def test_acf_2_lags(self):
c = np.zeros((2, 2, 2))
c[0] = np.array([[.2, .1], [.15, .15]])
c[1] = np.array([[.1, .9], [0, .1]])
acf = var_acf(c, np.eye(2), 3)
gamma = np.zeros((6, 6))
gamma[:2, :2] = acf[0]
gamma[2:4, 2:4] = acf[0]
gamma[4:6, 4:6] = acf[0]
gamma[2:4, :2] = acf[1].T
gamma[4:, :2] = acf[2].T
gamma[:2, 2:4] = acf[1]
gamma[:2, 4:] = acf[2]
recovered = np.dot(gamma[:2, 2:], np.linalg.inv(gamma[:4, :4]))
recovered = [recovered[:, 2 * i:2 * (i + 1)] for i in range(2)]
recovered = np.array(recovered)
assert_allclose(recovered, c, atol=1e-7)
def test_acf_2_lags(self):
c = np.zeros((2, 2, 2))
c[0] = np.array([[.2, .1], [.15, .15]])
c[1] = np.array([[.1, .9], [0, .1]])
acf = var_acf(c, np.eye(2), 3)
gamma = np.zeros((6, 6))
gamma[:2, :2] = acf[0]
gamma[2:4, 2:4] = acf[0]
gamma[4:6, 4:6] = acf[0]
gamma[2:4, :2] = acf[1].T
gamma[4:, :2] = acf[2].T
gamma[:2, 2:4] = acf[1]
gamma[:2, 4:] = acf[2]
recovered = np.dot(gamma[:2, 2:], np.linalg.inv(gamma[:4, :4]))
recovered = [recovered[:, 2 * i:2 * (i + 1)] for i in range(2)]
recovered = np.array(recovered)
assert_allclose(recovered, c, atol=1e-7)