p7]c@`sdZddlmZmZmZddlZddlZddlm Z m Z m Z ddl Z ddlmZddlmZmZddlmZddlmZmZmZejjejjeZd efd YZd efd YZ d efdYZ!defdYZ"defdYZ#de#fdYZ$de#fdYZ%de#fdYZ&defdYZ'de'fdYZ(de'fdYZ)de'fd YZ*d!efd"YZ+d#e+fd$YZ,d%e+fd&YZ-d'efd(YZ.d)e.fd*YZ/d+efd,YZ0d-e0fd.YZ1d/e0fd0YZ2d1e0fd2YZ3dS(3s Tests for smoothing and estimation of unobserved states and disturbances - Predicted states: :math:`E(\alpha_t | Y_{t-1})` - Filtered states: :math:`E(\alpha_t | Y_t)` - Smoothed states: :math:`E(\alpha_t | Y_n)` - Smoothed disturbances :math:`E(\varepsilon_t | Y_n), E(\eta_t | Y_n)` Tested against R (FKF, KalmanRun / KalmanSmooth), Stata (sspace), and MATLAB (ssm toolbox) Author: Chad Fulton License: Simplified-BSD i(tdivisiontabsolute_importtprint_functionN(tassert_allclosetassert_almost_equalt assert_equal(tdatasets(tmlemodeltsarimax(tFILTER_UNIVARIATE(tSMOOTH_CLASSICALtSMOOTH_ALTERNATIVEtSMOOTH_UNIVARIATEt TestStatesAR3cB`s}eZeedZdZdZdZdZdZ dZ dZ dZ d Z d Zd ZRS( c O`svtjjtdd}tj||_tjdddddd|j_tjjtdd }d d d d ddddddddg }tj|ddd||_ t j |jddd(dt dt |||_|rt |jj_ntjd)}|jj|d#d$|_tjd|jjf|j_tjd|jjf|j_xt|jjD]}tjj|jjjdddd|f|jjd|fR?R@RARBRCRERGRHRIRJRKRLRM( RNRORPRQR+RRRSRTRU((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRVsD   && !! 8 <  cC`sCt|jjddddfj|jdddgddS(NiRRRi(RRRcRdR4(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRe s"cC`s't|jjj|jdgddS(NRi(RRR?RdR4(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRfs cC`s-t|jjj|jdddgddS(NRRRi(RRRoRdR4(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRps cC`s't|jjj|jdgddS(NRi(RRR@RdR4(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRqs cC`s't|jjj|jdgddS(NRi(RRRrRdR4(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRs#s cC`s+t|jjdj|jdgddS(NiRi(RRRtRdR4(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRv)scC`s't|jjj|jdgddS(Ntetahati (RRRwRdR(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRx3s cC`s4t|jjddddf|jdddS(NitdetVetai (RRRyR(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRz>s( R{R|R}R~RVReRfRpRqRsRvRxRz(((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRs7      t#TestStatesMissingAR3AlternateTimingcB`seZedZRS(cO`s#tt|jdt||dS(NRO(RRRVR6(RNRPRQ((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRVKs(R{R|R}RV(((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRJst(TestStatesMissingAR3AlternativeSmoothingcB`s eZedZdZRS(cO`s#tt|jdt||dS(NR(RRRVR (RNRPRQ((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRVRscC`sLt|jjjtt|jjjjtt|jjjjtdS(N(RR7R8RR RR(R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRWs (R{R|R}RVR(((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRQst'TestStatesMissingAR3UnivariateSmoothingcB`s eZedZdZRS(cO`s#tt|jdt||dS(NR(RRRVR (RNRPRQ((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRV`scC`sLt|jjjdt|jjjjdt|jjjjtdS(Ni(RR7R8RRRR (R[((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyRes(R{R|R}RVR(((sNlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_smoothing.pyR_stTestMultivariateMissingcB`seZdZedZdZdZdZdZdZ dZ dZ d Z d Z d Zd Zd ZdZdZdZRS(s Tests for most filtering and smoothing variables against output from the R library KFAS. 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