dfm-python 0.2.3__py3-none-any.whl → 0.2.4__py3-none-any.whl

dfm_python/__init__.py

@@ -50,7 +50,7 @@ Example (Low-level API - For advanced usage):
 For detailed documentation, see the README.md file and the tutorial notebooks/scripts.
 """
 
-__version__ = "0.2.3"
+__version__ = "0.2.4"
 
 from .config import DFMConfig, SeriesConfig, BlockConfig, Params, DEFAULT_GLOBAL_BLOCK_NAME
 from .config import (

dfm_python/config.py

@@ -224,9 +224,12 @@ class Params:
     max_iter : int
         Maximum EM iterations (default: 5000)
     nan_method : int
-        Missing data handling method (1-5, default: 2 = spline interpolation)
+        Missing data handling method (1-5, default: 2 = spline interpolation).
+        This preprocessing step is followed by Kalman Filter-based missing data
+        handling during DFM estimation, following standard practice in state-space
+        models (Mariano & Murasawa 2003, Harvey 1989).
     nan_k : int
-        Spline parameter for NaN interpolation (default: 3)
+        Spline parameter for NaN interpolation (default: 3 for cubic spline)
     clock : str
         Base frequency for all latent factors (default: 'm' for monthly)
     clip_ar_coefficients : bool
@@ -340,8 +343,8 @@ class DFMConfig:
     ar_lag: int = 1  # Number of lags in AR transition equation (lookback window)
     threshold: float = 1e-5  # EM convergence threshold
     max_iter: int = 5000  # Maximum EM iterations
-    nan_method: int = 2  # Missing data handling method (1-5)
-    nan_k: int = 3  # Spline parameter for NaN interpolation
+    nan_method: int = 2  # Missing data handling method (1-5). Preprocessing step before Kalman Filter-based handling
+    nan_k: int = 3  # Spline parameter for NaN interpolation (cubic spline)
     clock: str = 'm'  # Base frequency for nowcasting (global clock): 'd', 'w', 'm', 'q', 'sa', 'a' (defaults to 'm' for monthly)
     
     # ========================================================================

dfm_python/core/__init__.py

@@ -12,6 +12,11 @@ This package contains core functionality organized by domain:
 from .em import init_conditions, em_step, em_converged
 from .numeric import (
     _ensure_symmetric,
+    _ensure_real,
+    _ensure_real_and_symmetric,
+    _ensure_covariance_stable,
+    _ensure_innovation_variance_minimum,
+    _compute_covariance_safe,
     _compute_principal_components,
     _clean_matrix,
     _ensure_positive_definite,
@@ -38,6 +43,11 @@ __all__ = [
     'em_step',
     'em_converged',
     '_ensure_symmetric',
+    '_ensure_real',
+    '_ensure_real_and_symmetric',
+    '_ensure_covariance_stable',
+    '_ensure_innovation_variance_minimum',
+    '_compute_covariance_safe',
     '_compute_principal_components',
     '_clean_matrix',
     '_ensure_positive_definite',
@@ -46,6 +56,7 @@ __all__ = [
     '_apply_ar_clipping',
     '_cap_max_eigenvalue',
     '_estimate_ar_coefficient',
+    '_compute_variance_safe',
     '_safe_divide',
     '_check_finite',
     '_ensure_square_matrix',