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Hamilton filter updates#3

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gbrunick wants to merge 3 commits intomasterfrom
hamilton-filter-fixes
Open

Hamilton filter updates#3
gbrunick wants to merge 3 commits intomasterfrom
hamilton-filter-fixes

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@gbrunick
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This full request features some improvements to the Hamilton filter functionality (both the Python and Cython versions).

Handles the order=0 case.
Documents the expected sizes of the arguments correctly.
Checks that the argument sizes satisfy the documented sizes.

Gerard Brunick added 3 commits April 17, 2018 20:40
* Give the correct shapes for all arguments.
* Check that arguments shapes are consistent.
* Check that transition matrices are left stochastic in the slow
  version of the function.  This seems like a nice thing to do
  for the user, as most presentations use right stochastic
  matrices, so it is pretty easy to get this wrong.
@gbrunick gbrunick force-pushed the hamilton-filter-fixes branch from 99f765e to 23b9bfb Compare April 18, 2018 00:43
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Codecov Report

Merging #3 into master will increase coverage by 0.01%.
The diff coverage is 96.72%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master       #3      +/-   ##
==========================================
+ Coverage   80.12%   80.14%   +0.01%     
==========================================
  Files         560      560              
  Lines       84550    84609      +59     
  Branches     9567     9572       +5     
==========================================
+ Hits        67745    67806      +61     
+ Misses      14588    14583       -5     
- Partials     2217     2220       +3
Impacted Files Coverage Δ
...a/regime_switching/tests/test_markov_regression.py 99.04% <100%> (+0.29%) ⬆️
...atsmodels/tsa/regime_switching/markov_switching.py 87.39% <81.81%> (+0.44%) ⬆️
statsmodels/tsa/statespace/mlemodel.py 85.61% <0%> (ø) ⬆️
statsmodels/iolib/summary.py 54.16% <0%> (ø) ⬆️
statsmodels/stats/libqsturng/make_tbls.py 0% <0%> (ø) ⬆️
statsmodels/sandbox/regression/treewalkerclass.py 0% <0%> (ø) ⬆️

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2 participants