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4.0.txt
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4.0.txt
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Changes since 4.0
=================
- Added a parameter to forecast that allows a user-provided callable random
generator to be used in place of the model random generator. (:issue:`225`)
- Added a low memory automatic lag selection method that can be used with very
large time-series.
- Improved performance of automatic lag selection in ADF and related tests.
- Added named parameters to Dickey-Fuller regressions.
- Removed use of the module-level NumPy RandomState. All random number
generators use separate RandomState instances.
- Fixed a bug that prevented 1-step forecasts with exogenous regressors
- Added the Generalized Error Distribution for univariate ARCH models
- Fixed a bug in MCS when using the max method that prevented all included
models from being listed
- Added ``FixedVariance`` volatility process which allows pre-specified
variances to be used with a mean model. This has been added to allow
so-called zig-zag estimation where a mean model is estimated with a fixed
variance, and then a variance model is estimated on the residuals using
a ``ZeroMean`` variance process.
- Fixed a bug that prevented ``fix`` from being used with a new model
(:issue:`156`)
- Added ``first_obs`` and ``last_obs`` parameters to ``fix`` to mimic ``fit``
- Added ability to jointly estimate smoothing parameter in EWMA variance when
fitting the model
- Added ability to pass optimization options to ARCH model estimation
(:issue:`195`)