def _params2cov(self, params, nobs):
'''get autocovariance matrix from ARMA regression parameter
ar parameters are assumed to have rhs parameterization
'''
ar = np.r_[[1], -params[:self.nar]]
ma = np.r_[[1], params[-self.nma:]]
#print 'ar', ar
#print 'ma', ma
#print 'nobs', nobs
autocov = arma_acovf(ar, ma, nobs=nobs)
#print 'arma_acovf(%r, %r, nobs=%d)' % (ar, ma, nobs)
#print autocov.shape
#something is strange fixed in aram_acovf
autocov = autocov[:nobs]
sigma = toeplitz(autocov)
return sigma
def _params2cov(self, params, nobs):
'''get autocovariance matrix from ARMA regression parameter
ar parameters are assumed to have rhs parameterization
'''
ar = np.r_[[1], -params[:self.nar]]
ma = np.r_[[1], params[-self.nma:]]
#print 'ar', ar
#print 'ma', ma
#print 'nobs', nobs
autocov = arma_acovf(ar, ma, nobs=nobs)
#print 'arma_acovf(%r, %r, nobs=%d)' % (ar, ma, nobs)
#print autocov.shape
#something is strange fixed in aram_acovf
autocov = autocov[:nobs]
sigma = toeplitz(autocov)
return sigma
ar1 = [1.0, -0.8]
ar0 = [1.0, 0.0]
ma1 = [1.0, 0.4]
ma2 = [1.0, 0.4, 0.6]
ma0 = [1.0, 0.0]
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
ma1 = [1., 0.4]
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
