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): 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([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): 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])