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Viewing changes to scikits/statsmodels/examples/tsa/ex_arma.py

merge josef, mostly refactoring fixes

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scikits/statsmodels/examples/tsa/ex_arma.py
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'''
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doesn't seem to work so well anymore even with nobs=1000 ???
 
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works ok if noise variance is large
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'''
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import numpy as np
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print "\nExample 1"
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ar = [1.0,  -0.1, 0.1]
 
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ar = [1.0,  -0.6, 0.1]
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ma = [1.0,  0.5, 0.3]
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nobs = 1000
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y22 = arma_generate_sample(ar, ma, nobs+1000, 0.2)[-nobs:]
 
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y22 = arma_generate_sample(ar, ma, nobs+1000, 0.5)[-nobs:]
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y22 -= y22.mean()
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start_params = [0.1, 0.1, 0.1, 0.1]
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start_params_lhs = [-0.1, -0.1, 0.1, 0.1]
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                          #res_ols.scale]
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                          #areste.var()]
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                          np.sqrt(res_ols.scale)]
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#need to iterate, ar1 too large ma terms too small                 
 
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#need to iterate, ar1 too large ma terms too small      
 
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#fix large parameters, if hannan_rissannen are too large
 
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start_params_mle[:-1] = (np.sign(start_params_mle[:-1]) 
 
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                         * np.minimum(np.abs(start_params_mle[:-1]),0.75))
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print 'conditional least-squares'