def test_acf_fft_dataframe():
# regression test #322
result = acf(sunspots.load_pandas().data[["SUNACTIVITY"]],
fft=True,
nlags=20)
assert_equal(result.ndim, 1)
def test_acovf2d():
dta = sunspots.load_pandas().data
dta.index = DatetimeIndex(start='1700', end='2009', freq='A')[:309]
del dta["YEAR"]
res = acovf(dta)
assert_equal(res, acovf(dta.values))
X = np.random.random((10,2))
assert_raises(ValueError, acovf, X)
def test_acovf2d():
dta = sunspots.load_pandas().data
dta.index = Index(dates_from_range('1700', '2008'))
del dta["YEAR"]
res = acovf(dta)
assert_equal(res, acovf(dta.values))
X = np.random.random((10,2))
assert_raises(ValueError, acovf, X)
def test_acovf2d():
dta = sunspots.load_pandas().data
dta.index = DatetimeIndex(start='1700', end='2009', freq='A')
del dta["YEAR"]
res = acovf(dta)
assert_equal(res, acovf(dta.values))
X = np.random.random((10, 2))
assert_raises(ValueError, acovf, X)
def test_autoreg_score():
data = sunspots.load_pandas()
ar = AutoReg(np.asarray(data.endog), 3)
res = ar.fit()
score = ar.score(res.params)
assert isinstance(score, np.ndarray)
assert score.shape == (4, )
assert ar.information(res.params).shape == (4, 4)
def test_acovf2d():
dta = sunspots.load_pandas().data
dta.index = Index(dates_from_range('1700', '2008'))
del dta["YEAR"]
res = acovf(dta)
assert_equal(res, acovf(dta.values))
X = np.random.random((10, 2))
assert_raises(ValueError, acovf, X)
def test_acovf2d(reset_randomstate):
dta = sunspots.load_pandas().data
dta.index = date_range(start='1700', end='2009', freq='A')[:309]
del dta["YEAR"]
res = acovf(dta, fft=False)
assert_equal(res, acovf(dta.values, fft=False))
x = np.random.random((10, 2))
with pytest.raises(ValueError):
acovf(x, fft=False)
def test_acovf2d(reset_randomstate):
dta = sunspots.load_pandas().data
dta.index = date_range(start='1700', end='2009', freq='A')[:309]
del dta["YEAR"]
res = acovf(dta, fft=False)
assert_equal(res, acovf(dta.values, fft=False))
x = np.random.random((10, 2))
with pytest.raises(ValueError):
acovf(x, fft=False)
def test_ljungbox_dof_adj():
data = sunspots.load_pandas().data['SUNACTIVITY']
res = AR(data).fit(maxlag=4)
resid = res.resid
res1 = smsdia.acorr_ljungbox(resid, lags=10)
res2 = smsdia.acorr_ljungbox(resid, lags=10, model_df=res.k_ar)
assert_allclose(res1[0], res2[0])
assert np.all(np.isnan(res2[1][:4]))
assert np.all(res2[1][4:] <= res1[1][4:])
def test_ljungbox_dof_adj():
data = sunspots.load_pandas().data['SUNACTIVITY']
res = AutoReg(data, 4).fit()
resid = res.resid
res1 = smsdia.acorr_ljungbox(resid, lags=10, return_df=False)
res2 = smsdia.acorr_ljungbox(resid, lags=10, model_df=4, return_df=False)
assert_allclose(res1[0], res2[0])
assert np.all(np.isnan(res2[1][:4]))
assert np.all(res2[1][4:] <= res1[1][4:])
def test_ljungbox_errors():
data = sunspots.load_pandas().data['SUNACTIVITY']
with pytest.raises(ValueError, match="model_df must"):
smsdia.acorr_ljungbox(data, model_df=-1)
with pytest.raises(ValueError, match="period must"):
smsdia.acorr_ljungbox(data, model_df=-1, period=1)
with pytest.raises(ValueError, match="period must"):
smsdia.acorr_ljungbox(data, model_df=-1, period=-2)
with pytest.warns(FutureWarning, match="The default value of lags"):
smsdia.acorr_ljungbox(data, return_df=False)
def test_get_prediction():
# GH7309
df = sunspots.load_pandas().data
df.index = np.arange(df.shape[0])
y = df.iloc[:, 0]
stlf_model = STLForecast(
y, model=ARIMA, model_kwargs={"order": (2, 2, 0)}, period=11
)
stlf_res = stlf_model.fit()
pred = stlf_res.get_prediction()
assert pred.predicted_mean.shape == (309,)
assert pred.var_pred_mean.shape == (309,)
def test_pandas_nodates_index():
from statsmodels.datasets import sunspots
y = sunspots.load_pandas().data.SUNACTIVITY
npt.assert_raises(ValueError, TimeSeriesModel, y)
def test_pandas_nodates_index():
from statsmodels.datasets import sunspots
y = sunspots.load_pandas().data.SUNACTIVITY
npt.assert_raises(ValueError, TimeSeriesModel, y)
def test_autoreg_roots():
data = sunspots.load_pandas()
ar = AutoReg(np.asarray(data.endog), lags=1)
res = ar.fit()
assert_almost_equal(res.roots, np.array([1.0 / res.params[-1]]))
def test_ljungbox_period():
data = sunspots.load_pandas().data['SUNACTIVITY']
ar_res = AutoReg(data, 4).fit()
res = smsdia.acorr_ljungbox(ar_res.resid, period=13, return_df=True)
res2 = smsdia.acorr_ljungbox(ar_res.resid, lags=26, return_df=True)
assert_frame_equal(res, res2)
def test_acf_fft_dataframe():
# regression test #322
result = acf(sunspots.load_pandas().data[['SUNACTIVITY']], fft=True)
assert_equal(result.ndim, 1)