refactored GARCH and added Mv(Gaussian/StudentT)RandomWalk #1603
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Does this fix #1491? |
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No, but I'll make it so |
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Actually that's probably a different problem. But do let me know if you have an idea. |
twiecki
reviewed
Dec 14, 2016
| return (Normal.dist(0., sd=self.initial_vol).logp(x[0]) + | ||
| tt.sum(Normal.dist(0, sd=vol).logp(x[1:]))) | ||
| vol = self.get_volatility(x) | ||
| return (Normal.dist(0., sd=vol[0]).logp(x[0]) + |
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Can't this be simplified now to: tt.sum(Normal.dist(0, sd=vol).logp(x))?
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Ready to merge, #1491 is not related |
springcoil
approved these changes
Dec 15, 2016
twiecki
pushed a commit
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Jan 9, 2017
* refactored GARCH and added Mv(Gaussian/StudentT)RandomWalk * refactored garch logp * added docs * fix typo * even more typos * better description for tau
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Added useful (I hope) distributions from my experiments and refactored garch a bit so it can be used as following