Merge pull request #305 from LAMPSPUC/fix_std_err_calculation

Fix std err calculations

Author: guilhermebodin

Project.toml

@@ -1,7 +1,7 @@
 name = "StateSpaceModels"
 uuid = "99342f36-827c-5390-97c9-d7f9ee765c78"
 authors = ["raphaelsaavedra <[email protected]>, guilhermebodin <[email protected]>, mariohsouto"]
-version = "0.6.0"
+version = "0.6.1"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

src/fit.jl

@@ -51,7 +51,7 @@ function fit!(
     if save_hyperparameter_distribution
         numerical_hessian = Optim.hessian!(func, opt_hyperparameters)
         try 
-            std_err = numerical_hessian |> pinv |> diag .|> sqrt
+            std_err = sqrt.(diag(inv(numerical_hessian)) ./ (num_observations(model) - filter.skip_llk_instants))
             fill_results!(model, opt_loglikelihood, std_err)
         catch
             @warn(

src/models/common.jl

@@ -4,7 +4,7 @@ num_series(model::StateSpaceModel) = num_series(system(model))
 system(model::StateSpaceModel) = model.system
 isunivariate(model::StateSpaceModel) = isa(model.system.y, Vector)
 model_name(model::StateSpaceModel) = "$(typeof(model))"
-length_observations(model::StateSpaceModel) = length(model.system.y)
+num_observations(model::StateSpaceModel) = length(model.system.y)
 observations(model::StateSpaceModel) = model.system.y
 
 function lagmat(y::Vector{Fl}, k::Int) where Fl

src/models/naive_models.jl

@@ -5,7 +5,7 @@ function isfitted(model::NaiveModel)
 end
 
 isunivariate(model::NaiveModel) = true
-length_observations(model::NaiveModel) = length(model.y)
+num_observations(model::NaiveModel) = length(model.y)
 observations(model::NaiveModel) = model.y
 get_standard_residuals(model::NaiveModel) = model.residuals ./ sqrt(model.sigma2)
 typeof_model_elements(model::NaiveModel) = eltype(model.y)

src/visualization/forecast.jl

@@ -7,7 +7,7 @@
     for d in eachindex(dists)
         dists[d] = Normal(forec.expected_value[d][1], sqrt(forec.covariance[d][1]))
     end
-    n = length_observations(model)
+    n = num_observations(model)
     forec_idx = collect(n + 1: n + length(forec.expected_value))
     fillrange_color = :steelblue
     # Plot the series
@@ -47,7 +47,7 @@ RecipesBase.@recipe function f(model::Union{StateSpaceModel, NaiveModel},
     if !isunivariate(model)
         error("This plot recipe currently works for univariate models only.")
     end
-    n = length_observations(model)
+    n = num_observations(model)
     n_scen = size(scenarios, 3)
     scenarios_idx = collect(n + 1: n + size(scenarios, 1))
     # Plot the series