def test_arch(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
p = 3
recpy.arch_recursion_python(parameters, resids, sigma2, p, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
recpy.arch_recursion(parameters, resids, sigma2, p, T, backcast,
self.var_bounds)
sigma2_numba = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, p, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([-.1, -.4, .3, .2])
recpy.arch_recursion_python(parameters, resids, sigma2, p, T, backcast,
self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, 4e8, 3, 2])
recpy.arch_recursion_python(parameters, resids, sigma2, p, T, backcast,
self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_performance_warning():
parameters = np.array([1, .1])
nobs = 100
resids = np.ones(nobs)
sigma2 = resids.copy()
p = 1
backcast = 1.0
var_bounds = np.empty((nobs, 2))
var_bounds[:, 0] = 0.0
var_bounds[:, 1] = 1.0e14
with pytest.warns(PerformanceWarning):
arch_recursion(parameters, resids, sigma2, p, nobs, backcast, var_bounds)
def test_performance_warning():
parameters = np.array([1, 0.1])
nobs = 100
resids = np.ones(nobs)
sigma2 = resids.copy()
p = 1
backcast = 1.0
var_bounds = np.empty((nobs, 2))
var_bounds[:, 0] = 0.0
var_bounds[:, 1] = 1.0e14
with pytest.warns(PerformanceWarning):
arch_recursion(parameters, resids, sigma2, p, nobs, backcast,
var_bounds)
def test_arch(self):
nobs, resids = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([0.1, 0.4, 0.3, 0.2])
p = 3
recpy.arch_recursion_python(
parameters, resids, sigma2, p, nobs, backcast, self.var_bounds
)
sigma2_python = sigma2.copy()
recpy.arch_recursion(
parameters, resids, sigma2, p, nobs, backcast, self.var_bounds
)
sigma2_numba = sigma2.copy()
rec.arch_recursion(
parameters, resids, sigma2, p, nobs, backcast, self.var_bounds
)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([-0.1, -0.4, 0.3, 0.2])
recpy.arch_recursion_python(
parameters, resids, sigma2, p, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([0.1, 4e8, 3, 2])
recpy.arch_recursion_python(
parameters, resids, sigma2, p, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
mod_resids = resids.copy()
mod_resids[:10] = np.inf
recpy.arch_recursion_python(
parameters, mod_resids, sigma2, p, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.arch_recursion(
parameters, mod_resids, sigma2, p, nobs, backcast, self.var_bounds
)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_arch(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
p = 3
recpy.arch_recursion_python(parameters, resids, sigma2, p, T,
backcast, self.var_bounds)
sigma2_python = sigma2.copy()
recpy.arch_recursion(parameters, resids, sigma2, p, T,
backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, p, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
def test_arch(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([.1, .4, .3, .2])
p = 3
recpy.arch_recursion_python(parameters, resids, sigma2, p, nobs,
backcast, self.var_bounds)
sigma2_python = sigma2.copy()
recpy.arch_recursion(parameters, resids, sigma2, p, nobs,
backcast, self.var_bounds)
sigma2_numba = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, p, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_numba, sigma2)
assert_almost_equal(sigma2_python, sigma2)
parameters = np.array([-.1, -.4, .3, .2])
recpy.arch_recursion_python(parameters, resids, sigma2, p, nobs,
backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([.1, 4e8, 3, 2])
recpy.arch_recursion_python(parameters, resids, sigma2, p, nobs,
backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
mod_resids = resids.copy()
mod_resids[:10] = np.inf
recpy.arch_recursion_python(parameters, mod_resids, sigma2, p, nobs,
backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
rec.arch_recursion(parameters, mod_resids, sigma2, p, nobs, backcast, self.var_bounds)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
def test_bounds(self):
nobs, resids, = self.nobs, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([1e100, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([-1e100, .4, .3, .2])
recpy.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
fresids = resids**2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([-1e100, .4, .3, .2])
recpy.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1, 1,
nobs, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert np.all(sigma2 >= self.var_bounds[:, 0])
assert np.all(sigma2 <= 2 * self.var_bounds[:, 1])
parameters = np.array([-1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, nobs, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
def test_bounds(self):
T, resids, = self.T, self.resids
sigma2, backcast = self.sigma2, self.backcast
parameters = np.array([1e100, .4, .3, .2])
lags = np.array([1, 5, 22], dtype=np.int32)
recpy.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_true((sigma2 >= self.var_bounds[:, 1]).all())
parameters = np.array([-1e100, .4, .3, .2])
recpy.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.harch_recursion(parameters, resids, sigma2, lags, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
fresids = resids ** 2.0
sresids = np.sign(resids)
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 1, 1, T, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, T, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_true((sigma2 >= self.var_bounds[:, 1]).all())
parameters = np.array([-1e100, .4, .3, .2])
recpy.garch_recursion(parameters, fresids, sresids, sigma2,
1, 1, 1, T, backcast, self.var_bounds)
sigma2_python = sigma2.copy()
rec.garch_recursion(parameters, fresids, sresids, sigma2, 1, 1,
1, T, backcast, self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
parameters = np.array([1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_true((sigma2 >= self.var_bounds[:, 1]).all())
parameters = np.array([-1e100, .4, .3, .2])
recpy.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
sigma2_python = sigma2.copy()
rec.arch_recursion(parameters, resids, sigma2, 3, T, backcast,
self.var_bounds)
assert_almost_equal(sigma2_python, sigma2)
assert_almost_equal(sigma2, self.var_bounds[:, 0])
