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 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)
