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MarkovProcess object in distribution.py, towards #639 #902

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merged 1 commit into from
Jan 7, 2021

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@sbenthall sbenthall commented Jan 5, 2021

See #639

This puts a tested MarkovProcess class into distribution for handling sampling from Markov arrays.

The code demonstrates how to turn a general Python function into a numpy function that can broadcast over an array.

It uses the numpy random number generator to sample based on an array of weights instead of coding that up manually with cumsum and searchsorted.
https://numpy.org/doc/stable/reference/random/generated/numpy.random.RandomState.choice.html?highlight=choice#numpy.random.RandomState.choice

One this is merged in, the next step will be to refactor the Markov model code to use this on the draws.

  • Tests for new functionality/models or Tests to reproduce the bug-fix in code.
  • Updated documentation of features that add new functionality.
  • Update CHANGELOG.md with major/minor changes.

@sbenthall sbenthall merged commit dd86aac into econ-ark:master Jan 7, 2021
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