1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
|
#! /usr/bin/env python
import openturns as ot
ot.TESTPREAMBLE()
# Reduce the precision output as the estimation is based on a lazy
# optimizer
ot.PlatformInfo.SetNumericalPrecision(4)
# ARMA(p, q)
p = 1
q = 1
# ARMACoefficients initializing
arCoefficients = ot.Point(p, 0.80)
maCoefficients = ot.Point(q, 0.50)
# ARMA creation
myARMA = ot.ARMA(
ot.ARMACoefficients(arCoefficients),
ot.ARMACoefficients(maCoefficients),
ot.WhiteNoise(ot.Normal(0.0, 0.05)),
)
myARMA.setTimeGrid(ot.RegularGrid(0.0, 0.1, 256))
print("myARMA process=", myARMA)
# Create a realization
timeSeries = myARMA.getRealization()
# Create a sample
sample = myARMA.getSample(100)
# First, build an ARMA based on a given order using the WhittleFactory
factory = ot.WhittleFactory(p, q)
print("factory=", factory)
print("factory as an ARMA factory=", ot.ARMAFactory(factory))
result, informationCriteria = factory.buildWithCriteria(ot.TimeSeries(timeSeries))
# print "Estimated ARMA=", result
# print "Information criteria=", informationCriteria
result2, informationCriteria = factory.buildWithCriteria(sample)
# print "Estimated ARMA=", result2
# print "Information criteria=", informationCriteria
# Second, build the best ARMA based on a given range of order using the
# WhittleFactory
pIndices = ot.Indices(p + 1)
pIndices.fill()
qIndices = ot.Indices(q + 1)
qIndices.fill()
factory = ot.WhittleFactory(pIndices, qIndices)
print("factory=", factory)
result, informationCriteria = factory.buildWithCriteria(ot.TimeSeries(timeSeries))
# print "Estimated ARMA=", result
# print "Information criteria=", informationCriteria
# print "History=", factory.getHistory()
result2, informationCriteria = factory.buildWithCriteria(sample)
# print "Estimated ARMA=", result2
# print "Information criteria=", informationCriteria
history = ot.WhittleFactoryStateCollection(factory.getHistory())
firstTestes = ot.WhittleFactoryState(history[0])
# print "History=", factory.getHistory()
|
