def resid(self):
model = self.model
params = self.params
y = model.endog.copy()
#demean for exog != None
k = model.k_exog + model.k_trend
if k > 0:
y -= dot(model.exog, params[:k])
k_lags = model.k_lags
k_ar = model.k_ar
k_ma = model.k_ma
if self.model.method != "css":
#TODO: move get errors to cython-ized Kalman filter
nobs = self.nobs
Z_mat = KalmanFilter.Z(k_lags)
m = Z_mat.shape[1]
R_mat = KalmanFilter.R(params, k_lags, k, k_ma, k_ar)
T_mat = KalmanFilter.T(params, k_lags, k, k_ar)
#initial state and its variance
alpha = zeros((m,1))
Q_0 = dot(inv(identity(m**2)-kron(T_mat,T_mat)),
dot(R_mat,R_mat.T).ravel('F'))
Q_0 = Q_0.reshape(k_lags,k_lags,order='F')
P = Q_0
resids = empty((nobs,1), dtype=params.dtype)
for i in xrange(int(nobs)):
# Predict
v_mat = y[i] - dot(Z_mat,alpha) # one-step forecast error
resids[i] = v_mat
F_mat = dot(dot(Z_mat, P), Z_mat.T)
Finv = 1./F_mat # always scalar for univariate series
K = dot(dot(dot(T_mat,P),Z_mat.T),Finv) # Kalman Gain Matrix
# update state
alpha = dot(T_mat, alpha) + dot(K,v_mat)
L = T_mat - dot(K,Z_mat)
P = dot(dot(T_mat, P), L.T) + dot(R_mat, R_mat.T)
else:
b,a = np.r_[1,-params[k:k+k_ar]], np.r_[1,params[k+k_ar:]]
zi = np.zeros((max(k_ar,k_ma)))
for i in range(k_ar):
zi[i] = sum(-b[:i+1][::-1] * y[:i+1])
e = lfilter(b,a, y, zi=zi)
resids = e[0][k_ar:]
return resids.squeeze()
def geterrors(self, params):
"""
Get the errors of the ARMA process.
Parameters
----------
params : array-like
The fitted ARMA parameters
order : array-like
3 item iterable, with the number of AR, MA, and exogenous
parameters, including the trend
"""
#start = self._get_predict_start(start) # will be an index of a date
#end, out_of_sample = self._get_predict_end(end)
params = np.asarray(params)
k_ar, k_ma = self.k_ar, self.k_ma
k = self.k_exog + self.k_trend
if 'mle' in self.method: # use KalmanFilter to get errors
(y, k, nobs, k_ar, k_ma, k_lags, newparams, Z_mat, m, R_mat,
T_mat, paramsdtype) = KalmanFilter._init_kalman_state(params, self)
errors = KalmanFilter.geterrors(y,k,k_ar,k_ma, k_lags, nobs,
Z_mat, m, R_mat, T_mat, paramsdtype)
if isinstance(errors, tuple):
errors = errors[0] # non-cython version returns a tuple
else: # use scipy.signal.lfilter
y = self.endog.copy()
k = self.k_exog + self.k_trend
if k > 0:
y -= dot(self.exog, params[:k])
k_ar = self.k_ar
k_ma = self.k_ma
(trendparams, exparams,
arparams, maparams) = _unpack_params(params, (k_ar, k_ma),
self.k_trend, self.k_exog,
reverse=False)
b,a = np.r_[1,-arparams], np.r_[1,maparams]
zi = zeros((max(k_ar, k_ma)))
for i in range(k_ar):
zi[i] = sum(-b[:i+1][::-1]*y[:i+1])
e = lfilter(b,a,y,zi=zi)
errors = e[0][k_ar:]
return errors.squeeze()
def geterrors(self, params):
"""
Get the errors of the ARMA process.
Parameters
----------
params : array-like
The fitted ARMA parameters
order : array-like
3 item iterable, with the number of AR, MA, and exogenous
parameters, including the trend
"""
#start = self._get_predict_start(start) # will be an index of a date
#end, out_of_sample = self._get_predict_end(end)
params = np.asarray(params)
k_ar, k_ma = self.k_ar, self.k_ma
k = self.k_exog + self.k_trend
if 'mle' in self.method: # use KalmanFilter to get errors
(y, k, nobs, k_ar, k_ma, k_lags, newparams, Z_mat, m, R_mat, T_mat,
paramsdtype) = KalmanFilter._init_kalman_state(params, self)
errors = KalmanFilter.geterrors(y, k, k_ar, k_ma, k_lags, nobs,
Z_mat, m, R_mat, T_mat,
paramsdtype)
if isinstance(errors, tuple):
errors = errors[0] # non-cython version returns a tuple
else: # use scipy.signal.lfilter
y = self.endog.copy()
k = self.k_exog + self.k_trend
if k > 0:
y -= dot(self.exog, params[:k])
k_ar = self.k_ar
k_ma = self.k_ma
(trendparams, exparams, arparams,
maparams) = _unpack_params(params, (k_ar, k_ma),
self.k_trend,
self.k_exog,
reverse=False)
b, a = np.r_[1, -arparams], np.r_[1, maparams]
zi = zeros((max(k_ar, k_ma)))
for i in range(k_ar):
zi[i] = sum(-b[:i + 1][::-1] * y[:i + 1])
e = lfilter(b, a, y, zi=zi)
errors = e[0][k_ar:]
return errors.squeeze()
def loglike_kalman(self, params):
"""
Compute exact loglikelihood for ARMA(p,q) model using the Kalman Filter.
"""
return KalmanFilter.loglike(params, self)
def loglike_kalman(self, params):
"""
Compute exact loglikelihood for ARMA(p,q) model using the Kalman Filter.
"""
return KalmanFilter.loglike(params, self)