Bug norm expan shapes #1403

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merged 4 commits into from Feb 21, 2014

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@josef-pkt
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NormExpan has incorrect shapes with breaks with recent scipy.

This is a slightly different solution, than #1397 by @piannucci
(I guess it avoids args introspection in scipy)

plus some basic unittests for NormExpan.
I didn't find a Gram-Charlier expansion distribution in R seek. (either it doesn't exist or it has a different name)

plus small cleanup: move examples out of module

test coverage for the expansion is still low
I tried a few more things to check whether the results are roughly correct, limit on RMSE, check for fat tails if kurtosis > 0, check for asymmetry if skew > 0, but haven't added them. They would be very coarse checks that qualitatively the results look right.

related: Evgeni has Edgeworth Expansion in PR #1325 with more complete, explicit implementation of other distribution methods.

@josef-pkt
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python 3 has an unrelated test failure
in families test_link

Arrays are not almost equal to 8 decimals
 ACTUAL: 2476734513.8831224
 DESIRED: 2476734513.883122

sounds strange (that would require 18 significant digits) ?

@josef-pkt
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supersedes #1397

ready to merge
There is still a lot to clean up and to increase test coverage, but I want to work on other things.

@josef-pkt
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rebased and force pushed

@josef-pkt josef-pkt merged commit 1812c96 into statsmodels:master Feb 21, 2014

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@josef-pkt
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tested with scipy 0.13.3, no failures or errors

merging

@josef-pkt josef-pkt deleted the josef-pkt:BUG_NormExpan branch Feb 21, 2014
@josef-pkt josef-pkt added the PR label Mar 11, 2014
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