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Correction to Nomenclature in Volatility Model #2978

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springcoil merged 1 commit into from
May 18, 2018
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Correction to Nomenclature in Volatility Model #2978

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6 changes: 3 additions & 3 deletions docs/source/notebooks/getting_started.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -820,11 +820,11 @@
" \\sigma &\\sim exp(50) \\\\\n",
" \\nu &\\sim exp(.1) \\\\\n",
" s_i &\\sim \\mathcal{N}(s_{i-1}, \\sigma^{-2}) \\\\\n",
" log(y_i) &\\sim t(\\nu, 0, exp(-2 s_i))\n",
" log(r_i) &\\sim t(\\nu, 0, exp(-2 s_i))\n",
"\\end{aligned}\n",
"$$\n",
"\n",
"Here, $y$ is the daily return series which is modeled with a Student-t distribution with an unknown degrees of freedom parameter, and a scale parameter determined by a latent process $s$. The individual $s_i$ are the individual daily log volatilities in the latent log volatility process. "
"Here, $r$ is the daily return series which is modeled with a Student-t distribution with an unknown degrees of freedom parameter, and a scale parameter determined by a latent process $s$. The individual $s_i$ are the individual daily log volatilities in the latent log volatility process. "
]
},
{
Expand Down Expand Up @@ -933,7 +933,7 @@
" s = pm.GaussianRandomWalk('s', sigma**-2, shape=len(returns))\n",
" volatility_process = pm.Deterministic('volatility_process', pm.math.exp(-2*s))\n",
"\n",
" r = pm.StudentT('r', nu, lam=1/volatility_process, observed=returns)"
" r = pm.StudentT('r', nu, lam=volatility_process, observed=returns)"
]
},
{
Expand Down