6.9.8. statsmodels.sandbox.tests.test_pca¶
tests for pca and arma to ar and ma representation
compared with matlab princomp, and garchar, garchma
TODO: * convert to generators with yield to have individual tests * incomplete: test relationship of pca-evecs and pinv (adding constant)
6.9.8.1. Functions¶
arma_impulse_response(ar, ma[, nobs]) |
get the impulse response function (MA representation) for ARMA process |
check_pca_princomp(pcares, princomp) |
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check_pca_svd(pcares, pcasvdres) |
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pca(data[, keepdim, normalize, demean]) |
principal components with eigenvector decomposition |
pcasvd(data[, keepdim, demean]) |
principal components with svd |
test_pca_princomp() |
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test_pca_svd() |