Python levinson_durbin_pacf示例

示例#1

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)

示例#2

文件： test_stattools.py 项目： statsmodels/statsmodels

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)

示例#3

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)))

示例#4

文件： test_stattools.py 项目： statsmodels/statsmodels

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)))

示例#5

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)

示例#6

文件： test_stattools.py 项目： statsmodels/statsmodels

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)