bashtage/arch: Release 5.0

Published July 22, 2021 | Version v5.0

Software Open

Release 5.0 contains new features and backward-incompatible changes.

Unit Root

All unit root tests are now immutable, and so properties such as trend cannot be set after the test is created.

Bootstrap

Added seed keyword argument to all bootstraps (e.g., IIDBootstrap and StationaryBootstrap) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
The IIDBootstrap.random_state property has also been deprecated in favor of IIDBootstrap.generator.
The IIDBootstrap.get_state and IIDBootstrap.set_state methods have been replaced by the IIDBootstrap.state property.

Volatility Modeling

Added seed keyword argument to all distributions (e.g., Normal and StudentsT) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
The Normal.random_state property has also been deprecated in favor of Normal.generator.
Added ARCHInMean mean process supporting (G)ARCH-in-mean models.
Extended VolatilityProcess with VolatilityProcess.volatility_updaterthat contains a VolatilityUpdater to allow ARCHInMean to be created from different volatility processes.

Files

Name	Size	Download all
bashtage/arch-v5.0.zip md5:dcb8370c15fc1517de5d372af4f61712	2.9 MB	Preview Download