def test_to_relative(freq: str):
"""Test conversion to relative.
Fixes bug in
https://github.com/alan-turing-institute/sktime/issues/1935#issue-1114814142
"""
freq = "2H"
t = pd.date_range(start="2021-01-01", freq=freq, periods=5)
fh_abs = ForecastingHorizon(t, is_relative=False)
fh_rel = fh_abs.to_relative(cutoff=t.min())
assert_array_equal(fh_rel, np.arange(5))
def test_VAR_against_statsmodels():
"""Compares Sktime's and Statsmodel's VAR."""
train, test = temporal_train_test_split(df)
sktime_model = VAR()
fh = ForecastingHorizon([1, 3, 4, 5, 7, 9])
sktime_model.fit(train)
y_pred = sktime_model.predict(fh=fh)
stats = _VAR(train)
stats_fit = stats.fit()
fh_int = fh.to_relative(train.index[-1])
lagged = stats_fit.k_ar
y_pred_stats = stats_fit.forecast(train.values[-lagged:], steps=fh_int[-1])
new_arr = []
for i in fh_int:
new_arr.append(y_pred_stats[i - 1])
assert_allclose(y_pred, new_arr)