Source code for statsmodels.tsa.arima_process

'''ARMA process and estimation with scipy.signal.lfilter

2009-09-06: copied from try_signal.py
    reparameterized same as signal.lfilter (positive coefficients)


Notes
-----
* pretty fast
* checked with Monte Carlo and cross comparison with statsmodels yule_walker
  for AR numbers are close but not identical to yule_walker
  not compared to other statistics packages, no degrees of freedom correction
* ARMA(2,2) estimation (in Monte Carlo) requires longer time series to estimate parameters
  without large variance. There might be different ARMA parameters
  with similar impulse response function that cannot be well
  distinguished with small samples (e.g. 100 observations)
* good for one time calculations for entire time series, not for recursive
  prediction
* class structure not very clean yet
* many one-liners with scipy.signal, but takes time to figure out usage
* missing result statistics, e.g. t-values, but standard errors in examples
* no criteria for choice of number of lags
* no constant term in ARMA process
* no integration, differencing for ARIMA
* written without textbook, works but not sure about everything
  briefly checked and it looks to be standard least squares, see below

* theoretical autocorrelation function of general ARMA
  Done, relatively easy to guess solution, time consuming to get
  theoretical test cases,
  example file contains explicit formulas for acovf of MA(1), MA(2) and ARMA(1,1)

* two names for lag polynomials ar = rhoy, ma = rhoe ?


Properties:
Judge, ... (1985): The Theory and Practise of Econometrics

BigJudge p. 237ff:
If the time series process is a stationary ARMA(p,q), then
minimizing the sum of squares is asymptoticaly (as T-> inf)
equivalent to the exact Maximum Likelihood Estimator

Because Least Squares conditional on the initial information
does not use all information, in small samples exact MLE can
be better.

Without the normality assumption, the least squares estimator
is still consistent under suitable conditions, however not
efficient

Author: josefpktd
License: BSD
'''
from __future__ import print_function
from statsmodels.compat.python import range
import numpy as np
from scipy import signal, optimize, linalg


[docs]def arma_generate_sample(ar, ma, nsample, sigma=1, distrvs=np.random.randn, burnin=0): """ Generate a random sample of an ARMA process Parameters ---------- ar : array_like, 1d coefficient for autoregressive lag polynomial, including zero lag ma : array_like, 1d coefficient for moving-average lag polynomial, including zero lag nsample : int length of simulated time series sigma : float standard deviation of noise distrvs : function, random number generator function that generates the random numbers, and takes sample size as argument default: np.random.randn TODO: change to size argument burnin : integer (default: 0) to reduce the effect of initial conditions, burnin observations at the beginning of the sample are dropped Returns ------- sample : array sample of ARMA process given by ar, ma of length nsample Notes ----- As mentioned above, both the AR and MA components should include the coefficient on the zero-lag. This is typically 1. Further, due to the conventions used in signal processing used in signal.lfilter vs. conventions in statistics for ARMA processes, the AR paramters should have the opposite sign of what you might expect. See the examples below. Examples -------- >>> import numpy as np >>> np.random.seed(12345) >>> arparams = np.array([.75, -.25]) >>> maparams = np.array([.65, .35]) >>> ar = np.r_[1, -arparams] # add zero-lag and negate >>> ma = np.r_[1, maparams] # add zero-lag >>> y = sm.tsa.arma_generate_sample(ar, ma, 250) >>> model = sm.tsa.ARMA(y, (2, 2)).fit(trend='nc', disp=0) >>> model.params array([ 0.79044189, -0.23140636, 0.70072904, 0.40608028]) """ #TODO: unify with ArmaProcess method eta = sigma * distrvs(nsample+burnin) return signal.lfilter(ma, ar, eta)[burnin:]
[docs]def arma_acovf(ar, ma, nobs=10): '''theoretical autocovariance function of ARMA process Parameters ---------- ar : array_like, 1d coefficient for autoregressive lag polynomial, including zero lag ma : array_like, 1d coefficient for moving-average lag polynomial, including zero lag nobs : int number of terms (lags plus zero lag) to include in returned acovf Returns ------- acovf : array autocovariance of ARMA process given by ar, ma See Also -------- arma_acf acovf Notes ----- Tries to do some crude numerical speed improvements for cases with high persistance. However, this algorithm is slow if the process is highly persistent and only a few autocovariances are desired. ''' #increase length of impulse response for AR closer to 1 #maybe cheap/fast enough to always keep nobs for ir large if np.abs(np.sum(ar)-1) > 0.9: nobs_ir = max(1000, 2 * nobs) # no idea right now how large is needed else: nobs_ir = max(100, 2 * nobs) # no idea right now ir = arma_impulse_response(ar, ma, nobs=nobs_ir) #better save than sorry (?), I have no idea about the required precision #only checked for AR(1) while ir[-1] > 5*1e-5: nobs_ir *= 10 ir = arma_impulse_response(ar, ma, nobs=nobs_ir) #again no idea where the speed break points are: if nobs_ir > 50000 and nobs < 1001: acovf = np.array([np.dot(ir[:nobs-t], ir[t:nobs]) for t in range(nobs)]) else: acovf = np.correlate(ir, ir, 'full')[len(ir)-1:] return acovf[:nobs]
[docs]def arma_acf(ar, ma, nobs=10): '''theoretical autocorrelation function of an ARMA process Parameters ---------- ar : array_like, 1d coefficient for autoregressive lag polynomial, including zero lag ma : array_like, 1d coefficient for moving-average lag polynomial, including zero lag nobs : int number of terms (lags plus zero lag) to include in returned acf Returns ------- acf : array autocorrelation of ARMA process given by ar, ma See Also -------- arma_acovf acf acovf ''' acovf = arma_acovf(ar, ma, nobs) return acovf/acovf[0]
[docs]def arma_pacf(ar, ma, nobs=10): '''partial autocorrelation function of an ARMA process Parameters ---------- ar : array_like, 1d coefficient for autoregressive lag polynomial, including zero lag ma : array_like, 1d coefficient for moving-average lag polynomial, including zero lag nobs : int number of terms (lags plus zero lag) to include in returned pacf Returns ------- pacf : array partial autocorrelation of ARMA process given by ar, ma Notes ----- solves yule-walker equation for each lag order up to nobs lags not tested/checked yet ''' apacf = np.zeros(nobs) acov = arma_acf(ar, ma, nobs=nobs+1) apacf[0] = 1. for k in range(2, nobs+1): r = acov[:k] apacf[k-1] = linalg.solve(linalg.toeplitz(r[:-1]), r[1:])[-1] return apacf
[docs]def arma_periodogram(ar, ma, worN=None, whole=0): '''periodogram for ARMA process given by lag-polynomials ar and ma Parameters ---------- ar : array_like autoregressive lag-polynomial with leading 1 and lhs sign ma : array_like moving average lag-polynomial with leading 1 worN : {None, int}, optional option for scipy.signal.freqz (read "w or N") If None, then compute at 512 frequencies around the unit circle. If a single integer, the compute at that many frequencies. Otherwise, compute the response at frequencies given in worN whole : {0,1}, optional options for scipy.signal.freqz Normally, frequencies are computed from 0 to pi (upper-half of unit-circle. If whole is non-zero compute frequencies from 0 to 2*pi. Returns ------- w : array frequencies sd : array periodogram, spectral density Notes ----- Normalization ? This uses signal.freqz, which does not use fft. There is a fft version somewhere. ''' w, h = signal.freqz(ma, ar, worN=worN, whole=whole) sd = np.abs(h)**2/np.sqrt(2*np.pi) if np.sum(np.isnan(h)) > 0: # this happens with unit root or seasonal unit root' print('Warning: nan in frequency response h, maybe a unit root') return w, sd
[docs]def arma_impulse_response(ar, ma, nobs=100): '''get the impulse response function (MA representation) for ARMA process Parameters ---------- ma : array_like, 1d moving average lag polynomial ar : array_like, 1d auto regressive lag polynomial nobs : int number of observations to calculate Returns ------- ir : array, 1d impulse response function with nobs elements Notes ----- This is the same as finding the MA representation of an ARMA(p,q). By reversing the role of ar and ma in the function arguments, the returned result is the AR representation of an ARMA(p,q), i.e ma_representation = arma_impulse_response(ar, ma, nobs=100) ar_representation = arma_impulse_response(ma, ar, nobs=100) fully tested against matlab Examples -------- AR(1) >>> arma_impulse_response([1.0, -0.8], [1.], nobs=10) array([ 1. , 0.8 , 0.64 , 0.512 , 0.4096 , 0.32768 , 0.262144 , 0.2097152 , 0.16777216, 0.13421773]) this is the same as >>> 0.8**np.arange(10) array([ 1. , 0.8 , 0.64 , 0.512 , 0.4096 , 0.32768 , 0.262144 , 0.2097152 , 0.16777216, 0.13421773]) MA(2) >>> arma_impulse_response([1.0], [1., 0.5, 0.2], nobs=10) array([ 1. , 0.5, 0.2, 0. , 0. , 0. , 0. , 0. , 0. , 0. ]) ARMA(1,2) >>> arma_impulse_response([1.0, -0.8], [1., 0.5, 0.2], nobs=10) array([ 1. , 1.3 , 1.24 , 0.992 , 0.7936 , 0.63488 , 0.507904 , 0.4063232 , 0.32505856, 0.26004685]) ''' impulse = np.zeros(nobs) impulse[0] = 1. return signal.lfilter(ma, ar, impulse) #alias, easier to remember
arma2ma = arma_impulse_response #alias, easier to remember
[docs]def arma2ar(ar, ma, nobs=100): """ Get the AR representation of an ARMA process Parameters ---------- ar : array_like, 1d auto regressive lag polynomial ma : array_like, 1d moving average lag polynomial nobs : int number of observations to calculate Returns ------- ar : array, 1d coefficients of AR lag polynomial with nobs elements Notes ----- This is just an alias for ``ar_representation = arma_impulse_response(ma, ar, nobs=100)`` """ # tested against matlab return arma_impulse_response(ma, ar, nobs=nobs) #moved from sandbox.tsa.try_fi
[docs]def ar2arma(ar_des, p, q, n=20, mse='ar', start=None): '''find arma approximation to ar process This finds the ARMA(p,q) coefficients that minimize the integrated squared difference between the impulse_response functions (MA representation) of the AR and the ARMA process. This does currently not check whether the MA lagpolynomial of the ARMA process is invertible, neither does it check the roots of the AR lagpolynomial. Parameters ---------- ar_des : array_like coefficients of original AR lag polynomial, including lag zero p, q : int length of desired ARMA lag polynomials n : int number of terms of the impuls_response function to include in the objective function for the approximation mse : string, 'ar' not used yet, Returns ------- ar_app, ma_app : arrays coefficients of the AR and MA lag polynomials of the approximation res : tuple result of optimize.leastsq Notes ----- Extension is possible if we want to match autocovariance instead of impulse response function. TODO: convert MA lag polynomial, ma_app, to be invertible, by mirroring roots outside the unit intervall to ones that are inside. How do we do this? ''' #p,q = pq def msear_err(arma, ar_des): ar, ma = np.r_[1, arma[:p-1]], np.r_[1, arma[p-1:]] ar_approx = arma_impulse_response(ma, ar, n) ## print(ar,ma) ## print(ar_des.shape, ar_approx.shape) ## print(ar_des) ## print(ar_approx) return (ar_des - ar_approx) # ((ar - ar_approx)**2).sum() if start is None: arma0 = np.r_[-0.9 * np.ones(p-1), np.zeros(q-1)] else: arma0 = start res = optimize.leastsq(msear_err, arma0, ar_des, maxfev=5000) #print(res) arma_app = np.atleast_1d(res[0]) ar_app = np.r_[1, arma_app[:p-1]], ma_app = np.r_[1, arma_app[p-1:]] return ar_app, ma_app, res
[docs]def lpol2index(ar): '''remove zeros from lagpolynomial, squeezed representation with index Parameters ---------- ar : array_like coefficients of lag polynomial Returns ------- coeffs : array non-zero coefficients of lag polynomial index : array index (lags) of lagpolynomial with non-zero elements ''' ar = np.asarray(ar) index = np.nonzero(ar)[0] coeffs = ar[index] return coeffs, index
[docs]def index2lpol(coeffs, index): '''expand coefficients to lag poly Parameters ---------- coeffs : array non-zero coefficients of lag polynomial index : array index (lags) of lagpolynomial with non-zero elements ar : array_like coefficients of lag polynomial Returns ------- ar : array_like coefficients of lag polynomial ''' n = max(index) ar = np.zeros(n) ar[index] = coeffs return ar #moved from sandbox.tsa.try_fi
[docs]def lpol_fima(d, n=20): '''MA representation of fractional integration .. math:: (1-L)^{-d} for |d|<0.5 or |d|<1 (?) Parameters ---------- d : float fractional power n : int number of terms to calculate, including lag zero Returns ------- ma : array coefficients of lag polynomial ''' #hide import inside function until we use this heavily from scipy.special import gammaln j = np.arange(n) return np.exp(gammaln(d+j) - gammaln(j+1) - gammaln(d)) #moved from sandbox.tsa.try_fi
[docs]def lpol_fiar(d, n=20): '''AR representation of fractional integration .. math:: (1-L)^{d} for |d|<0.5 or |d|<1 (?) Parameters ---------- d : float fractional power n : int number of terms to calculate, including lag zero Returns ------- ar : array coefficients of lag polynomial Notes: first coefficient is 1, negative signs except for first term, ar(L)*x_t ''' #hide import inside function until we use this heavily from scipy.special import gammaln j = np.arange(n) ar = - np.exp(gammaln(-d+j) - gammaln(j+1) - gammaln(-d)) ar[0] = 1 return ar #moved from sandbox.tsa.try_fi
[docs]def lpol_sdiff(s): '''return coefficients for seasonal difference (1-L^s) just a trivial convenience function Parameters ---------- s : int number of periods in season Returns ------- sdiff : list, length s+1 ''' return [1] + [0]*(s-1) + [-1]
[docs]def deconvolve(num, den, n=None): """Deconvolves divisor out of signal, division of polynomials for n terms calculates den^{-1} * num Parameters ---------- num : array_like signal or lag polynomial denom : array_like coefficients of lag polynomial (linear filter) n : None or int number of terms of quotient Returns ------- quot : array quotient or filtered series rem : array remainder Notes ----- If num is a time series, then this applies the linear filter den^{-1}. If both num and den are both lagpolynomials, then this calculates the quotient polynomial for n terms and also returns the remainder. This is copied from scipy.signal.signaltools and added n as optional parameter. """ num = np.atleast_1d(num) den = np.atleast_1d(den) N = len(num) D = len(den) if D > N and n is None: quot = [] rem = num else: if n is None: n = N-D+1 input = np.zeros(n, float) input[0] = 1 quot = signal.lfilter(num, den, input) num_approx = signal.convolve(den, quot, mode='full') if len(num) < len(num_approx): # 1d only ? num = np.concatenate((num, np.zeros(len(num_approx)-len(num)))) rem = num - num_approx return quot, rem
[docs]class ArmaProcess(object): """ Represent an ARMA process for given lag-polynomials This is a class to bring together properties of the process. It does not do any estimation or statistical analysis. Parameters ---------- ar : array_like, 1d Coefficient for autoregressive lag polynomial, including zero lag. See the notes for some information about the sign. ma : array_like, 1d Coefficient for moving-average lag polynomial, including zero lag nobs : int, optional Length of simulated time series. Used, for example, if a sample is generated. See example. Notes ----- As mentioned above, both the AR and MA components should include the coefficient on the zero-lag. This is typically 1. Further, due to the conventions used in signal processing used in signal.lfilter vs. conventions in statistics for ARMA processes, the AR paramters should have the opposite sign of what you might expect. See the examples below. Examples -------- >>> import numpy as np >>> np.random.seed(12345) >>> arparams = np.array([.75, -.25]) >>> maparams = np.array([.65, .35]) >>> ar = np.r_[1, -ar] # add zero-lag and negate >>> ma = np.r_[1, ma] # add zero-lag >>> arma_process = sm.tsa.ArmaProcess(ar, ma) >>> arma_process.isstationary True >>> arma_process.isinvertible True >>> y = arma_process.generate_sample(250) >>> model = sm.tsa.ARMA(y, (2, 2)).fit(trend='nc', disp=0) >>> model.params array([ 0.79044189, -0.23140636, 0.70072904, 0.40608028]) """ # maybe needs special handling for unit roots def __init__(self, ar, ma, nobs=100): self.ar = np.asarray(ar) self.ma = np.asarray(ma) self.arcoefs = -self.ar[1:] self.macoefs = self.ma[1:] self.arpoly = np.polynomial.Polynomial(self.ar) self.mapoly = np.polynomial.Polynomial(self.ma) self.nobs = nobs @classmethod
[docs] def from_coeffs(cls, arcoefs, macoefs, nobs=100): """ Create ArmaProcess instance from coefficients of the lag-polynomials Parameters ---------- arcoefs : array-like Coefficient for autoregressive lag polynomial, not including zero lag. The sign is inverted to conform to the usual time series representation of an ARMA process in statistics. See the class docstring for more information. macoefs : array-like Coefficient for moving-average lag polynomial, including zero lag nobs : int, optional Length of simulated time series. Used, for example, if a sample is generated. """ return cls(np.r_[1, -arcoefs], np.r_[1, macoefs], nobs=nobs)
@classmethod
[docs] def from_estimation(cls, model_results, nobs=None): """ Create ArmaProcess instance from ARMA estimation results Parameters ---------- model_results : ARMAResults instance A fitted model nobs : int, optional If None, nobs is taken from the results """ arcoefs = model_results.arparams macoefs = model_results.maparams nobs = nobs or model_results.nobs return cls(np.r_[1, -arcoefs], np.r_[1, macoefs], nobs=nobs)
def __mul__(self, oth): if isinstance(oth, self.__class__): ar = (self.arpoly * oth.arpoly).coef ma = (self.mapoly * oth.mapoly).coef else: try: aroth, maoth = oth arpolyoth = np.polynomial.Polynomial(aroth) mapolyoth = np.polynomial.Polynomial(maoth) ar = (self.arpoly * arpolyoth).coef ma = (self.mapoly * mapolyoth).coef except: print('other is not a valid type') raise return self.__class__(ar, ma, nobs=self.nobs) def __repr__(self): return 'ArmaProcess(%r, %r, nobs=%d)' % (self.ar.tolist(), self.ma.tolist(), self.nobs) def __str__(self): return 'ArmaProcess\nAR: %r\nMA: %r' % (self.ar.tolist(), self.ma.tolist())
[docs] def acovf(self, nobs=None): nobs = nobs or self.nobs return arma_acovf(self.ar, self.ma, nobs=nobs)
acovf.__doc__ = arma_acovf.__doc__
[docs] def acf(self, nobs=None): nobs = nobs or self.nobs return arma_acf(self.ar, self.ma, nobs=nobs)
acf.__doc__ = arma_acf.__doc__
[docs] def pacf(self, nobs=None): nobs = nobs or self.nobs return arma_pacf(self.ar, self.ma, nobs=nobs)
pacf.__doc__ = arma_pacf.__doc__
[docs] def periodogram(self, nobs=None): nobs = nobs or self.nobs return arma_periodogram(self.ar, self.ma, worN=nobs)
periodogram.__doc__ = arma_periodogram.__doc__
[docs] def impulse_response(self, nobs=None): nobs = nobs or self.nobs return arma_impulse_response(self.ar, self.ma, worN=nobs)
impulse_response.__doc__ = arma_impulse_response.__doc__
[docs] def arma2ma(self, nobs=None): nobs = nobs or self.nobs return arma2ma(self.ar, self.ma, nobs=nobs)
arma2ma.__doc__ = arma2ma.__doc__
[docs] def arma2ar(self, nobs=None): nobs = nobs or self.nobs return arma2ar(self.ar, self.ma, nobs=nobs)
arma2ar.__doc__ = arma2ar.__doc__ @property def arroots(self): """ Roots of autoregressive lag-polynomial """ return self.arpoly.roots() @property def maroots(self): """ Roots of moving average lag-polynomial """ return self.mapoly.roots() @property def isstationary(self): '''Arma process is stationary if AR roots are outside unit circle Returns ------- isstationary : boolean True if autoregressive roots are outside unit circle ''' if np.all(np.abs(self.arroots) > 1): return True else: return False @property def isinvertible(self): '''Arma process is invertible if MA roots are outside unit circle Returns ------- isinvertible : boolean True if moving average roots are outside unit circle ''' if np.all(np.abs(self.maroots) > 1): return True else: return False
[docs] def invertroots(self, retnew=False): '''make MA polynomial invertible by inverting roots inside unit circle Parameters ---------- retnew : boolean If False (default), then return the lag-polynomial as array. If True, then return a new instance with invertible MA-polynomial Returns ------- manew : array new invertible MA lag-polynomial, returned if retnew is false. wasinvertible : boolean True if the MA lag-polynomial was already invertible, returned if retnew is false. armaprocess : new instance of class If retnew is true, then return a new instance with invertible MA-polynomial ''' #TODO: variable returns like this? pr = self.ma_roots() insideroots = np.abs(pr) < 1 if insideroots.any(): pr[np.abs(pr) < 1] = 1./pr[np.abs(pr) < 1] pnew = np.polynomial.Polynomial.fromroots(pr) mainv = pnew.coef/pnew.coef[0] wasinvertible = False else: mainv = self.ma wasinvertible = True if retnew: return self.__class__(self.ar, mainv, nobs=self.nobs) else: return mainv, wasinvertible
[docs] def generate_sample(self, nsample=100, scale=1., distrvs=None, axis=0, burnin=0): '''generate ARMA samples Parameters ---------- nsample : int or tuple of ints If nsample is an integer, then this creates a 1d timeseries of length size. If nsample is a tuple, then the timeseries is along axis. All other axis have independent arma samples. scale : float standard deviation of noise distrvs : function, random number generator function that generates the random numbers, and takes sample size as argument default: np.random.randn TODO: change to size argument burnin : integer (default: 0) to reduce the effect of initial conditions, burnin observations at the beginning of the sample are dropped axis : int See nsample. Returns ------- rvs : ndarray random sample(s) of arma process Notes ----- Should work for n-dimensional with time series along axis, but not tested yet. Processes are sampled independently. ''' if distrvs is None: distrvs = np.random.normal if np.ndim(nsample) == 0: nsample = [nsample] if burnin: #handle burin time for nd arrays #maybe there is a better trick in scipy.fft code newsize = list(nsample) newsize[axis] += burnin newsize = tuple(newsize) fslice = [slice(None)]*len(newsize) fslice[axis] = slice(burnin, None, None) fslice = tuple(fslice) else: newsize = tuple(nsample) fslice = tuple([slice(None)]*np.ndim(newsize)) eta = scale * distrvs(size=newsize) return signal.lfilter(self.ma, self.ar, eta, axis=axis)[fslice]
__all__ = ['arma_acf', 'arma_acovf', 'arma_generate_sample', 'arma_impulse_response', 'arma2ar', 'arma2ma', 'deconvolve', 'lpol2index', 'index2lpol'] if __name__ == '__main__': # Simulate AR(1) #-------------- # ar * y = ma * eta ar = [1, -0.8] ma = [1.0] # generate AR data eta = 0.1 * np.random.randn(1000) yar1 = signal.lfilter(ar, ma, eta) print("\nExample 0") arest = ARIMAProcess(yar1) rhohat, cov_x, infodict, mesg, ier = arest.fit((1,0,1)) print(rhohat) print(cov_x) print("\nExample 1") ar = [1.0, -0.8] ma = [1.0, 0.5] y1 = arest.generate_sample(ar,ma,1000,0.1) arest = ARIMAProcess(y1) rhohat1, cov_x1, infodict, mesg, ier = arest.fit((1,0,1)) print(rhohat1) print(cov_x1) err1 = arest.errfn(x=y1) print(np.var(err1)) import statsmodels.api as sm print(sm.regression.yule_walker(y1, order=2, inv=True)) print("\nExample 2") nsample = 1000 ar = [1.0, -0.6, -0.1] ma = [1.0, 0.3, 0.2] y2 = ARIMA.generate_sample(ar,ma,nsample,0.1) arest2 = ARIMAProcess(y2) rhohat2, cov_x2, infodict, mesg, ier = arest2.fit((1,0,2)) print(rhohat2) print(cov_x2) err2 = arest.errfn(x=y2) print(np.var(err2)) print(arest2.rhoy) print(arest2.rhoe) print("true") print(ar) print(ma) rhohat2a, cov_x2a, infodict, mesg, ier = arest2.fit((2,0,2)) print(rhohat2a) print(cov_x2a) err2a = arest.errfn(x=y2) print(np.var(err2a)) print(arest2.rhoy) print(arest2.rhoe) print("true") print(ar) print(ma) print(sm.regression.yule_walker(y2, order=2, inv=True)) print("\nExample 20") nsample = 1000 ar = [1.0]#, -0.8, -0.4] ma = [1.0, 0.5, 0.2] y3 = ARIMA.generate_sample(ar,ma,nsample,0.01) arest20 = ARIMAProcess(y3) rhohat3, cov_x3, infodict, mesg, ier = arest20.fit((2,0,0)) print(rhohat3) print(cov_x3) err3 = arest20.errfn(x=y3) print(np.var(err3)) print(np.sqrt(np.dot(err3,err3)/nsample)) print(arest20.rhoy) print(arest20.rhoe) print("true") print(ar) print(ma) rhohat3a, cov_x3a, infodict, mesg, ier = arest20.fit((0,0,2)) print(rhohat3a) print(cov_x3a) err3a = arest20.errfn(x=y3) print(np.var(err3a)) print(np.sqrt(np.dot(err3a,err3a)/nsample)) print(arest20.rhoy) print(arest20.rhoe) print("true") print(ar) print(ma) print(sm.regression.yule_walker(y3, order=2, inv=True)) print("\nExample 02") nsample = 1000 ar = [1.0, -0.8, 0.4] #-0.8, -0.4] ma = [1.0]#, 0.8, 0.4] y4 = ARIMA.generate_sample(ar,ma,nsample) arest02 = ARIMAProcess(y4) rhohat4, cov_x4, infodict, mesg, ier = arest02.fit((2,0,0)) print(rhohat4) print(cov_x4) err4 = arest02.errfn(x=y4) print(np.var(err4)) sige = np.sqrt(np.dot(err4,err4)/nsample) print(sige) print(sige * np.sqrt(np.diag(cov_x4))) print(np.sqrt(np.diag(cov_x4))) print(arest02.rhoy) print(arest02.rhoe) print("true") print(ar) print(ma) rhohat4a, cov_x4a, infodict, mesg, ier = arest02.fit((0,0,2)) print(rhohat4a) print(cov_x4a) err4a = arest02.errfn(x=y4) print(np.var(err4a)) sige = np.sqrt(np.dot(err4a,err4a)/nsample) print(sige) print(sige * np.sqrt(np.diag(cov_x4a))) print(np.sqrt(np.diag(cov_x4a))) print(arest02.rhoy) print(arest02.rhoe) print("true") print(ar) print(ma) import statsmodels.api as sm print(sm.regression.yule_walker(y4, order=2, method='mle', inv=True)) import matplotlib.pyplot as plt plt.plot(arest2.forecast()[-100:]) #plt.show() ar1, ar2 = ([1, -0.4], [1, 0.5]) ar2 = [1, -1] lagpolyproduct = np.convolve(ar1, ar2) print(deconvolve(lagpolyproduct, ar2, n=None)) print(signal.deconvolve(lagpolyproduct, ar2)) print(deconvolve(lagpolyproduct, ar2, n=10))