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#! /usr/bin/env python
import openturns as ot
ot.TESTPREAMBLE()
# 2 D case
# Matrices of the process
dim = 2
squareMatrix1 = ot.SquareMatrix(dim)
squareMatrix1[0, 0] = 0.2
squareMatrix1[1, 0] = 0.3
squareMatrix1[0, 1] = 0.7
squareMatrix1[1, 1] = 0.4
# Second matrix to add to the ARMACoefficients
squareMatrix2 = ot.SquareMatrix(dim)
squareMatrix2[0, 0] = 0.1
squareMatrix2[1, 0] = 0.0
squareMatrix2[0, 1] = 0.0
squareMatrix2[1, 1] = 0.5
# ARMA(p, q)
p = 1
q = 1
# AR coefficients
coefficientsP = ot.ARMACoefficients(p, dim)
coefficientsP[0] = squareMatrix1
# MA coefficients
coefficientsQ = ot.ARMACoefficients(p, dim)
coefficientsQ[0] = squareMatrix2
print("coefficientsP = ", repr(coefficientsP))
print("coefficientsQ = ", repr(coefficientsQ))
# Time grid creation and White Noise
Tmin = 0.0
deltaT = 0.1
steps = 11
# Initialization of the TimeGrid timeGrid1
timeGrid = ot.RegularGrid(Tmin, deltaT, steps)
# Distributions for the choice
dist1 = ot.Normal(0.0, 0.01)
dist2 = ot.Normal(0.0, 0.02)
# Create a collection of distribution
aCollection = [dist1, dist2]
dist = ot.JointDistribution(aCollection)
print("dist = ", dist)
epsilon = ot.WhiteNoise(dist)
# Setting the timeGrid
epsilon.setTimeGrid(timeGrid)
# Last coefficients values
lastValues = ot.Sample(p, dim)
lastNoiseValues = ot.Sample(q, dim)
#
for j in range(dim):
# Fill the AR-part (the last p-coefficients X_{-1}, X{-2},..., X_{-p})
for i in range(p):
lastValues[i, j] = ot.RandomGenerator.Generate()
# Fill the MA-part (the last p-coefficients \epsilon_{-1},
# \epsilon_{-2},..., \epsilon_{-p})
for i in range(q):
lastNoiseValues[i, j] = ot.RandomGenerator.Generate()
# Print the initial state of the ARMA : coefficients
print("Last values of the process = ", lastValues)
print("Last innovations of the process = ", lastNoiseValues)
# ARMAState creation
state = ot.ARMAState(lastValues, lastNoiseValues)
process = ot.Process(ot.ARMA(coefficientsP, coefficientsQ, epsilon))
process2 = ot.ARMA(coefficientsP, coefficientsQ, epsilon)
process3 = ot.ARMA(coefficientsP, coefficientsQ, epsilon, state)
print("process = ", process)
print("ARMA process = ", process2)
print("ARMA process with ARMAstate = ", process3)
# Test realization
print("One realization=", process2.getRealization())
# Some steps further
stepNumber = 4
print("One future=", process2.getFuture(stepNumber))
size = 3
print("Some futures=", process2.getFuture(stepNumber, size))
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