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#! /usr/bin/env python
from __future__ import print_function
from openturns import *
TESTPREAMBLE()
RandomGenerator.SetSeed(0)
try:
# Reduce the precision output as the estimation is based on a lazy
# optimizer
PlatformInfo.SetNumericalPrecision(4)
# ARMA(p, q)
p = 1
q = 1
# ARMACoefficients intializing
arCoefficients = NumericalPoint(p, 0.80)
maCoefficients = NumericalPoint(q, 0.50)
# ARMA creation
myARMA = ARMA(ARMACoefficients(arCoefficients),
ARMACoefficients(maCoefficients), WhiteNoise(Normal(0.0, 0.05)))
myARMA.setTimeGrid(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 = WhittleFactory(p, q)
# factory.setVerbose(False)
print("factory=", factory)
print("factory as an ARMA factory=", ARMAFactory(factory))
informationCriteria = NumericalPoint()
result = factory.build(TimeSeries(timeSeries), informationCriteria)
# print "Estimated ARMA=", result
# print "Information criteria=", informationCriteria
result2 = factory.build(sample, informationCriteria)
# print "Estimated ARMA=", result2
# print "Information criteria=", informationCriteria
# Second, build the best ARMA based on a given range of order using the
# WhittleFactory
pIndices = Indices(p + 1)
pIndices.fill()
qIndices = Indices(q + 1)
qIndices.fill()
factory = WhittleFactory(pIndices, qIndices)
print("factory=", factory)
informationCriteria = NumericalPoint()
result = factory.build(TimeSeries(timeSeries), informationCriteria)
# print "Estimated ARMA=", result
# print "Information criteria=", informationCriteria
# print "History=", factory.getHistory()
result2 = factory.build(sample, informationCriteria)
# print "Estimated ARMA=", result2
# print "Information criteria=", informationCriteria
history = WhittleFactoryStateCollection(factory.getHistory())
firstTestes = WhittleFactoryState(history[0])
# print "History=", factory.getHistory()
except:
import sys
print("t_WhittleFactory_std.py", sys.exc_info()[0], sys.exc_info()[1])
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