print(lpol_fiar(0.4, n=20))
print(lpol_fima(-0.4, n=20))
print(np.sum((lpol_fima(-0.4, n=n)[1:] + riinv[1:])**2)) #different signs
print(np.sum((lpol_fiar(0.4, n=n)[1:] - riinv[1:])**2)) #corrected signs
#test is now in statsmodels.tsa.tests.test_arima_process
from statsmodels.tsa.tests.test_arima_process import test_fi
test_fi()
ar_true = [1, -0.4]
ma_true = [1, 0.5]
ar_desired = arma_impulse_response(ma_true, ar_true)
ar_app, ma_app, res = ar2arma(ar_desired,
2,
1,
n=100,
mse='ar',
start=[0.1])
print(ar_app, ma_app)
ar_app, ma_app, res = ar2arma(ar_desired,
2,
2,
n=100,
mse='ar',
start=[-0.1, 0.1])
print(ar_app, ma_app)
ar_app, ma_app, res = ar2arma(ar_desired, 2, 3, n=100,
mse='ar') #, start = [-0.1, 0.1])
print(ar_app, ma_app)
slow = 1
'''
print(lpol_fiar(0.4, n=20))
print(lpol_fima(-0.4, n=20))
print(np.sum((lpol_fima(-0.4, n=n)[1:] + riinv[1:])**2)) #different signs
print(np.sum((lpol_fiar(0.4, n=n)[1:] - riinv[1:])**2)) #corrected signs
#test is now in statsmodels.tsa.tests.test_arima_process
from statsmodels.tsa.tests.test_arima_process import test_fi
test_fi()
ar_true = [1, -0.4]
ma_true = [1, 0.5]
ar_desired = arma_impulse_response(ma_true, ar_true)
ar_app, ma_app, res = ar2arma(ar_desired, 2,1, n=100, mse='ar', start=[0.1])
print(ar_app, ma_app)
ar_app, ma_app, res = ar2arma(ar_desired, 2,2, n=100, mse='ar', start=[-0.1, 0.1])
print(ar_app, ma_app)
ar_app, ma_app, res = ar2arma(ar_desired, 2,3, n=100, mse='ar')#, start = [-0.1, 0.1])
print(ar_app, ma_app)
slow = 1
if slow:
ar_desired = lpol_fiar(0.4, n=100)
ar_app, ma_app, res = ar2arma(ar_desired, 3, 1, n=100, mse='ar')#, start = [-0.1, 0.1])
print(ar_app, ma_app)
ar_app, ma_app, res = ar2arma(ar_desired, 10, 10, n=100, mse='ar')#, start = [-0.1, 0.1])
print(ar_app, ma_app)