innovations')
_, res_hr = gls(endog,
exog=exog,
order=(1, 0, 1),
arma_estimator='hannan_rissanen',
n_iter=1)
assert_equal(res_hr.arma_estimator, 'hannan_rissanen')
_, res_ss = gls(endog,
exog=exog,
order=(1, 0, 1),
arma_estimator='statespace',
n_iter=1)
assert_equal(res_ss.arma_estimator, 'statespace')
# Finally, default method is innovations
_, res_imle = gls(endog, exog=exog, order=(1, 0, 1), n_iter=1)
assert_equal(res_imle.arma_estimator, 'innovations_mle')
def test_integrated():
# Get the lake data
endog1 = lake.copy()
exog1 = np.c_[np.ones_like(endog1), np.arange(1, len(endog1) + 1) * 1.0]
endog2 = np.r_[0, np.cumsum(endog1)]
exog2 = np.c_[[0, 0], np.cumsum(exog1, axis=0).T].T
# Estimate without integration
p1, _ = gls(endog1, exog1, order=(1, 0, 0))
# Estimate with integration
with assert_warns(UserWarning):
p2, _ = gls(endog2, exog2, order=(1, 1, 0))
assert_allclose(p1.params, p2.params)
def test_brockwell_davis_example_514():
# Test against Example 5.1.4 in Brockwell and Davis (2016)
# (low-precision test, since we are testing against values printed in the
# textbook)
# Get the lake data
endog = lake.copy()
# Should have 98 observations
assert_equal(len(endog), 98)
desired = 9.0041
assert_allclose(endog.mean(), desired, atol=1e-4)
# Burg
res, _ = burg(endog, ar_order=2, demean=True)
assert_allclose(res.ar_params, [1.0449, -0.2456], atol=1e-4)
assert_allclose(res.sigma2, 0.4706, atol=1e-4)
def test_brockwell_davis_example_525():
# Difference and demean the series
endog = lake.copy()
# Use HR method to get initial coefficients for MLE
initial, _ = hannan_rissanen(endog, ar_order=1, ma_order=1, demean=True)
# Fit MLE via innovations algorithm
p, _ = innovations_mle(endog, order=(1, 0, 1), demean=True,
start_params=initial.params)
assert_allclose(p.params, [0.7446, 0.3213, 0.4750], atol=1e-4)
# Fit MLE via innovations algorithm, with default starting parameters
p, _ = innovations_mle(endog, order=(1, 0, 1), demean=True)
assert_allclose(p.params, [0.7446, 0.3213, 0.4750], atol=1e-4)
def test_basic():
endog = lake.copy()
exog = np.arange(1, len(endog) + 1) * 1.0
# Test default options (include_constant=True, concentrate_scale=False)
p, res = statespace(endog,
exog=exog,
order=(1, 0, 0),
include_constant=True,
concentrate_scale=False)
mod_ss = sarimax.SARIMAX(endog, exog=add_constant(exog), order=(1, 0, 0))
res_ss = mod_ss.filter(p.params)
assert_allclose(res.statespace_results.llf, res_ss.llf)
# Test include_constant=False
p, res = statespace(endog,
exog=exog,
order=(1, 0, 0),
include_constant=False,
concentrate_scale=False)
mod_ss = sarimax.SARIMAX(endog, exog=exog, order=(1, 0, 0))
res_ss = mod_ss.filter(p.params)
assert_allclose(res.statespace_results.llf, res_ss.llf)
# Test concentrate_scale=True
p, res = statespace(endog,
exog=exog,
order=(1, 0, 0),
include_constant=True,
concentrate_scale=True)
mod_ss = sarimax.SARIMAX(endog,
exog=add_constant(exog),
order=(1, 0, 0),
concentrate_scale=True)
res_ss = mod_ss.filter(p.params)
assert_allclose(res.statespace_results.llf, res_ss.llf)
def test_arma_kwargs():
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
# Test with the default method for scipy.optimize.minimize (BFGS)
_, res1_imle = gls(endog, exog=exog, order=(1, 0, 1), n_iter=1)
assert_equal(res1_imle.arma_estimator_kwargs, {})
assert_equal(res1_imle.arma_results[1].minimize_results.message,
'Optimization terminated successfully.')
# Now specify a different method (L-BFGS-B)
arma_estimator_kwargs = {'minimize_kwargs': {'method': 'L-BFGS-B'}}
_, res2_imle = gls(endog,
exog=exog,
order=(1, 0, 1),
n_iter=1,
arma_estimator_kwargs=arma_estimator_kwargs)
assert_equal(res2_imle.arma_estimator_kwargs, arma_estimator_kwargs)
assert_equal(res2_imle.arma_results[1].minimize_results.message,
b'CONVERGENCE: REL_REDUCTION_OF_F_<=_FACTR*EPSMCH')
def test_results():
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
# Test for results output
p, res = gls(endog, exog, order=(1, 0, 0))
assert_('params' in res)
assert_('converged' in res)
assert_('differences' in res)
assert_('iterations' in res)
assert_('arma_estimator' in res)
assert_('arma_results' in res)
assert_(res.converged)
assert_(res.iterations > 0)
assert_equal(res.arma_estimator, 'innovations_mle')
assert_equal(len(res.params), res.iterations + 1)
assert_equal(len(res.differences), res.iterations + 1)
assert_equal(len(res.arma_results), res.iterations + 1)
assert_equal(res.params[-1], p)
def test_set_default_unbiased():
# setting unbiased=None with stationary and invertible parameters should
# yield the exact same results as setting unbiased=True
endog = lake.copy()
p_1, other_results_2 = hannan_rissanen(
endog, ar_order=1, ma_order=1, unbiased=None
)
# unbiased=True
p_2, other_results_1 = hannan_rissanen(
endog, ar_order=1, ma_order=1, unbiased=True
)
np.testing.assert_array_equal(p_1.ar_params, p_2.ar_params)
np.testing.assert_array_equal(p_1.ma_params, p_2.ma_params)
assert p_1.sigma2 == p_2.sigma2
np.testing.assert_array_equal(other_results_1.resid, other_results_2.resid)
# unbiased=False
p_3, _ = hannan_rissanen(
endog, ar_order=1, ma_order=1, unbiased=False
)
assert not np.array_equal(p_1.ar_params, p_3.ar_params)
def test_misc():
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
# Test for warning if iterations fail to converge
assert_warns(UserWarning, gls, endog, exog, order=(2, 0, 0), max_iter=0)
def test_alternate_arma_estimators_invalid():
# Test that specifying an invalid ARMA estimators raises an error
endog = lake.copy()
exog = np.c_[np.ones_like(endog), np.arange(1, len(endog) + 1) * 1.0]
# Test for invalid estimator
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 1),
arma_estimator='invalid_estimator')
# Yule-Walker, Burg can only handle consecutive AR
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 1),
arma_estimator='yule_walker')
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 0),
seasonal_order=(1, 0, 0, 4),
arma_estimator='yule_walker')
assert_raises(ValueError,
gls,
endog,
exog,
order=([0, 1], 0, 0),
arma_estimator='yule_walker')
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 1),
arma_estimator='burg')
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 0),
seasonal_order=(1, 0, 0, 4),
arma_estimator='burg')
assert_raises(ValueError,
gls,
endog,
exog,
order=([0, 1], 0, 0),
arma_estimator='burg')
# Innovations (MA) can only handle consecutive MA
assert_raises(ValueError,
gls,
endog,
exog,
order=(1, 0, 0),
arma_estimator='innovations')
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 0),
seasonal_order=(0, 0, 1, 4),
arma_estimator='innovations')
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, [0, 1]),
arma_estimator='innovations')
# Hannan-Rissanen can't handle seasonal components
assert_raises(ValueError,
gls,
endog,
exog,
order=(0, 0, 0),
seasonal_order=(0, 0, 1, 4),
arma_estimator='hannan_rissanen')
