/tests/test_clean_functions.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Code for testing the cleaning functions ##"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "This notebook contains code to testing the cleaning code. "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "import data_cleaning as clean\n",
    "import pandas as pd\n",
    "import numpy as np\n",
    "from BayesianKalman import kalmanfilter as kf"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Setup the parameters ###"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "data_mean = 0\n",
    "data_var = .5\n",
    "state_var = .1\n",
    "state_trans = np.array([[0, 1], [0,0]])\n",
    "data_loadings = np.array([1,-1])\n",
    "state_innov_var = np.array([[0,0], [0,state_var]])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "data_dimension = 10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "simulated_model = kf.simulate_model(\n",
    "    data_mean=data_mean,\n",
    "    state_trans=state_trans,\n",
    "    data_loadings=data_loadings,\n",
    "    state_innov_var=state_innov_var,\n",
    "    data_innov_var=data_var,\n",
    "    num_periods=250\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "cleaned_data = simulated_model.data - np.array(simulated_model.states @ data_loadings.T).reshape(simulated_model.data.size, 1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[[ 0.26637363]\n",
      " [-0.26658987]\n",
      " [ 0.32039899]\n",
      " [-0.56393458]\n",
      " [ 0.30517518]\n",
      " [-0.13548266]\n",
      " [ 1.37795756]\n",
      " [-0.96880288]\n",
      " [ 0.43398385]\n",
      " [ 0.62699921]\n",
      " [ 0.74519605]\n",
      " [ 1.76826449]\n",
      " [-0.22572885]\n",
      " [-1.32483154]\n",
      " [-0.74609282]\n",
      " [-0.55723926]\n",
      " [ 0.93953566]\n",
      " [-1.2825376 ]\n",
      " [ 0.27472392]\n",
      " [ 0.91129923]\n",
      " [ 0.07491891]\n",
      " [-1.15181769]\n",
      " [ 1.02414874]\n",
      " [ 1.20462905]\n",
      " [-1.15657581]\n",
      " [ 0.58854303]\n",
      " [ 0.24833521]\n",
      " [ 0.14813708]\n",
      " [-1.28490376]\n",
      " [ 0.56107377]\n",
      " [ 0.72148888]\n",
      " [-0.45409527]\n",
      " [ 0.89408173]\n",
      " [ 0.45046836]\n",
      " [-0.55212739]\n",
      " [-0.03557592]\n",
      " [-0.9573609 ]\n",
      " [-0.01793395]\n",
      " [-0.70644445]\n",
      " [ 0.37662873]\n",
      " [-0.09341927]\n",
      " [ 0.11870489]\n",
      " [-0.3847938 ]\n",
      " [ 0.03733409]\n",
      " [-0.20607347]\n",
      " [-0.0248518 ]\n",
      " [ 0.37689299]\n",
      " [ 0.6178078 ]\n",
      " [-0.909056  ]\n",
      " [ 0.12950846]\n",
      " [-0.55649241]\n",
      " [ 0.75012678]\n",
      " [-1.40967506]\n",
      " [-0.06191404]\n",
      " [-0.22176883]\n",
      " [ 0.08661137]\n",
      " [-0.40387823]\n",
      " [ 0.61899419]\n",
      " [ 0.13487022]\n",
      " [-0.0569977 ]\n",
      " [ 0.23122608]\n",
      " [-0.39841786]\n",
      " [ 0.1942737 ]\n",
      " [-0.22860226]\n",
      " [-0.49020927]\n",
      " [-0.05392242]\n",
      " [-0.19151024]\n",
      " [ 0.08516835]\n",
      " [ 0.44177238]\n",
      " [-0.75280729]\n",
      " [-0.42492141]\n",
      " [-0.28817458]\n",
      " [-0.47342824]\n",
      " [ 0.22164868]\n",
      " [ 0.48332838]\n",
      " [-0.52383044]\n",
      " [-0.71375315]\n",
      " [-0.01900057]\n",
      " [-1.22758369]\n",
      " [-0.47131   ]\n",
      " [-1.16315728]\n",
      " [ 0.92720886]\n",
      " [ 1.10929448]\n",
      " [ 0.42116547]\n",
      " [-1.28416175]\n",
      " [-0.39561845]\n",
      " [ 1.3948711 ]\n",
      " [ 0.58294652]\n",
      " [-0.62477302]\n",
      " [ 0.52554284]\n",
      " [ 1.00798745]\n",
      " [ 0.32550688]\n",
      " [-0.58560403]\n",
      " [ 0.258917  ]\n",
      " [-0.77937488]\n",
      " [ 0.5005936 ]\n",
      " [-0.20239969]\n",
      " [-0.36250022]\n",
      " [ 1.11399906]\n",
      " [ 0.20514141]\n",
      " [ 0.11298119]\n",
      " [ 0.86536715]\n",
      " [ 0.35714299]\n",
      " [ 1.46559404]\n",
      " [ 0.08928391]\n",
      " [-0.79369879]\n",
      " [ 0.22187438]\n",
      " [ 0.08392598]\n",
      " [-0.36470239]\n",
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      " [-0.60368423]\n",
      " [-2.12404602]\n",
      " [-0.2996009 ]\n",
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      " [-0.6013456 ]\n",
      " [-0.37596354]\n",
      " [ 0.06602895]\n",
      " [ 0.4765208 ]\n",
      " [-0.20142166]\n",
      " [-0.22142312]\n",
      " [ 0.76275316]\n",
      " [-1.4910868 ]\n",
      " [ 0.06160867]\n",
      " [-0.20080785]\n",
      " [ 0.06784018]\n",
      " [-0.20465902]\n",
      " [ 1.03019896]\n",
      " [-0.61090479]\n",
      " [ 0.42957179]\n",
      " [ 0.76113348]\n",
      " [ 1.8517166 ]\n",
      " [-0.29445392]\n",
      " [-0.12231677]\n",
      " [ 0.07376662]\n",
      " [ 0.18573714]\n",
      " [ 0.88275562]\n",
      " [-0.08787828]\n",
      " [-0.62004225]\n",
      " [-0.12347393]\n",
      " [-0.24897241]\n",
      " [ 0.29171062]\n",
      " [ 0.83105487]\n",
      " [ 1.16173405]\n",
      " [-0.84697841]\n",
      " [-0.36740117]\n",
      " [-0.24569562]\n",
      " [ 0.26256742]\n",
      " [-0.2237804 ]\n",
      " [ 1.73988541]\n",
      " [ 0.32646579]\n",
      " [-0.23854066]\n",
      " [-0.7141341 ]\n",
      " [-0.2883036 ]\n",
      " [ 0.58047469]\n",
      " [ 0.14172446]\n",
      " [-0.22264069]\n",
      " [ 0.78793332]\n",
      " [-0.38900627]\n",
      " [ 0.59126174]\n",
      " [ 0.92305994]\n",
      " [ 0.99626543]\n",
      " [-0.81792993]\n",
      " [ 0.16574194]\n",
      " [ 0.19356105]\n",
      " [ 0.31633121]\n",
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      " [ 0.29879462]\n",
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      " [ 0.51979187]\n",
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      " [ 0.60077971]\n",
      " [-0.51266102]\n",
      " [-0.32022389]\n",
      " [-0.37894987]\n",
      " [ 1.34407224]\n",
      " [ 0.69926526]\n",
      " [-0.52173729]\n",
      " [ 0.19327061]\n",
      " [ 0.41473627]\n",
      " [-0.43159922]\n",
      " [-1.06004922]\n",
      " [ 0.52345022]\n",
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      " [ 0.17672244]\n",
      " [ 0.38425327]\n",
      " [ 0.5262089 ]\n",
      " [ 0.29793209]\n",
      " [ 0.40688111]\n",
      " [ 0.55658151]\n",
      " [-0.90959563]\n",
      " [ 1.71237118]\n",
      " [-0.4968065 ]\n",
      " [-0.27089474]\n",
      " [-0.56127887]\n",
      " [-0.90191125]\n",
      " [-0.8337412 ]\n",
      " [-0.25901075]\n",
      " [ 0.43724722]\n",
      " [-0.79591116]\n",
      " [ 0.90878194]\n",
      " [-0.38629384]\n",
      " [-0.86400841]\n",
      " [-0.5208491 ]\n",
      " [ 0.0729088 ]\n",
      " [-0.09386666]\n",
      " [ 0.67180971]\n",
      " [-1.33596982]\n",
      " [-0.28195142]\n",
      " [-0.30959004]\n",
      " [ 1.09521352]\n",
      " [-0.25170213]\n",
      " [ 0.78982459]\n",
      " [-0.14882504]\n",
      " [-0.13682548]\n",
      " [ 0.27669036]\n",
      " [ 0.55192203]\n",
      " [ 0.65888339]\n",
      " [ 0.7761698 ]\n",
      " [-0.93220564]\n",
      " [-1.806726  ]\n",
      " [ 1.69216597]\n",
      " [ 0.87113803]\n",
      " [-0.29015875]\n",
      " [-0.19720166]\n",
      " [-0.51387205]\n",
      " [-0.23902681]\n",
      " [ 0.10600636]\n",
      " [ 0.36332724]\n",
      " [ 0.04890296]\n",
      " [ 2.17590042]\n",
      " [ 0.07780772]\n",
      " [-0.2460164 ]\n",
      " [ 1.27140059]\n",
      " [-0.34114958]\n",
      " [-0.57499477]\n",
      " [ 0.10322838]\n",
      " [-0.80462476]\n",
      " [ 0.23185766]\n",
      " [ 0.22537515]\n",
      " [ 0.24914627]]\n"
     ]
    }
   ],
   "source": [
    "print(cleaned_data)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": []
  }
 ],
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