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CHANGELOG.md

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Changelog

0.4.1 - 2023-10-25

New features

  • The Distribution.fit method accepts a scipy_args dictionary which is passed to scipy's minimize function.
  • The confidence interval computed by the profiler now uses root finding to find the bounds where the likelihood ratio test starts failing. This means confidence intervals can only be computed for the distribution's parameters.
  • Upper bounds on dependencies were removed, improving compatibility with recent versions.

0.4.0 - 2023-10-14

Breaking changes

  • Renamed stats_utils module to profiler
  • Data must now be provided to kernels on creation, unbound kernels are no longer allowed
  • Parameters are no longer subclasses of float, use .value to get their stored value
  • ConditioningMethods were removed, their uses can be replaced with score functions
  • The biv parameter to the Profiler was removed, confidence intervals are univariate only

Removed

Many distributions and utilities which were created with a specific use case in mind and aren't generally useful have been removed:

  • MixtureExponentialModel,
  • ExtendedGPD,
  • PointProcess,
  • CompositionDistribution,
  • DetrendedFluctuationAnalysis,
  • pettitt_test,
  • threshold_selection_GoF and threshold_selection_gpd_NorthorpColeman,
  • extreme values visualisation routines,
  • process samplers (Poisson and Hawkes).

New features

  • Metrics: {pp,qq}_l{1,2}_distance, likelihood, expo_ratio
  • Log-normal distribution
  • Plotting functions now accept an ax argument to use instead of the global plt figure
  • Constant kernel (most useful for testing)
  • Kernels have a with_covariate method that returns a new kernel with the provided data as covariate, but all parameters are kept the same
  • The random_state parameter to the Distribution.rvs method is now explicit and no longer hidden in the **kwargs

Bug fixes

  • Fixed fit_instance for nested kernels with fixed values
  • Fixed the TruncatedDistribution which forgot its bounds after fitting
  • A parameter which shows up in several places in a distribution will keep the same value when fitting instead of returning independent parameters

Other

  • Add section to README on fitting other score functions than the likelihood
  • Add changelog with all version changes up to this one

0.3.2 - 2021-03-26

Various bug fixes due to new names in version 0.3.0

0.3.1 - 2021-03-26

New features

  • New trigonometric kernel

0.3.0 - 2021-03-23

This release aims at making fitting even more generic by replacing penalized likelihoods with score functions

Breaking changes

  • Remove log_likelihood and opposite_log_likelihood methods from Distributions
  • Remove penalty argument from fit
  • ConditioningMethods take distribution as the first argument and data as the second
  • Rename Likelihood class to Profiler
  • Rename mle attribute to optimum in Profiler class

New features

  • fit* methods minimize a score function which takes a distribution and data as arguments. By default, they maximize the log likelihood.
  • New metrics module which contains scoring functions
  • The Profiler has a score_function argument
  • Add threshold_selection based on a multiple threshold penultimate model
  • New QQ-plot visualization methods

Bug fixes

  • Distribution.rvs now passes all parameters to scipy's rvs methods. In particular, random_state is now propagated.
  • TruncatedDistribution now ignores data outside its range

Other

  • Improve overall typing of the library

0.2.1 - 2021-02-21

New features

  • Add TruncatedDistribution

Bug fixes

  • Avoid replacing non-constant parameters with ConstantParameters inside ParametrizedFunctions
  • Fix nested kernel fitting

0.2.0 - 2021-02-09

This release aims at making the fitting feature more generic by allowing other forms of likelihood conditioning and other metrics than the return level in the confidence interval computation.

Breaking changes

  • Remove simulations and stopping_times modules
  • Removed Likelihood.return_level
  • Move visualisation_utils to their own subpackage
  • Rename conditioning_method argument to penalty
  • Rename profile_likelihood method to fit_instance

New features

  • New method Likelihood.confidence_interval with the metric argument to control which value to estimate

Other

  • Add section to README.rst about parameter profiling
  • Add pre-commit hooks
  • Fix README.rst directives

0.1.0 - 2021-02-04

Initial release