Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

BUG: simulation smoothed measurement disturbance with FILTER_COLLAPSED #4810

Merged
merged 2 commits into from Jul 23, 2018

Conversation

ChadFulton
Copy link
Member

Closes #4800.

The problem here was that FILTER_COLLAPSED makes the effective number of endogenous variables smaller than the actual size of the observation array, but the simulation smoother wasn't taking this into account. This PR:

  • Makes the simulation smoother behave appropriately with FILTER_COLLAPSED
  • Adds a test for the smoothed measurement disturbance and the simulation smoothed measurement disturbance.

@ChadFulton
Copy link
Member Author

Many thanks to @bashtage for pointing the bug out.

@coveralls
Copy link

coveralls commented Jul 23, 2018

Coverage Status

Coverage decreased (-0.06%) to 83.59% when pulling bf9f9fe on ChadFulton:gh-4800 into f6a2181 on statsmodels:master.

@codecov-io
Copy link

Codecov Report

Merging #4810 into master will increase coverage by <.01%.
The diff coverage is 100%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master    #4810      +/-   ##
==========================================
+ Coverage   81.13%   81.14%   +<.01%     
==========================================
  Files         581      581              
  Lines       89874    89895      +21     
  Branches    10040    10041       +1     
==========================================
+ Hits        72919    72944      +25     
+ Misses      14676    14674       -2     
+ Partials     2279     2277       -2
Impacted Files Coverage Δ
statsmodels/tsa/statespace/simulation_smoother.py 90% <ø> (ø) ⬆️
statsmodels/tsa/statespace/tests/test_collapsed.py 96.55% <100%> (+1.58%) ⬆️
statsmodels/stats/descriptivestats.py 24.13% <0%> (ø) ⬆️

Continue to review full report at Codecov.

Legend - Click here to learn more
Δ = absolute <relative> (impact), ø = not affected, ? = missing data
Powered by Codecov. Last update f6a2181...bf9f9fe. Read the comment docs.

@ChadFulton
Copy link
Member Author

Green except for coveralls, which I think is incorrect (I don't really understand coveralls output most of the time)

@ChadFulton ChadFulton merged commit ed6631a into statsmodels:master Jul 23, 2018
@josef-pkt josef-pkt added this to the 0.10 milestone Sep 15, 2018
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Projects
None yet
Development

Successfully merging this pull request may close these issues.

None yet

4 participants