arma.py 文件源码

def estimate(self, nbcorr=np.nan, numpsd=-1):
        fft_length, _ = self.check_params()
        if np.isnan((nbcorr)):
            nbcorr = self.ordar

        # -------- estimate correlation from psd
        full_psd = self.psd[numpsd]
        full_psd = np.c_[full_psd, np.conjugate(full_psd[:, :0:-1])]
        correl = fftpack.ifft(full_psd[0], fft_length, 0).real

        # -------- estimate AR part
        col1 = correl[self.ordma:self.ordma + nbcorr]
        row1 = correl[np.abs(
            np.arange(self.ordma, self.ordma - self.ordar, -1))]
        R = linalg.toeplitz(col1, row1)
        r = -correl[self.ordma + 1:self.ordma + nbcorr + 1]
        AR = linalg.solve(R, r)
        self.AR_ = AR

        # -------- estimate correlation of MA part

        # -------- estimate MA part
        if self.ordma == 0:
            sigma2 = correl[0] + np.dot(AR, correl[1:self.ordar + 1])
            self.MA = np.ones(1) * np.sqrt(sigma2)
        else:
            raise NotImplementedError(
                'arma: estimation of the MA part not yet implemented')