Alphastable fit #20
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Alphastable fit #20
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Codecov Report
@@ Coverage Diff @@
## master #20 +/- ##
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+ Coverage 87.96% 89.47% +1.50%
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Files 1 1
Lines 133 152 +19
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+ Hits 117 136 +19
Misses 16 16
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mchitre
reviewed
Oct 15, 2020
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It might be worth considering:
- Document the limits of parameters for which the fitting is meant to work clearly.
- Split out
AlphaStableDistributionfromSymmetricAlphaStableDistribution. - Make a comparison in this PR, before merging, of test cases that @azev77 mentions in Special Cases of AlphaStable #19, to see consistency.
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And put those test cases from #19 in the test suite. |
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Thanks for the reviews. The limits of parameters is included in the docstring. A new type |
mchitre
approved these changes
Oct 15, 2020
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The current
AlphaStablefit based on Fama & Roll (1971) is limited to Symmetric Alpha Stable Distributions (as discussed in #19). This PR implements a more generalAlphaStablefit based on McCulloch (1986) foralphain the range of[0.6, 2.0]andbetain the range of[-1, 1].