Python lpol_fimaの例

コード例 #1

ファイル: test_arima_process.py プロジェクト: timgates42/statsmodels

def test_fi():
    # test identity of ma and ar representation of fi lag polynomial
    n = 100
    mafromar = arma_impulse_response(lpol_fiar(0.4, n=n), [1], n)
    assert_array_almost_equal(mafromar, lpol_fima(0.4, n=n), 13)

コード例 #2

ファイル: try_fi.py プロジェクト: locolucco209/MongoScraper

#from statsmodels.sandbox import tsa
from statsmodels.tsa.arima_process import arma_impulse_response

#--------------------
# functions have been moved to arima_process
from statsmodels.tsa.arima_process import (lpol_fiar, lpol_fima, lpol_sdiff,
                                           ar2arma)
#-----------------------------------

if __name__ == '__main__':
    d = 0.4
    n = 1000
    j = np.arange(n * 10)
    ri0 = gamma(d + j) / (gamma(j + 1) * gamma(d))
    #ri = np.exp(gammaln(d+j) - gammaln(j+1) - gammaln(d))   (d not -d)
    ri = lpol_fima(d, n=n)  # get_ficoefs(d, n=n) old naming?
    riinv = signal.lfilter([1], ri, [1] + [0] * (n - 1))  #[[5,10,20,25]]
    '''
    array([-0.029952  , -0.01100641, -0.00410998, -0.00299859])
    >>> d=0.4; j=np.arange(1000);ri=gamma(d+j)/(gamma(j+1)*gamma(d))
    >>> # (1-L)^d, d<1 is
    >>> lfilter([1], ri, [1]+[0]*30)
    array([ 1.        , -0.4       , -0.12      , -0.064     , -0.0416    ,
          -0.029952  , -0.0229632 , -0.01837056, -0.01515571, -0.01279816,
          -0.01100641, -0.0096056 , -0.00848495, -0.00757118, -0.00681406,
          -0.00617808, -0.0056375 , -0.00517324, -0.00477087, -0.00441934,
          -0.00410998, -0.00383598, -0.00359188, -0.00337324, -0.00317647,
          -0.00299859, -0.00283712, -0.00269001, -0.00255551, -0.00243214,
          -0.00231864])
    >>> # verified for points [[5,10,20,25]] at 4 decimals with Bhardwaj, Swanson, Journal of Eonometrics 2006
    '''

コード例 #3

ファイル: test_arima_process.py プロジェクト: cong1989/statsmodels

def test_fi():
    # test identity of ma and ar representation of fi lag polynomial
    n = 100
    mafromar = arma_impulse_response(lpol_fiar(0.4, n=n), [1], n)
    assert_array_almost_equal(mafromar, lpol_fima(0.4, n=n), 13)

コード例 #4

ファイル: try_fi.py プロジェクト: 0ceangypsy/statsmodels

#--------------------
# functions have been moved to arima_process
from statsmodels.tsa.arima_process import (lpol_fiar, lpol_fima, lpol_sdiff,
                                                   ar2arma)
#-----------------------------------



if __name__ == '__main__':
    d = 0.4
    n = 1000
    j = np.arange(n*10)
    ri0 = gamma(d+j)/(gamma(j+1)*gamma(d))
    #ri = np.exp(gammaln(d+j) - gammaln(j+1) - gammaln(d))   (d not -d)
    ri = lpol_fima(d, n=n)  # get_ficoefs(d, n=n) old naming?
    riinv = signal.lfilter([1], ri, [1]+[0]*(n-1))#[[5,10,20,25]]
    '''
    array([-0.029952  , -0.01100641, -0.00410998, -0.00299859])
    >>> d=0.4; j=np.arange(1000);ri=gamma(d+j)/(gamma(j+1)*gamma(d))
    >>> # (1-L)^d, d<1 is
    >>> lfilter([1], ri, [1]+[0]*30)
    array([ 1.        , -0.4       , -0.12      , -0.064     , -0.0416    ,
          -0.029952  , -0.0229632 , -0.01837056, -0.01515571, -0.01279816,
          -0.01100641, -0.0096056 , -0.00848495, -0.00757118, -0.00681406,
          -0.00617808, -0.0056375 , -0.00517324, -0.00477087, -0.00441934,
          -0.00410998, -0.00383598, -0.00359188, -0.00337324, -0.00317647,
          -0.00299859, -0.00283712, -0.00269001, -0.00255551, -0.00243214,
          -0.00231864])
    >>> # verified for points [[5,10,20,25]] at 4 decimals with Bhardwaj, Swanson, Journal of Eonometrics 2006
    '''