reconnect moved files to git repo

venv/lib/python3.11/site-packages/statsmodels/sandbox/tools/try_mctools.py

@@ -0,0 +1,70 @@
+"""
+Created on Fri Sep 30 15:20:45 2011
+
+@author: josef
+"""
+from statsmodels.compat.python import lrange
+import numpy as np
+from scipy import stats
+from statsmodels.sandbox.tools.mctools import StatTestMC
+from statsmodels.stats.diagnostic import acorr_ljungbox
+from statsmodels.tsa.stattools import adfuller
+
+def normalnoisesim(nobs=500, loc=0.0):
+    return (loc+np.random.randn(nobs))
+
+
+def lb(x):
+    s,p = acorr_ljungbox(x, lags=4)
+    return np.r_[s, p]
+
+
+mc1 = StatTestMC(normalnoisesim, lb)
+mc1.run(5000, statindices=lrange(4))
+
+print(mc1.summary_quantiles([1,2,3], stats.chi2([2,3,4]).ppf,
+                            varnames=['lag 1', 'lag 2', 'lag 3'],
+                            title='acorr_ljungbox'))
+print('\n\n')
+
+frac = [0.01, 0.025, 0.05, 0.1, 0.975]
+crit = stats.chi2([2,3,4]).ppf(np.atleast_2d(frac).T)
+print(mc1.summary_cdf([1,2,3], frac, crit,
+                      varnames=['lag 1', 'lag 2', 'lag 3'],
+                      title='acorr_ljungbox'))
+print(mc1.cdf(crit, [1,2,3])[1])
+
+#----------------------
+
+def randwalksim(nobs=500, drift=0.0):
+    return (drift+np.random.randn(nobs)).cumsum()
+
+
+def adf20(x):
+    return adfuller(x, 2, regression="n", autolag=None)
+
+print(adf20(np.random.randn(100)))
+
+mc2 = StatTestMC(randwalksim, adf20)
+mc2.run(10000, statindices=[0,1])
+frac = [0.01, 0.05, 0.1]
+#bug
+crit = np.array([-3.4996365338407074, -2.8918307730370025, -2.5829283377617176])[:,None]
+print(mc2.summary_cdf([0], frac, crit,
+                      varnames=['adf'],
+                      title='adf'))
+#bug
+#crit2 = np.column_stack((crit, frac))
+#print mc2.summary_cdf([0, 1], frac, crit,
+#                      varnames=['adf'],
+#                      title='adf')
+
+print(mc2.quantiles([0]))
+print(mc2.cdf(crit, [0]))
+
+doplot=1
+if doplot:
+    import matplotlib.pyplot as plt
+    mc1.plot_hist([3],stats.chi2([4]).pdf)
+    plt.title('acorr_ljungbox - MC versus chi2')
+    plt.show()