"""Base Classes for Likelihood Models in time series analysis
Warning: imports numdifftools
Created on Sun Oct 10 15:00:47 2010
Author: josef-pktd
License: BSD
"""
import numpy as np
try:
import numdifftools as ndt
except ImportError:
pass
from statsmodels.base.model import LikelihoodModel
#copied from sandbox/regression/mle.py
#TODO: I take it this is only a stub and should be included in another
# model class?
[docs]class TSMLEModel(LikelihoodModel):
"""
univariate time series model for estimation with maximum likelihood
Note: This is not working yet
"""
[docs] def __init__(self, endog, exog=None):
#need to override p,q (nar,nma) correctly
super(TSMLEModel, self).__init__(endog, exog)
#set default arma(1,1)
self.nar = 1
self.nma = 1
#self.initialize()
[docs] def geterrors(self, params):
raise NotImplementedError
[docs] def loglike(self, params):
"""
Loglikelihood for timeseries model
Notes
-----
needs to be overwritten by subclass
"""
raise NotImplementedError
[docs] def score(self, params):
"""
Score vector for Arma model
"""
#return None
#print params
jac = ndt.Jacobian(self.loglike, stepMax=1e-4)
return jac(params)[-1]
[docs] def hessian(self, params):
"""
Hessian of arma model. Currently uses numdifftools
"""
#return None
Hfun = ndt.Jacobian(self.score, stepMax=1e-4)
return Hfun(params)[-1]
[docs] def fit(self, start_params=None, maxiter=5000, method='fmin', tol=1e-08):
'''estimate model by minimizing negative loglikelihood
does this need to be overwritten ?
'''
if start_params is None and hasattr(self, '_start_params'):
start_params = self._start_params
#start_params = np.concatenate((0.05*np.ones(self.nar + self.nma), [1]))
mlefit = super(TSMLEModel, self).fit(start_params=start_params,
maxiter=maxiter, method=method, tol=tol)
return mlefit