skewt.py 文件源码

def first_order_score(y, mean, scale, shape, skewness):
        """ GAS Skew t Update term using gradient only - native Python function

        Parameters
        ----------
        y : float
            datapoint for the time series

        mean : float
            location parameter for the Skew t distribution

        scale : float
            scale parameter for the Skew t distribution

        shape : float
            tail thickness parameter for the Skew t distribution

        skewness : float
            skewness parameter for the Skew t distribution

        Returns
        ----------
        - Score of the Skew t family
        """
        m1 = (np.sqrt(shape)*sp.gamma((shape-1.0)/2.0))/(np.sqrt(np.pi)*sp.gamma(shape/2.0))
        mean = mean + (skewness - (1.0/skewness))*scale*m1
        if (y-mean)>=0:
            return ((shape+1)/shape)*(y-mean)/(np.power(skewness*scale,2) + (np.power(y-mean,2)/shape))
        else:
            return ((shape+1)/shape)*(y-mean)/(np.power(scale,2) + (np.power(skewness*(y-mean),2)/shape))