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Release 5.0
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@bashtage bashtage released this 22 Jul 17:03
· 308 commits to main since this release
v5.0
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Release 5.0 contains new features and backward-incompatible changes.

Unit Root

  • All unit root tests are now immutable, and so properties such as trend cannot be set after the test is created.

Bootstrap

  • Added seed keyword argument to all bootstraps (e.g., IIDBootstrap and StationaryBootstrap) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
  • The IIDBootstrap.random_state property has also been deprecated in favor of IIDBootstrap.generator.
  • The IIDBootstrap.get_state and IIDBootstrap.set_state methods have been replaced by the IIDBootstrap.state property.

Volatility Modeling

  • Added seed keyword argument to all distributions (e.g., Normal and StudentsT) that allows a NumPy numpy.random.Generator to be used. The seed keyword argument also accepts legacy numpy.random.RandomState instances and integers. If an integer is passed, the random number generator is constructed by calling numpy.random.default_rng The seed keyword argument replaces the random_state keyword argument.
  • The Normal.random_state property has also been deprecated in favor of Normal.generator.
  • Added ARCHInMean mean process supporting (G)ARCH-in-mean models.
  • Extended VolatilityProcess with VolatilityProcess.volatility_updaterthat contains a VolatilityUpdater to allow ARCHInMean to be created from different
    volatility processes.
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