ENH: Return self from KDEUnivariate fit

Return the fitted instance to simplify chaining

statsmodels/nonparametric/kde.py

@@ -120,6 +120,11 @@ def fit(self, kernel="gau", bw="normal_reference", fft=True, weights=None,
             -/+ cut*bw*{min(X) or max(X)}
         adjust : float
             An adjustment factor for the bw. Bandwidth becomes bw * adjust.
+
+        Returns
+        -------
+        KDEUnivariate
+            The instance fit,
         """
         try:
             bw = float(bw)
@@ -152,6 +157,7 @@ def fit(self, kernel="gau", bw="normal_reference", fft=True, weights=None,
         if weights is not None:
             self.kernel.weights /= weights.sum()
         self._cache = {}
+        return self
 
     @cache_readonly
     def cdf(self):

statsmodels/nonparametric/tests/test_kde.py

@@ -341,3 +341,10 @@ def test_kde_bw_positive():
     kde = KDE(x)
     kde.fit()
     assert kde.bw > 0
+
+
+def test_fit_self(reset_randomstate):
+    x = np.random.standard_normal(100)
+    kde = KDE(x)
+    assert isinstance(kde, KDE)
+    assert isinstance(kde.fit(), KDE)