dfm-python 0.5.55__tar.gz → 0.5.56__tar.gz

{dfm_python-0.5.55 → dfm_python-0.5.56}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dfm-python
-Version: 0.5.55
+Version: 0.5.56
 Summary: Dynamic Factor Model (DFM) estimation and forecasting in Python
 Project-URL: Homepage, https://github.com/yourusername/dfm-python
 Project-URL: Documentation, https://github.com/yourusername/dfm-python#readme

dfm_python-0.5.56/config/ddfm_exchange.yaml

@@ -0,0 +1,38 @@
+# DDFM Configuration for Exchange Rate Dataset
+# Based on original TensorFlow DDFM implementation (DDFM/run_exchange_rate_original.py)
+# Data: 8 exchange rate series (AUD_USD, GBP_USD, CAD_USD, CHF_USD, CNY_USD, JPY_USD, SGD_USD, NZD_USD)
+# Clock: Daily (d) - all series are daily frequency
+# Date range: 1990-01-01 to 2010-10-10
+
+# Neural Network Architecture (matching original TensorFlow DDFM)
+encoder_layers: [16, 4]  # Hidden layers: [16] -> latent: 4 (matching original structure_encoder=(16, 4))
+activation: relu  # Matching original link='relu'
+use_batch_norm: true  # Matching original batch_norm=True
+
+# Training Parameters (matching original TensorFlow DDFM)
+learning_rate: 0.005  # Matching original learning_rate=0.005
+n_mc_samples: 10  # Number of MC samples per MCMC iteration (matching original epochs=10)
+window_size: 100  # Time-step batch size for training (matching original batch_size=100)
+
+# MCMC/Iterative Parameters (matching original TensorFlow DDFM)
+max_epoch: 200  # Maximum MCMC iterations (matching original max_iter=200)
+tolerance: 0.0005  # Convergence tolerance (matching original tolerance=0.0005)
+disp: 10  # Display frequency for training progress (matching original disp=10)
+seed: 3  # Random seed (matching original seed=3)
+
+# Data Handling (used by Dataset, not Model)
+clock: d  # Daily clock frequency (all series are daily)
+target_scaler: null  # No target scaler - data should be pre-scaled before passing to Dataset
+
+# Frequency mapping (all series are daily)
+# If not specified, all series use clock frequency (d)
+# Format: {"series_name": "frequency_code"}
+# frequency:
+#   AUD_USD: d
+#   GBP_USD: d
+#   CAD_USD: d
+#   CHF_USD: d
+#   CNY_USD: d
+#   JPY_USD: d
+#   SGD_USD: d
+#   NZD_USD: d

dfm_python-0.5.56/config/ddfm_finance.yaml

@@ -0,0 +1,31 @@
+# DDFM Configuration for Finance Dataset
+# Data: Finance data with market_forward_excess_returns as target variable
+# Clock: Monthly (m) - all series are monthly frequency
+
+# Neural Network Architecture
+encoder_layers: [64, 32, 2]  # Hidden layers: [64, 32] -> latent: 2 factors
+activation: relu  # Activation function: 'tanh', 'relu', 'sigmoid'
+use_batch_norm: true  # Use batch normalization
+
+# Training Parameters
+learning_rate: 0.001  # Learning rate for optimizer
+n_mc_samples: 1  # Number of MC samples per MCMC iteration (reduced for faster execution)
+window_size: 100  # Time-step batch size for training
+
+# MCMC/Iterative Parameters
+max_epoch: 200  # Maximum MCMC iterations
+tolerance: 0.0005  # Convergence tolerance
+disp: 10  # Display frequency for training progress
+seed: null  # Random seed (None uses default)
+
+# Data Handling (used by Dataset, not Model)
+clock: m  # Monthly clock frequency
+target_scaler: standard  # Scaler for target series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
+
+# Frequency mapping (optional)
+# If not specified, all series use clock frequency
+# Format: {"series_name": "frequency_code"}
+# frequency:
+#   gdp: q
+#   unemployment: m
+#   interest_rate: m

{dfm_python-0.5.55 → dfm_python-0.5.56}/config/ddfm_macro.yaml

@@ -5,32 +5,24 @@
 # Target: KOEQUIPTE (Investment, Equipment, Estimation, SA)
 
 # Neural Network Architecture
-encoder_layers:
-  - 64
-  - 32
-num_factors: 2  # Number of factors (DDFM does not use block structure)
+encoder_layers: [64, 32, 2]  # Hidden layers: [64, 32] -> latent: 2 factors
 activation: relu  # Activation function: 'tanh', 'relu', 'sigmoid'
-use_batch_norm: true
+use_batch_norm: true  # Use batch normalization
 
 # Training Parameters
-learning_rate: 0.001
-epochs: 100
-batch_size: 100  # DDFM-specific default batch size
-factor_order: 1  # VAR lag order for factor dynamics (1 or 2)
-
-# Idiosyncratic Components
-use_idiosyncratic: true
-min_obs_idio: 5  # Minimum observations for idio AR(1) estimation
+learning_rate: 0.001  # Learning rate for optimizer
+n_mc_samples: 1  # Number of MC samples per MCMC iteration (reduced for faster execution)
+window_size: 100  # Time-step batch size for training
 
 # MCMC/Iterative Parameters
-max_iter: 200  # Maximum MCMC iterations for iterative factor extraction
-tolerance: 0.0005  # Convergence tolerance for MCMC iterations
+max_epoch: 200  # Maximum MCMC iterations
+tolerance: 0.0005  # Convergence tolerance
 disp: 10  # Display frequency for training progress
+seed: null  # Random seed (None uses default)
 
-# Data Handling
+# Data Handling (used by Dataset, not Model)
 clock: w  # Weekly clock frequency (base frequency for latent factors)
-target_scaler: standard  # Scaler for target series only: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null (no scaling)
-# Note: nan_method and nan_k are internal constants (not user-configurable)
+target_scaler: standard  # Scaler for target series: 'standard', 'robust', 'minmax', 'maxabs', 'quantile', or null
 
 # Frequency mapping for mixed-frequency macro data
 # Clock is weekly (w), so monthly series are slower frequency
@@ -60,4 +52,3 @@ frequency:
   KORCNST: w  # Retail, Construction (weekly)
   KORMACH: w  # Retail, Machinery (weekly)
   KOROCOINF: w  # Retail, Other Consumer & Information (weekly)
-