def test_arma_acf():
# Check for specific AR(1)
N = 20
phi = 0.9
sigma = 1
# rep 1: from module function
rep1 = arma_acf([1, -phi], [1], N)
# rep 2: manually
acovf = np.array([1. * sigma * phi**i / (1 - phi**2) for i in range(N)])
rep2 = acovf / (1. / (1 - phi**2))
assert_allclose(rep1, rep2)
def test_arma_acf():
# Check for specific AR(1)
N = 20
phi = 0.9
sigma = 1
# rep 1: from module function
rep1 = arma_acf([1, -phi], [1], N)
# rep 2: manually
acovf = np.array([1. * sigma * phi ** i / (1 - phi ** 2) for i in range(N)])
rep2 = acovf / (1. / (1 - phi ** 2))
assert_almost_equal(rep1, rep2, 8) # 8 is max precision here
def _ACF_ARMA(self, x_max):
"""Calculate the ACF using an ARMA function (from statsmodels)."""
nma = round(self.lambda_avg/self.lambda_s)
ma_coeff = numpy.ones((nma))
lag_max = ceil(x_max / self.lambda_s)
a1 = exp(-self.lambda_s / self.lambda_p)
# Use the statsmodels ARMA function
armaAcf = arma_acf([1,-a1], ma_coeff, nobs=lag_max)
x = numpy.arange(0, x_max, self.lambda_s)
# Set self.acf - a 2-d array of theta/ACF
acf = numpy.empty((len(x), 2))
# convert distance x (meters) in the acf to angular scale in degrees - clouds assumed
# at 10 km (thus dividing by 10,000)
acf[:,0] = x / (10000.0*numpy.pi/180.0)
acf[:,1] = armaAcf
return acf
def test_arma_acf_compare_R_ARMAacf():
# Test specific cases against output from R's ARMAacf
bd_example_3_3_2 = arma_acf([1, -1, 0.25], [1, 1])
assert_allclose(bd_example_3_3_2, results_arma_acf.bd_example_3_3_2)
example_1 = arma_acf([1, -1, 0.25], [1, 1, 0.2])
assert_allclose(example_1, results_arma_acf.custom_example_1)
example_2 = arma_acf([1, -1, 0.25], [1, 1, 0.2, 0.3])
assert_allclose(example_2, results_arma_acf.custom_example_2)
example_3 = arma_acf([1, -1, 0.25], [1, 1, 0.2, 0.3, -0.35])
assert_allclose(example_3, results_arma_acf.custom_example_3)
example_4 = arma_acf([1, -1, 0.25], [1, 1, 0.2, 0.3, -0.35, -0.1])
assert_allclose(example_4, results_arma_acf.custom_example_4)
example_5 = arma_acf([1, -1, 0.25, -0.1], [1, 1, 0.2])
assert_allclose(example_5, results_arma_acf.custom_example_5)
example_6 = arma_acf([1, -1, 0.25, -0.1, 0.05], [1, 1, 0.2])
assert_allclose(example_6, results_arma_acf.custom_example_6)
example_7 = arma_acf([1, -1, 0.25, -0.1, 0.05, -0.02], [1, 1, 0.2])
assert_allclose(example_7, results_arma_acf.custom_example_7)
def test_arma_acf_compare_R_ARMAacf():
# Test specific cases against output from R's ARMAacf
bd_example_3_3_2 = arma_acf([1, -1, 0.25], [1, 1])
assert_allclose(bd_example_3_3_2, results_arma_acf.bd_example_3_3_2)
example_1 = arma_acf([1, -1, 0.25], [1, 1, 0.2])
assert_allclose(example_1, results_arma_acf.custom_example_1)
example_2 = arma_acf([1, -1, 0.25], [1, 1, 0.2, 0.3])
assert_allclose(example_2, results_arma_acf.custom_example_2)
example_3 = arma_acf([1, -1, 0.25], [1, 1, 0.2, 0.3, -0.35])
assert_allclose(example_3, results_arma_acf.custom_example_3)
example_4 = arma_acf([1, -1, 0.25], [1, 1, 0.2, 0.3, -0.35, -0.1])
assert_allclose(example_4, results_arma_acf.custom_example_4)
example_5 = arma_acf([1, -1, 0.25, -0.1], [1, 1, 0.2])
assert_allclose(example_5, results_arma_acf.custom_example_5)
example_6 = arma_acf([1, -1, 0.25, -0.1, 0.05], [1, 1, 0.2])
assert_allclose(example_6, results_arma_acf.custom_example_6)
example_7 = arma_acf([1, -1, 0.25, -0.1, 0.05, -0.02], [1, 1, 0.2])
assert_allclose(example_7, results_arma_acf.custom_example_7)
def ACF_ARMA(lambda_p, lambda_avg, lambda_s, x_max):
lambda_p = float(lambda_p)
lambda_s = float(lambda_s)
lambda_avg = float(lambda_avg)
nma = round(lambda_avg/lambda_s)
ma_coeff = np.ones((nma))
lag_max = round(x_max / lambda_s)
a1 = exp(-lambda_s / lambda_p)
acf = arma_acf([1,-a1], ma_coeff, nobs=lag_max)
x = np.arange(0, x_max, lambda_s)
acfArray = np.empty((len(x), 2))
acfArray[:,0] = x
acfArray[:,1] = acf
return acfArray
('ma2', acovf_ma2),
('arma11', acovf_arma11),
('ar1', acovf_arma11)])
cases = [('ma1', (ar0, ma1)),
('ma2', (ar0, ma2)),
('arma11', (ar1, ma1)),
('ar1', (ar1, ma0))]
for c, args in cases:
ar, ma = args
print('')
print(c, ar, ma)
myacovf = arma_acovf(ar, ma, nobs=10)
myacf = arma_acf(ar, ma, nobs=10)
if c[:2]=='ma':
othacovf = comparefn[c](ma)
else:
othacovf = comparefn[c](ar, ma)
print(myacovf[:5])
print(othacovf[:5])
#something broke again,
#for high persistence case eg ar=0.99, nobs of IR has to be large
#made changes to arma_acovf
assert_array_almost_equal(myacovf, othacovf,10)
assert_array_almost_equal(myacf, othacovf/othacovf[0],10)
#from nitime.utils
def ar_generator(N=512, sigma=1.):
ma2 = [1., 0.4, 0.6]
ma0 = [1., 0.]
comparefn = dict([('ma1', acovf_ma1), ('ma2', acovf_ma2),
('arma11', acovf_arma11), ('ar1', acovf_arma11)])
cases = [('ma1', (ar0, ma1)), ('ma2', (ar0, ma2)), ('arma11', (ar1, ma1)),
('ar1', (ar1, ma0))]
for c, args in cases:
ar, ma = args
print('')
print(c, ar, ma)
myacovf = arma_acovf(ar, ma, nobs=10)
myacf = arma_acf(ar, ma, nobs=10)
if c[:2] == 'ma':
othacovf = comparefn[c](ma)
else:
othacovf = comparefn[c](ar, ma)
print(myacovf[:5])
print(othacovf[:5])
#something broke again,
#for high persistence case eg ar=0.99, nobs of IR has to be large
#made changes to arma_acovf
assert_array_almost_equal(myacovf, othacovf, 10)
assert_array_almost_equal(myacf, othacovf / othacovf[0], 10)
#from nitime.utils
def ar_generator(N=512, sigma=1.):
ma2 = [1., 0.4, 0.6]
ma0 = [1., 0.]
comparefn = dict([('ma1', acovf_ma1), ('ma2', acovf_ma2),
('arma11', acovf_arma11), ('ar1', acovf_arma11)])
cases = [('ma1', (ar0, ma1)), ('ma2', (ar0, ma2)), ('arma11', (ar1, ma1)),
('ar1', (ar1, ma0))]
for c, args in cases:
ar, ma = args
print('')
print(c, ar, ma)
myacovf = arma_acovf(ar, ma, nobs=10)
myacf = arma_acf(ar, ma, lags=10)
if c[:2] == 'ma':
othacovf = comparefn[c](ma)
else:
othacovf = comparefn[c](ar, ma)
print(myacovf[:5])
print(othacovf[:5])
#something broke again,
#for high persistence case eg ar=0.99, nobs of IR has to be large
#made changes to arma_acovf
assert_array_almost_equal(myacovf, othacovf, 10)
assert_array_almost_equal(myacf, othacovf / othacovf[0], 10)
#from nitime.utils
def ar_generator(N=512, sigma=1.):