Update diagnostics and bump version (#135)

LAMPSPUC · Feb 24, 2021 · a047701 · a047701 · guilhermebodin · Feb 24, 2021
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commit a047701
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Showing 2 changed files with 11 additions and 3 deletions.
diff --git a/Project.toml b/Project.toml
@@ -1,7 +1,7 @@
 name = "ScoreDrivenModels"
 uuid = "4a87933e-d659-11e9-0e65-7f40dedd4a3a"
 authors = ["guilhermebodin <[email protected]>, raphaelsaavedra <[email protected]>"]
-version = "0.1.7"
+version = "0.1.8"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

diff --git a/src/diagnostics.jl b/src/diagnostics.jl
@@ -10,8 +10,16 @@ function quantile_residuals(obs::Vector{T}, gas::Model{D, T};
 
     for t in axes(params_fitted[len_ini_par + 1:end - 1, :], 1)
         dist = update_dist(D, params_fitted[len_ini_par + 1:end - 1, :], t)
-        prob = cdf(dist, obs[t + len_ini_par])
-        quant_res[t] = quantile(Normal(0, 1), prob)
+        # Continuous distributions PIT
+        if supertype(D).parameters[2] == Continuous
+            prob = cdf(dist, obs[t + len_ini_par])
+            quant_res[t] = quantile(Normal(0, 1), prob)
+        else # Discrete distributions PIT
+            lb = cdf(dist, obs[t + len_ini_par] - 1)
+            ub = cdf(dist, obs[t + len_ini_par])
+            prob = rand(Uniform(lb, ub))
+            quant_res[t] = quantile(Normal(0, 1), prob)
+        end
 
         # Treat possible infinity values
         if quant_res[t] == Inf