Vfd:&ddlZddlmZddlmZddlmZmZddl m Z ddl m Z dZ dd Zdd Z dd Z dd Z ddZdS)N) arima_process)prefix_dtype_map) _get_epsilonapprox_fprime_cs)find_best_blas_type)_arma_innovationszThe model's autoregressive parameters (ar_params) indicate that the process is non-stationary. The innovations algorithm cannot be used. Fc tj|}|jdk}|r |dddf}tj|gn|}tj|gn|}|j\}}tjd| f} tjd|f} |)t |||tj|g\}} } t|} tj|| }tj|| }tj|| }| | }tt|dz} tt|dz}tt|dz}tj | | |||z }| | | |\}}||||||\}}tj|}tj|dksLtj|r&tj|st#t$g}t'|D]A}tj||dd|f|||}||Btj|j}|r||dddfd zz}|r|}||fS) ay Compute innovations using a given ARMA process. Parameters ---------- endog : ndarray The observed time-series process, may be univariate or multivariate. ar_params : ndarray, optional Autoregressive parameters. ma_params : ndarray, optional Moving average parameters. sigma2 : ndarray, optional The ARMA innovation variance. Default is 1. normalize : bool, optional Whether or not to normalize the returned innovations. Default is False. prefix : str, optional The BLAS prefix associated with the datatype. Default is to find the best datatype based on given input. This argument is typically only used internally. Returns ------- innovations : ndarray Innovations (one-step-ahead prediction errors) for the given `endog` series with predictions based on the given ARMA process. If `normalize=True`, then the returned innovations have been "whitened" by dividing through by the square root of the mean square error. innovations_mse : ndarray Mean square error for the innovations. rNdtypearma_transformed_acovf_fastarma_innovations_algo_fastarma_innovations_filter)sigma2nobsrg?)nparrayndim atleast_1dshaper_rrasfortranarrayitemgetattrr r arma_acovfanyisfiniteall ValueErrorNON_STATIONARY_ERRORrangeappendvstackTsqueeze)endog ar_params ma_paramsr normalizeprefixsqueezedrk_endogarmar _r rrracovfacovf2thetavuiu_is Llib/python3.11/site-packages/statsmodels/tsa/innovations/arma_innovations.pyarma_innovationsr8s B HUOOEzQHaaag I$5bb9EEI I$5bb9EEIKMD' q9*} B q)| B~. Iy"(6*:*: ;==q V $E  e5 1 1 1E!)5999I!)5999I U6]]   ! !F#*6$AA#C#C!(6$@@"B"B%6$==??)"b17dDDDFLMJ//B CCME6))$ 9*/99HE1  A q1u / E""&&((/ A""$$/-... A 7^^h..uQQQT{I/8%AABB   ! A Qqqq$wZ_ IIKK a4KcRt|||||}tj|S)a Compute the log-likelihood of the given data assuming an ARMA process. Parameters ---------- endog : ndarray The observed time-series process. ar_params : ndarray, optional Autoregressive parameters. ma_params : ndarray, optional Moving average parameters. sigma2 : ndarray, optional The ARMA innovation variance. Default is 1. prefix : str, optional The BLAS prefix associated with the datatype. Default is to find the best datatype based on given input. This argument is typically only used internally. Returns ------- float The joint loglikelihood. )r'r(rr*)arma_loglikeobsrsum)r&r'r(rr*llf_obss r7 arma_logliker>ns10eyI%+F<<paramsr&pqs r7rBzarma_score..funcs7E6"1":vaAgq1uvvOOOr9@lenrrrr r&r'r(rr*rBparams0epsilonrHrIs ` @@r7 arma_scorerPsD 'YI'YI IA IAPPPPPPPeIy&01G7Bc'll;;G GT7 3 33r9c |gn|}|gn|}t|t|  fd}tj|||f}t|ddt|}t |||S)a Compute the score (gradient) per observation. Parameters ---------- endog : ndarray The observed time-series process. ar_params : ndarray, optional Autoregressive coefficients, not including the zero lag. ma_params : ndarray, optional Moving average coefficients, not including the zero lag, where the sign convention assumes the coefficients are part of the lag polynomial on the right-hand-side of the ARMA definition (i.e. they have the same sign from the usual econometrics convention in which the coefficients are on the right-hand-side of the ARMA definition). sigma2 : ndarray, optional The ARMA innovation variance. Default is 1. prefix : str, optional The BLAS prefix associated with the datatype. Default is to find the best datatype based on given input. This argument is typically only used internally. Returns ------- ndarray Score per observation, evaluated at the given parameters. Notes ----- This is a numerical approximation, calculated using first-order complex step differentiation on the `arma_loglike` method. Ncdt|d|z|zdSrE)r;rFs r7rBzarma_scoreobs..funcs>ufRaRj&1q5/%a!eff~// /r9rJrKrMs ` @@r7 arma_scoreobsrSsD 'YI'YI IA IA///////eIy&01G7Bc'll;;G GT7 3 33r9)NNrFN)NNrN)numpyrstatsmodels.tsar statsmodels.tsa.statespace.toolsrstatsmodels.tools.numdiffrrscipy.linalg.blasrr r r8r>r;rPrSr9r7r[s))))))======DDDDDDDD111111 DE-1\\\\~:CD(5(5(5(5V>?-4-4-4-4`AB.4.4.4.4.4.4r9