https://github.com/bashtage/arch
Raw File
Tip revision: 9ced09e2566c0ebcad962d2441b1e79e2aaa7c9f authored by Kevin Sheppard on 27 July 2024, 04:51:19 UTC
Merge pull request #741 from bashtage/enforce-continuity
Tip revision: 9ced09e
_samplers_python.py
from __future__ import annotations

from arch.compat.numba import jit

from arch.typing import Float64Array, Int64Array


def stationary_bootstrap_sample_python(
    indices: Int64Array, u: Float64Array, p: float
) -> Int64Array:
    """
    Generate indices for sampling from the stationary bootstrap.

    Parameters
    -------
    indices: ndarray
        Single-dimensional array containing draws from randint with the same
        size as the data in the range of [0,nobs).
    u : ndarray
        Single-dimensional Array of standard uniforms.
    p : float
        Probability that a new block is started in the stationary bootstrap.
        The multiplicative reciprocal of the window length.

    Returns
    -------
    ndarray
        Indices for an iteration of the stationary bootstrap.
    """
    num_items = indices.shape[0]
    for i in range(1, num_items):
        if u[i] > p:
            indices[i] = indices[i - 1] + 1
            if indices[i] == num_items:
                indices[i] = 0

    return indices


stationary_bootstrap_sample = jit(stationary_bootstrap_sample_python)
back to top