def test_pacf2acf_ar():
pacf = np.zeros(10)
pacf[0] = 1
pacf[1] = 0.9
ar, acf = levinson_durbin_pacf(pacf)
assert_allclose(acf, 0.9 ** np.arange(10.))
assert_allclose(ar, pacf[1:], atol=1e-8)
ar, acf = levinson_durbin_pacf(pacf, nlags=5)
assert_allclose(acf, 0.9 ** np.arange(6.))
assert_allclose(ar, pacf[1:6], atol=1e-8)
def test_pacf2acf_ar():
pacf = np.zeros(10)
pacf[0] = 1
pacf[1] = 0.9
ar, acf = levinson_durbin_pacf(pacf)
assert_allclose(acf, 0.9 ** np.arange(10.))
assert_allclose(ar, pacf[1:], atol=1e-8)
ar, acf = levinson_durbin_pacf(pacf, nlags=5)
assert_allclose(acf, 0.9 ** np.arange(6.))
assert_allclose(ar, pacf[1:6], atol=1e-8)
def test_pacf2acf_errors():
pacf = -0.9 ** np.arange(11.)
pacf[0] = 1
with pytest.raises(ValueError):
levinson_durbin_pacf(pacf, nlags=20)
with pytest.raises(ValueError):
levinson_durbin_pacf(pacf[1:])
with pytest.raises(ValueError):
levinson_durbin_pacf(np.zeros(10))
with pytest.raises(ValueError):
levinson_durbin_pacf(np.zeros((10, 2)))
def test_pacf2acf_errors():
pacf = -0.9 ** np.arange(11.)
pacf[0] = 1
with pytest.raises(ValueError):
levinson_durbin_pacf(pacf, nlags=20)
with pytest.raises(ValueError):
levinson_durbin_pacf(pacf[:1])
with pytest.raises(ValueError):
levinson_durbin_pacf(np.zeros(10))
with pytest.raises(ValueError):
levinson_durbin_pacf(np.zeros((10, 2)))
def test_pacf2acf_levinson_durbin():
pacf = -0.9 ** np.arange(11.)
pacf[0] = 1
ar, acf = levinson_durbin_pacf(pacf)
_, ar_ld, pacf_ld, _, _ = levinson_durbin(acf, 10, isacov=True)
assert_allclose(ar, ar_ld, atol=1e-8)
assert_allclose(pacf, pacf_ld, atol=1e-8)
# From R, FitAR, PacfToAR
ar_from_r = [-4.1609, -9.2549, -14.4826, -17.6505, -17.5012, -14.2969, -9.5020, -4.9184,
-1.7911, -0.3486]
assert_allclose(ar, ar_from_r, atol=1e-4)
def test_pacf2acf_levinson_durbin():
pacf = -0.9 ** np.arange(11.)
pacf[0] = 1
ar, acf = levinson_durbin_pacf(pacf)
_, ar_ld, pacf_ld, _, _ = levinson_durbin(acf, 10, isacov=True)
assert_allclose(ar, ar_ld, atol=1e-8)
assert_allclose(pacf, pacf_ld, atol=1e-8)
# From R, FitAR, PacfToAR
ar_from_r = [-4.1609, -9.2549, -14.4826, -17.6505, -17.5012, -14.2969, -9.5020, -4.9184,
-1.7911, -0.3486]
assert_allclose(ar, ar_from_r, atol=1e-4)