quant-econ Solutions: Estimation of Spectra

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%matplotlib inline

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import numpy as np
import matplotlib.pyplot as plt
from quantecon import LinearProcess, periodogram, ar_periodogram

Exercise 1

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## Data
n = 400
phi = 0.5
theta = 0, -0.8
lp = LinearProcess(phi, theta)
X = lp.simulation(ts_length=n)

fig, ax = plt.subplots(3, 1, figsize=(10, 12))

for i, wl in enumerate((15, 55, 175)):  # window lengths
    x, y = periodogram(X)
    ax[i].plot(x, y, 'b-', lw=2, alpha=0.5, label='periodogram')

    x_sd, y_sd = lp.spectral_density(two_pi=False, resolution=120)
    ax[i].plot(x_sd, y_sd, 'r-', lw=2, alpha=0.8, label='spectral density')

    x, y_smoothed = periodogram(X, window='hamming', window_len=wl)
    ax[i].plot(x, y_smoothed, 'k-', lw=2, label='smoothed periodogram')

    ax[i].set_title('window length = {}'.format(wl))

/home/john/anaconda/lib/python2.7/site-packages/numpy/core/ ComplexWarning: Casting complex values to real discards the imaginary part
  return array(a, dtype, copy=False, order=order)

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lp = LinearProcess(-0.9)
wl = 65

fig, ax = plt.subplots(3, 1, figsize=(10,12))

for i in range(3):
    X = lp.simulation(ts_length=150)
    ax[i].set_xlim(0, np.pi)

    x_sd, y_sd = lp.spectral_density(two_pi=False, resolution=180)
    ax[i].semilogy(x_sd, y_sd, 'r-', lw=2, alpha=0.75, label='spectral density')

    x, y_smoothed = periodogram(X, window='hamming', window_len=wl)
    ax[i].semilogy(x, y_smoothed, 'k-', lw=2, alpha=0.75, label='standard smoothed periodogram')

    x, y_ar = ar_periodogram(X, window='hamming', window_len=wl)
    ax[i].semilogy(x, y_ar, 'b-', lw=2, alpha=0.75, label='AR smoothed periodogram')

    ax[i].legend(loc='upper left')

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