PyFlux 0.2.0 Release

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Version 0.2.0 of PyFlux has been released on PyPi.

New Models

  • Non-Gaussian state space models (examples soon)
  • t-distributed GAS model
  • Simulation smoother for state space models

Bug/Fixes/Improvements

  • Significant speed-ups for all existing models in the range 1.3-1.5x
  • Smoothed estimates now produced for Gaussian state space models
  • Bug with GARCH forecasting fixed
  • VAR likelihood rewritten – now faster for non-OLS estimation methods
  • New predict/predict_is/plot_predict/plot_predict_is methods
  • Code refactored and cleaned up
  • Numerous other changes

I produce new documentation tomorrow. The next couple of releases are going to focus on performance for the computationally intensive models – in particularly, the GP-NARX and non-Gaussian state space models. I need, for example, to rewrite the M-H sampler for the latter because it is too slow at present for non-exponential distributed variables.

Ross

 

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