def setUp(self): self.kf1 = kalmanFilter(discount=[1]) self.kf0 = kalmanFilter(discount=[1e-10]) self.kf11 = kalmanFilter(discount=[1, 1]) self.trend0 = trend(degree=0, discount=1, w=1.0) self.trend0_90 = trend(degree=0, discount=0.9, w=1.0) self.trend0_98 = trend(degree=0, discount=0.98, w=1.0, name='a') self.trend1 = trend(degree=1, discount=1, w=1.0)
def _initializeFromBuilder(self, exported_builder): self.builder.initializeFromBuilder(data=self.data, exported_builder=exported_builder) self.Filter = kalmanFilter(discount=self.builder.discount, updateInnovation=self.options.innovationType, index=self.builder.componentIndex) self.result = self._result(self.n) self.initialized = True
def _initialize(self): """ Initialize the model: initialize builder and filter. """ self.builder.initialize(noise=self.options.noise) self.Filter = kalmanFilter(discount=self.builder.discount, updateInnovation=self.options.innovationType, index=self.builder.componentIndex) self.result = self._result(self.n) self.initialized = True
def _initialize(self): """ Initialize the model: initialize builder and filter. """ self._autoNoise() self.builder.initialize(noise=self.options.noise, data=self.padded_data) self.Filter = kalmanFilter(discount=self.builder.discount, updateInnovation=self.options.innovationType, index=self.builder.componentIndex) self.result = self._result(self.n) self.initialized = True
def testEvolveMode(self): dlm = builder() dlm.add(trend(degree=1, discount=0.9, w=1.0)) dlm.add(trend(degree=1, discount=0.98, name='a', w=1.0)) dlm.initialize() kf2 = kalmanFilter(discount=[0.9, 0.98], updateInnovation='component', index=dlm.componentIndex) kf2.forwardFilter(dlm.model, 1.0) self.assertAlmostEqual(dlm.model.innovation[0, 1], 0.0) self.assertAlmostEqual(dlm.model.innovation[1, 0], 0.0)
def _initialize(self): """ Initialize the model: initialize builder and filter. """ self.builder.initialize(noise=self.options.noise) #if self.options.shrink == 'auto': # self.Filter = kalmanFilter(discount = self.builder.discount, \ # shrink = 1 - min(self.builder.discount), \ # shrinkageMatrix = self.builder.sysVarPrior) #else: self.Filter = kalmanFilter(discount=self.builder.discount) self.result = self._result(self.n) self.initialized = True
def _initialize(self): """ Initialize the model: initialize builder and filter. """ self.builder.initialize(noise=self.options.noise) # if self.options.shrink == 'auto': # self.Filter = kalmanFilter(discount = self.builder.discount, # shrink = 1 - min(self.builder.discount), # shrinkageMatrix = self.builder.sysVarPrior) # else: self.Filter = kalmanFilter(discount=self.builder.discount, updateInnovation=self.options.innovationType, index=self.builder.componentIndex) self.result = self._result(self.n) self.initialized = True
def setUp(self): self.kf1 = kalmanFilter(discount=[1]) self.kf0 = kalmanFilter(discount=[1e-10]) self.kf11 = kalmanFilter(discount=[1, 1])