ENH: Markov switching models: cython Kim smoother and Hamilton filter improvements #3141

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merged 5 commits into from Sep 21, 2016

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@ChadFulton
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  • Separates the Cython-based Hamilton filter into (1) a wrapper for performing filtering across all nobs and (2) a function for a single iteration; (2) can be re-used eventually in the state space switching models.
  • Adds a Cython-based Kim smoother in the same pattern as the Hamilton filter, so that it can be re-used eventually in the state space switching models.
@coveralls
coveralls commented Aug 5, 2016 edited

Coverage Status

Coverage decreased (-0.03%) to 89.149% when pulling dc0b39e on ChadFulton:ms-cysm into 036ad9f on statsmodels:master.

@ChadFulton
Member

Test failures are unrelated (just the new Scipy failures)

@josef-pkt
Member

(don't forget labels)
this is for 0.9 I assume

@josef-pkt josef-pkt added this to the 0.9 milestone Aug 10, 2016
@coveralls

Coverage Status

Coverage decreased (-0.03%) to 89.238% when pulling 16b8e77 on ChadFulton:ms-cysm into f5c3d36 on statsmodels:master.

@ChadFulton
Member

Hoping this commit fixes the missing coverage. If so, it's okay to merge 0.9 items now, right?

@coveralls

Coverage Status

Coverage increased (+0.002%) to 89.273% when pulling 08d6d10 on ChadFulton:ms-cysm into f5c3d36 on statsmodels:master.

@ChadFulton
Member

I will merge this tomorrow unless there are concerns.

ChadFulton added some commits Aug 4, 2016
@ChadFulton ChadFulton REF: Separate function for individual Hamilton
filter iteration.
56bc8ac
@ChadFulton ChadFulton REF: More descriptive variable names. 5796f8f
@ChadFulton ChadFulton ENH: Cython Kim smoother. dc4c269
@ChadFulton ChadFulton REF: Separate function for individual Kim smoother
iteration.
1945069
@ChadFulton ChadFulton TST: Add test coverage for py_kim_smoother.
fd80893
@coveralls

Coverage Status

Coverage increased (+0.002%) to 89.255% when pulling fd80893 on ChadFulton:ms-cysm into 03158f2 on statsmodels:master.

@ChadFulton
Member

I guess some 0.9 milesone PRs have been merged, so I will merge this.

@ChadFulton ChadFulton merged commit b6dae4f into statsmodels:master Sep 21, 2016

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coverage/coveralls Coverage increased (+0.002%) to 89.255%
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@ChadFulton ChadFulton deleted the ChadFulton:ms-cysm branch Sep 21, 2016
@TomAugspurger TomAugspurger referenced this pull request Feb 1, 2017
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REL: release 0.8 - changes 0.8rc1 #3075

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