Merge pull request #42 from bashtage/ipython-model-comparison

ENH: Model confidence set

README.md

@@ -91,7 +91,9 @@ See the [unit root testing example notebook](http://nbviewer.ipython.org/github/
     * Apply method to estimate model across bootstraps
     * Generic Bootstrap iterator
 
-See the [bootstrap example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/bootstrap_examples.ipynb) for examples of bootstrapping the Sharpe ratio and a Probit model from Statsmodels.
+See the [bootstrap example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/bootstrap_examples.ipynb) 
+for examples of bootstrapping the Sharpe ratio and a Probit model from 
+Statsmodels.
 
 
 ```python
@@ -124,6 +126,10 @@ ci = bs.conf_int(sharpe_ratio, 1000, method='percentile')
 
 * Test of Superior Predictive Ability (SPA), also known as the Reality Check or Bootstrap Data Snooper
 * Stepwise (StepM)
+* Model Confidence Set (MCS)
+
+See the [multiple comparison example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/bootstrap_multiple_comparison.ipynb) 
+for examples of the multiple comparison procedures.
 
 ## Requirements
 
@@ -180,7 +186,7 @@ pip install git+git://github.com/bashtage/arch.git --install-option "--no-binary
 ```
 
 _Note: the test suite compares the Numba implementations against Cython 
-implementations of some recursions, and so it isn't possible to run the 
+implementations of some recursions, and so it is not possible to run the 
 test suite when installing with_ `--no-binary` .
 
 **Anaconda**

VERSION

@@ -1 +1 @@
-2.1
+3.0

arch/bootstrap/__init__.py

@@ -1,3 +1,3 @@
 from .base import IIDBootstrap, CircularBlockBootstrap, MovingBlockBootstrap, \
     StationaryBootstrap
-from .multiple_comparrison import SPA, RealityCheck, StepM
+from .multiple_comparrison import SPA, RealityCheck, StepM, MCS

arch/bootstrap/_samplers.pyx

@@ -11,7 +11,7 @@ def stationary_bootstrap_sample(int[:] indices,
     """
     Parameters
     -------
-    indices: 1-s arrah
+    indices: 1-d array
         Array containing draws from randint with the same size as the data in
         the range of [0,nobs)
     u : 1-d array

arch/bootstrap/_samplers_python.py

@@ -7,7 +7,7 @@ def stationary_bootstrap_sample(indices, u, p):
     """
     Parameters
     -------
-    indices: 1-s arrah
+    indices: 1-d array
         Array containing draws from randint with the same size as the data in
         the range of [0,nobs)
     u : 1-d array

arch/bootstrap/base.py

@@ -9,6 +9,8 @@
 from arch.compat.python import iteritems, itervalues, add_metaclass, range
 from arch.utils import DocStringInheritor
 
+__all__ = ['IIDBootstrap', 'StationaryBootstrap', 'CircularBlockBootstrap',
+           'MovingBlockBootstrap']
 
 try:
     from ._samplers import stationary_bootstrap_sample