danielbok / muarch Goto Github PK

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ValueError                                Traceback (most recent call last)
<ipython-input-8-8816a759b7b9> in <module>
      2 trials = 100
      3 
----> 4 models.simulate_mc(horizon, trials, custom_dist=cop.random)

~/anaconda3/lib/python3.7/site-packages/muarch/muarch.py in simulate_mc(self, nobs, reps, burn, initial_value, x, initial_value_vol, custom_dist, n_jobs)
    417             sims = np.zeros((nobs, reps, self.__n))
    418             for i, func in enumerate(functions):
--> 419                 sims[:, :, i] = func()
    420 
    421             return sims

~/anaconda3/lib/python3.7/site-packages/muarch/uarch.py in simulate_mc(self, nobs, reps, burn, initial_value, x, initial_value_vol, params, custom_dist)
    487             params = self.params
    488 
--> 489         return self._model.simulate_mc(params, nobs, reps, burn, initial_value, x, initial_value_vol) / self._scale
    490 
    491     def summary(self, short=False, dp=4) -> Union[pd.Series, Summary]:

~/anaconda3/lib/python3.7/site-packages/muarch/mean/simulators.py in decorator(model, params, nobs, reps, burn, initial_value, x, initial_value_vol)
    201         vol_params = params[mc:mc + vc]
    202         simulator = model.distribution.simulate(dist_params)
--> 203         errors = model.volatility.simulate_mc(vol_params, nobs + burn, reps, simulator, burn, initial_value_vol)
    204 
    205         max_lag = np.max(lags) if lags.size else 0

~/anaconda3/lib/python3.7/site-packages/muarch/volatility/simulators.py in decorator(model, parameters, nobs, reps, rng, burn, initial_value)
     48     def decorator(model, parameters: np.ndarray, nobs: int, reps: int, rng: RNG, burn=500, initial_value=None):
     49         p, o, q, power = model.p, model.o, model.q, model.power
---> 50         errors = rng(nobs + burn, reps)
     51 
     52         if initial_value is None:

~/anaconda3/lib/python3.7/site-packages/muarch/distributions/_base.py in decorator(self, size, reps)
     15                 raise ValueError('`reps` must be an integer greater than 0')
     16 
---> 17         value = _simulate(self, size, reps)
     18 
     19         if isinstance(value, (int, float)):

~/anaconda3/lib/python3.7/site-packages/muarch/distributions/skew_student.py in _simulator(self, size, reps)
     22         else:
     23             self.check_dist_size(size)
---> 24             ppf = self.ppf(self.custom_dist[:size], nu)
     25             self.custom_dist = None  # reset simulator
     26 

~/anaconda3/lib/python3.7/site-packages/muarch/distributions/skew_student.py in ppf(self, pits, parameters)
     28 
     29     def ppf(self, pits, parameters=None):
---> 30         self._check_constraints(parameters)
     31 
     32         scalar = np.isscalar(pits)

~/anaconda3/lib/python3.7/site-packages/arch/univariate/distribution.py in _check_constraints(self, parameters)
     63             nparams = 0
     64         if nparams != len(bounds):
---> 65             raise ValueError("parameters must have {0} elements".format(len(bounds)))
     66         if len(bounds) == 0:
     67             return empty(0)

ValueError: parameters must have 2 elements