def test_kalman_filter_pickle(data):
# Construct the statespace representation
true = results_kalman_filter.uc_uni
k_states = 4
model = KalmanFilter(k_endog=1, k_states=k_states)
model.bind(data['lgdp'].values)
model.design[:, :, 0] = [1, 1, 0, 0]
model.transition[([0, 0, 1, 1, 2, 3],
[0, 3, 1, 2, 1, 3],
[0, 0, 0, 0, 0, 0])] = [1, 1, 0, 0, 1, 1]
model.selection = np.eye(model.k_states)
# Update matrices with given parameters
(sigma_v, sigma_e, sigma_w, phi_1, phi_2) = np.array(
true['parameters']
)
model.transition[([1, 1], [1, 2], [0, 0])] = [phi_1, phi_2]
model.state_cov[
np.diag_indices(k_states) + (np.zeros(k_states, dtype=int),)] = [
sigma_v ** 2, sigma_e ** 2, 0, sigma_w ** 2
]
# Initialization
initial_state = np.zeros((k_states,))
initial_state_cov = np.eye(k_states) * 100
# Initialization: modification
initial_state_cov = np.dot(
np.dot(model.transition[:, :, 0], initial_state_cov),
model.transition[:, :, 0].T
)
model.initialize_known(initial_state, initial_state_cov)
pkl_mod = cPickle.loads(cPickle.dumps(model))
results = model.filter()
pkl_results = pkl_mod.filter()
assert_allclose(results.llf_obs[true['start']:].sum(),
pkl_results.llf_obs[true['start']:].sum())
assert_allclose(results.filtered_state[0][true['start']:],
pkl_results.filtered_state[0][true['start']:])
assert_allclose(results.filtered_state[1][true['start']:],
pkl_results.filtered_state[1][true['start']:])
assert_allclose(results.filtered_state[3][true['start']:],
pkl_results.filtered_state[3][true['start']:])
def main1():
for equity in os.listdir(rawDataDir):
infp = PurePath(str(rawDataDir) + "/" + equity)
df = pd.read_parquet(infp)
volume_M = df.volume.sum() / df.shape[0]
# produce the volume bar
vbar = volume_bar_df(df, 'volume', volume_M)
vbar.set_index('dates', inplace=True)
# return
vbar['retClose'] = vbar['price'] / vbar['price'].shift(1) - 1
# daily vol
vbar['dailyVol'] = getDailyVol(vbar['price'])
# normOI and VPIN
vbar = orderFlow(vbar)
# kf setting, assume random walk
kf = KalmanFilter(1, 1)
sigma_h = 0.0001 # hidden
sigma_e = 0.001 # obs
kf.obs_cov = np.array([sigma_e])
kf.state_cov = np.array([sigma_h])
kf.design = np.array([1.0])
kf.transition = np.array([1.0])
kf.selection = np.array([1.0])
kf.initialize_known(np.array([vbar.price[0]]), np.array([[sigma_h]]))
kf.bind(np.array(vbar.price.copy()))
r = kf.filter()
vbar['forecasts'] = pd.DataFrame(r.forecasts[0], index=vbar.index)
vbar['forecasts_error'] = pd.DataFrame(r.forecasts_error[0],
index=vbar.index)
vbar['error_std'] = pd.DataFrame(np.sqrt(r.forecasts_error_cov[0][0]),
index=vbar.index)
vbar = vbar.dropna()
# srl_corr
vbar['srl_corr'] = df_rolling_autocorr(vbar['price'],
window=100).rename('srl_corr')
vbar = vbar.dropna()
## output
tmpPath = str(interimDataDir) + "/" + equity
outfp = PurePath(tmpPath)
print(outfp)
vbar.to_parquet(outfp)
print("Success: save")
return
class Clark1987(object):
"""
Clark's (1987) univariate unobserved components model of real GDP (as
presented in Kim and Nelson, 1999)
Test data produced using GAUSS code described in Kim and Nelson (1999) and
found at http://econ.korea.ac.kr/~cjkim/SSMARKOV.htm
See `results.results_kalman_filter` for more information.
"""
def __init__(self, dtype=float, **kwargs):
self.true = results_kalman_filter.uc_uni
self.true_states = pd.DataFrame(self.true['states'])
# GDP, Quarterly, 1947.1 - 1995.3
data = pd.DataFrame(
self.true['data'],
index=pd.date_range('1947-01-01', '1995-07-01', freq='QS'),
columns=['GDP']
)
data['lgdp'] = np.log(data['GDP'])
# Construct the statespace representation
k_states = 4
self.model = KalmanFilter(k_endog=1, k_states=k_states, **kwargs)
self.model.bind(data['lgdp'].values)
self.model.design[:, :, 0] = [1, 1, 0, 0]
self.model.transition[([0, 0, 1, 1, 2, 3],
[0, 3, 1, 2, 1, 3],
[0, 0, 0, 0, 0, 0])] = [1, 1, 0, 0, 1, 1]
self.model.selection = np.eye(self.model.k_states)
# Update matrices with given parameters
(sigma_v, sigma_e, sigma_w, phi_1, phi_2) = np.array(
self.true['parameters']
)
self.model.transition[([1, 1], [1, 2], [0, 0])] = [phi_1, phi_2]
self.model.state_cov[
np.diag_indices(k_states)+(np.zeros(k_states, dtype=int),)] = [
sigma_v**2, sigma_e**2, 0, sigma_w**2
]
# Initialization
initial_state = np.zeros((k_states,))
initial_state_cov = np.eye(k_states)*100
# Initialization: modification
initial_state_cov = np.dot(
np.dot(self.model.transition[:, :, 0], initial_state_cov),
self.model.transition[:, :, 0].T
)
self.model.initialize_known(initial_state, initial_state_cov)
def run_filter(self):
# Filter the data
self.results = self.model.filter()
def test_loglike(self):
assert_almost_equal(
self.results.llf_obs[self.true['start']:].sum(),
self.true['loglike'], 5
)
def test_filtered_state(self):
assert_almost_equal(
self.results.filtered_state[0][self.true['start']:],
self.true_states.iloc[:, 0], 4
)
assert_almost_equal(
self.results.filtered_state[1][self.true['start']:],
self.true_states.iloc[:, 1], 4
)
assert_almost_equal(
self.results.filtered_state[3][self.true['start']:],
self.true_states.iloc[:, 2], 4
)
class Clark1989(object):
"""
Clark's (1989) bivariate unobserved components model of real GDP (as
presented in Kim and Nelson, 1999)
Tests two-dimensional observation data.
Test data produced using GAUSS code described in Kim and Nelson (1999) and
found at http://econ.korea.ac.kr/~cjkim/SSMARKOV.htm
See `results.results_kalman_filter` for more information.
"""
def __init__(self, dtype=float, **kwargs):
self.true = results_kalman_filter.uc_bi
self.true_states = pd.DataFrame(self.true['states'])
# GDP and Unemployment, Quarterly, 1948.1 - 1995.3
data = pd.DataFrame(
self.true['data'],
index=pd.date_range('1947-01-01', '1995-07-01', freq='QS'),
columns=['GDP', 'UNEMP']
)[4:]
data['GDP'] = np.log(data['GDP'])
data['UNEMP'] = (data['UNEMP']/100)
k_states = 6
self.model = KalmanFilter(k_endog=2, k_states=k_states, **kwargs)
self.model.bind(np.ascontiguousarray(data.values))
# Statespace representation
self.model.design[:, :, 0] = [[1, 1, 0, 0, 0, 0], [0, 0, 0, 0, 0, 1]]
self.model.transition[
([0, 0, 1, 1, 2, 3, 4, 5],
[0, 4, 1, 2, 1, 2, 4, 5],
[0, 0, 0, 0, 0, 0, 0, 0])
] = [1, 1, 0, 0, 1, 1, 1, 1]
self.model.selection = np.eye(self.model.k_states)
# Update matrices with given parameters
(sigma_v, sigma_e, sigma_w, sigma_vl, sigma_ec,
phi_1, phi_2, alpha_1, alpha_2, alpha_3) = np.array(
self.true['parameters'],
)
self.model.design[([1, 1, 1], [1, 2, 3], [0, 0, 0])] = [
alpha_1, alpha_2, alpha_3
]
self.model.transition[([1, 1], [1, 2], [0, 0])] = [phi_1, phi_2]
self.model.obs_cov[1, 1, 0] = sigma_ec**2
self.model.state_cov[
np.diag_indices(k_states)+(np.zeros(k_states, dtype=int),)] = [
sigma_v**2, sigma_e**2, 0, 0, sigma_w**2, sigma_vl**2
]
# Initialization
initial_state = np.zeros((k_states,))
initial_state_cov = np.eye(k_states)*100
# Initialization: self.modelification
initial_state_cov = np.dot(
np.dot(self.model.transition[:, :, 0], initial_state_cov),
self.model.transition[:, :, 0].T
)
self.model.initialize_known(initial_state, initial_state_cov)
def run_filter(self):
# Filter the data
self.results = self.model.filter()
def test_loglike(self):
assert_almost_equal(
# self.results.llf_obs[self.true['start']:].sum(),
self.results.llf_obs[0:].sum(),
self.true['loglike'], 2
)
def test_filtered_state(self):
assert_almost_equal(
self.results.filtered_state[0][self.true['start']:],
self.true_states.iloc[:, 0], 4
)
assert_almost_equal(
self.results.filtered_state[1][self.true['start']:],
self.true_states.iloc[:, 1], 4
)
assert_almost_equal(
self.results.filtered_state[4][self.true['start']:],
self.true_states.iloc[:, 2], 4
)
assert_almost_equal(
self.results.filtered_state[5][self.true['start']:],
self.true_states.iloc[:, 3], 4
)
class Clark1987(object):
"""
Clark's (1987) univariate unobserved components model of real GDP (as
presented in Kim and Nelson, 1999)
Test data produced using GAUSS code described in Kim and Nelson (1999) and
found at http://econ.korea.ac.kr/~cjkim/SSMARKOV.htm
See `results.results_kalman_filter` for more information.
"""
def __init__(self, dtype=float, **kwargs):
self.true = results_kalman_filter.uc_uni
self.true_states = pd.DataFrame(self.true['states'])
# GDP, Quarterly, 1947.1 - 1995.3
data = pd.DataFrame(self.true['data'],
index=pd.date_range('1947-01-01',
'1995-07-01',
freq='QS'),
columns=['GDP'])
data['lgdp'] = np.log(data['GDP'])
# Construct the statespace representation
k_states = 4
self.model = KalmanFilter(k_endog=1, k_states=k_states, **kwargs)
self.model.bind(data['lgdp'].values)
self.model.design[:, :, 0] = [1, 1, 0, 0]
self.model.transition[([0, 0, 1, 1, 2,
3], [0, 3, 1, 2, 1,
3], [0, 0, 0, 0, 0,
0])] = [1, 1, 0, 0, 1, 1]
self.model.selection = np.eye(self.model.k_states)
# Update matrices with given parameters
(sigma_v, sigma_e, sigma_w, phi_1,
phi_2) = np.array(self.true['parameters'])
self.model.transition[([1, 1], [1, 2], [0, 0])] = [phi_1, phi_2]
self.model.state_cov[np.diag_indices(k_states) +
(np.zeros(k_states, dtype=int), )] = [
sigma_v**2, sigma_e**2, 0, sigma_w**2
]
# Initialization
initial_state = np.zeros((k_states, ))
initial_state_cov = np.eye(k_states) * 100
# Initialization: modification
initial_state_cov = np.dot(
np.dot(self.model.transition[:, :, 0], initial_state_cov),
self.model.transition[:, :, 0].T)
self.model.initialize_known(initial_state, initial_state_cov)
def run_filter(self):
# Filter the data
self.results = self.model.filter()
def test_loglike(self):
assert_almost_equal(self.results.llf_obs[self.true['start']:].sum(),
self.true['loglike'], 5)
def test_filtered_state(self):
assert_almost_equal(
self.results.filtered_state[0][self.true['start']:],
self.true_states.iloc[:, 0], 4)
assert_almost_equal(
self.results.filtered_state[1][self.true['start']:],
self.true_states.iloc[:, 1], 4)
assert_almost_equal(
self.results.filtered_state[3][self.true['start']:],
self.true_states.iloc[:, 2], 4)
class Clark1989(object):
"""
Clark's (1989) bivariate unobserved components model of real GDP (as
presented in Kim and Nelson, 1999)
Tests two-dimensional observation data.
Test data produced using GAUSS code described in Kim and Nelson (1999) and
found at http://econ.korea.ac.kr/~cjkim/SSMARKOV.htm
See `results.results_kalman_filter` for more information.
"""
def __init__(self, dtype=float, **kwargs):
self.true = results_kalman_filter.uc_bi
self.true_states = pd.DataFrame(self.true['states'])
# GDP and Unemployment, Quarterly, 1948.1 - 1995.3
data = pd.DataFrame(self.true['data'],
index=pd.date_range('1947-01-01',
'1995-07-01',
freq='QS'),
columns=['GDP', 'UNEMP'])[4:]
data['GDP'] = np.log(data['GDP'])
data['UNEMP'] = (data['UNEMP'] / 100)
k_states = 6
self.model = KalmanFilter(k_endog=2, k_states=k_states, **kwargs)
self.model.bind(np.ascontiguousarray(data.values))
# Statespace representation
self.model.design[:, :, 0] = [[1, 1, 0, 0, 0, 0], [0, 0, 0, 0, 0, 1]]
self.model.transition[([0, 0, 1, 1, 2, 3, 4,
5], [0, 4, 1, 2, 1, 2, 4,
5], [0, 0, 0, 0, 0, 0, 0,
0])] = [1, 1, 0, 0, 1, 1, 1, 1]
self.model.selection = np.eye(self.model.k_states)
# Update matrices with given parameters
(sigma_v, sigma_e, sigma_w, sigma_vl, sigma_ec, phi_1, phi_2, alpha_1,
alpha_2, alpha_3) = np.array(self.true['parameters'], )
self.model.design[([1, 1, 1], [1, 2,
3], [0, 0,
0])] = [alpha_1, alpha_2, alpha_3]
self.model.transition[([1, 1], [1, 2], [0, 0])] = [phi_1, phi_2]
self.model.obs_cov[1, 1, 0] = sigma_ec**2
self.model.state_cov[np.diag_indices(k_states) +
(np.zeros(k_states, dtype=int), )] = [
sigma_v**2, sigma_e**2, 0, 0, sigma_w**2,
sigma_vl**2
]
# Initialization
initial_state = np.zeros((k_states, ))
initial_state_cov = np.eye(k_states) * 100
# Initialization: self.modelification
initial_state_cov = np.dot(
np.dot(self.model.transition[:, :, 0], initial_state_cov),
self.model.transition[:, :, 0].T)
self.model.initialize_known(initial_state, initial_state_cov)
def run_filter(self):
# Filter the data
self.results = self.model.filter()
def test_loglike(self):
assert_almost_equal(
# self.results.llf_obs[self.true['start']:].sum(),
self.results.llf_obs[0:].sum(),
self.true['loglike'],
2)
def test_filtered_state(self):
assert_almost_equal(
self.results.filtered_state[0][self.true['start']:],
self.true_states.iloc[:, 0], 4)
assert_almost_equal(
self.results.filtered_state[1][self.true['start']:],
self.true_states.iloc[:, 1], 4)
assert_almost_equal(
self.results.filtered_state[4][self.true['start']:],
self.true_states.iloc[:, 2], 4)
assert_almost_equal(
self.results.filtered_state[5][self.true['start']:],
self.true_states.iloc[:, 3], 4)
