ó áp7]c@`sƒdZddlmZmZmZddlZddlZddlm Z m Z ddl Z ddl Z ddlmZddlmZddlmZddlmZejjejjeƒƒZd efd „ƒYZd efd „ƒYZd efd„ƒYZdefd„ƒYZdefd„ƒYZ defd„ƒYZ!defd„ƒYZ"defd„ƒYZ#d„Z$dS(si Tests for univariate treatment of multivariate models TODO skips the tests for measurement disturbance and measurement disturbance covariance, which do not pass. The univariate smoother *appears* to be correctly implemented against Durbin and Koopman (2012) chapter 6, yet still gives a different answer from the conventional smoother. It's not clear if this is intended (i.e. it has to be at least slightly different, since the conventional smoother can return a non-diagonal covariance matrix whereas the univariate smoother must return a diagonal covariance matrix). Author: Chad Fulton License: Simplified-BSD i(tdivisiontabsolute_importtprint_functionN(tassert_almost_equaltassert_allclose(tdatasets(tMLEModel(tresults_kalman_filter(tSARIMAXt TestClark1989cB`sÅeZdZeeed„ƒZd„Zd„Zd„Z d„Z d„Z d„Z d„Z d „Zd „Zd „Zd „Zd „Zd„Zd„Zd„Zd„Zd„Zd„ZRS(sj Clark's (1989) bivariate unobserved components model of real GDP (as presented in Kim and Nelson, 1999) Tests two-dimensional observation data. Test data produced using GAUSS code described in Kim and Nelson (1999) and found at http://econ.korea.ac.kr/~cjkim/SSMARKOV.htm See `results.results_kalman_filter` for more information. c K`stj|_tj|jdƒ|_tj|jddtjddddƒdd d gƒd }tj|d ƒ|d <|d d |d (RR3tsmoothed_state_disturbanceR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyttest_smoothed_state_disturbanceÒs  cC`s t|jj|jjdƒdS(Ni (RR3tsmoothed_state_disturbance_covR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyt#test_smoothed_state_disturbance_covÙs cC`s t|jj|jjdƒdS(Ni (RR8tsimulated_stateR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyttest_simulation_smoothed_stateßs cC`s t|jj|jjdƒdS(Ni (RR8t!simulated_measurement_disturbanceR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyt0test_simulation_smoothed_measurement_disturbanceås cC`s t|jj|jjdƒdS(Ni (RR8tsimulated_state_disturbanceR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyt*test_simulation_smoothed_state_disturbanceës (t__name__t __module__t__doc__t classmethodtfloattFalseRLRPRRRTRURWRYR[R]R_RaRcReRjRmRoRqRsRu(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR s* K                 tTestClark1989AlternatecB`s eZed„ƒZd„ZRS(cO`s#tt|ƒjdt||ŽdS(NR=(tsuperR|RLR.(R<targsR>((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLóscC`s|jjjdkst‚dS(Ni(R!t_kalman_filtert filter_timingRM(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyttest_using_alterateøs(RvRwRyRLR(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR|òst MultivariateMissingGeneralObsCovcB`sãeZeeed„ƒZd„Zd„Zd„Zd„Z d„Z d„Z d„Z d„Z d „Zd „Zd „Zejjd „ƒZejjd „ƒZd„Zd„Zd„Zejjd„ƒZd„ZRS(c K`s7tjjtddƒ}tj|ƒ|_tjj ƒj }tj ddddddƒ|_ |d d d gj ƒjd }|d krÐtj|jdd…dd…fRtdtatobstmodtXRK((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLýsN   "%          cC`sW|jj st‚|jjs%t‚t|jjddƒt|jjddƒdS(Niig¤p=Š„.A(iii(iii(R3R9RMR:RRN(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRP5s  cC`s@t|jjddd…f|jjddd…fdƒdS(Nii (RR3RQR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRRFscC`s@t|jjddd…f|jjddd…fdƒdS(Nii (RR3RSR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRTLscC`sFt|jjdddd…f|jjdddd…fdƒdS(Nii (RR3RNR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRURscC`s t|jj|jjdƒdS(Ni(RR3RVR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRWXs cC`s t|jj|jjdƒdS(Ni (RR3RXR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRY^s cC`s t|jj|jjdƒdS(Ni(RR3RZR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR[ds cC`s t|jj|jjdƒdS(Ni (RR3R\R:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR]js cC`st|jj|jjƒdS(N(RR3R^R:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR_ps cC`s t|jj|jjdƒdS(Ni(RR3R`R:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRavs cC`s t|jj|jjdƒdS(Ni(RR3RbR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRc|s cC`s t|jj|jjdƒdS(Ni (RR3RdR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRe‚s cC`s8|j}|j}t|jjƒ|jjƒdƒdS(Ni (R3R:RRfRg(RORhRi((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRj‰s    cC`s#t|jj|jjddƒdS(NRkgH¯¼šò×z>(RR3RlR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRm’s  cC`s t|jj|jjdƒdS(Ni (RR3RnR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRo™s cC`s t|jj|jjdƒdS(Ni (RR8RpR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRqŸs cC`s t|jj|jjdƒdS(Ni (RR8RrR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRs¥s cC`s t|jj|jjdƒdS(Ni (RR8RtR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRu¬s (RvRwRyRzR{RLRPRRRTRURWRYR[R]R_RaRctpytesttmarktskipReRjRmRoRqRsRu(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR‚üs(7              tTestMultivariateGeneralObsCovcB`seZdZed„ƒZRS(s¸ This class tests the univariate method when the observation covariance matrix is not diagonal and all data is available. Tests are against the conventional smoother. cO`stt|ƒjdƒdS(Ntnone(R}R¢RL(R<R~R>((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLºs(RvRwRxRyRL(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR¢³st'TestMultivariateAllMissingGeneralObsCovcB`seZdZed„ƒZRS(sÍ This class tests the univariate method when the observation covariance matrix is not diagonal and there are cases of fully missing data only. Tests are against the conventional smoother. cO`stt|ƒjdƒdS(NR‰(R}R¤RL(R<R~R>((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLÇs(RvRwRxRyRL(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR¤¿st+TestMultivariatePartialMissingGeneralObsCovcB`s/eZdZed„ƒZd„Zd„ZRS(sÑ This class tests the univariate method when the observation covariance matrix is not diagonal and there are cases of partially missing data only. Tests are against the conventional smoother. cO`stt|ƒjdƒdS(NRŠ(R}R¥RL(R<R~R>((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLÔscC`s@t|jjddd…f|jjddd…fdƒdS(Nii(RR3RQR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRRÙscC`s@t|jjddd…f|jjddd…fdƒdS(Nii(RR3RSR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRTßs(RvRwRxRyRLRRRT(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR¥Ìs t)TestMultivariateMixedMissingGeneralObsCovcB`s/eZdZed„ƒZd„Zd„ZRS(sç This class tests the univariate method when the observation covariance matrix is not diagonal and there are cases of both partially missing and fully missing data. Tests are against the conventional smoother. cO`stt|ƒjdƒdS(NR‹(R}R¦RL(R<R~R>((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLïscC`s@t|jjddd…f|jjddd…fdƒdS(Nii(RR3RQR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRRôscC`s@t|jjddd…f|jjddd…fdƒdS(Nii(RR3RSR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRTús(RvRwRxRyRLRRRT(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR¦æs tTestMultivariateVARcB`s×eZedd„ƒZd„Zd„Zd„Zd„Zd„Zd„Z d„Z d „Z d „Z d „Z ejjd „ƒZejjd „ƒZd„Zd„Zd„Zejjd„ƒZd„ZRS(R£cK`s}tjjtddƒ}tj|ƒ|_tjj ƒj }tj ddddddƒ|_ |d d d gj ƒjd }|d krÐtj|jdd…dd…fRR›RœRRK((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRLs^   "%               cC`s@t|jjddd…f|jjddd…fdƒdS(Nii (RR3RQR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRRBscC`s@t|jjddd…f|jjddd…fdƒdS(Nii (RR3RSR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRTHscC`sFt|jjdddd…f|jjdddd…fdƒdS(Nii (RR3RNR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRUNscC`s t|jj|jjdƒdS(Ni(RR3RVR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRWTs cC`s t|jj|jjdƒdS(Ni (RR3RXR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRYZs cC`s t|jj|jjdƒdS(Ni(RR3RZR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR[`s cC`s t|jj|jjdƒdS(Ni (RR3R\R:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR]fs cC`st|jj|jjƒdS(N(RR3R^R:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR_ls cC`st|jj|jjƒdS(N(RR3R`R:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRars cC`s#t|jj|jjddƒdS(NRkg•Ö&è .>(RR3RbR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRcxs cC`s t|jj|jjdƒdS(Ni (RR3RdR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRe~s cC`s;|jj}|j}t|jjƒ|jjƒdƒdS(Ni (ROR3R:RRfRg(RORhRi((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRj…s     cC`s#t|jj|jjddƒdS(NRkgH¯¼šò×z>(RR3RlR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRms  cC`s t|jj|jjdƒdS(Ni (RR3RnR:(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRo–s cC`s t|jj|jjdƒdS(Ni (RR8RpR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRqœs cC`s t|jj|jjdƒdS(Ni (RR8RrR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRs¢s cC`s t|jj|jjdƒdS(Ni (RR8RtR;(RO((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyRu©s (RvRwRyRLRRRTRURWRYR[R]R_RaRcRŸR R¡ReRjRmRoRqRsRu(((sOlib/python2.7/site-packages/statsmodels/tsa/statespace/tests/test_univariate.pyR§s&?             c C`s)tjdddddddgƒ}tjdƒ}d|ddd…fs.    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