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Construct independant law from scenarios. #24

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leclere opened this issue Feb 24, 2016 · 3 comments
Open

Construct independant law from scenarios. #24

leclere opened this issue Feb 24, 2016 · 3 comments
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@leclere
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leclere commented Feb 24, 2016

Allow user to define laws from scenarios of datas.

@frapac
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frapac commented Mar 4, 2016

Currently, we estimate probability laws with Monte Carlo (we use different scenarios to build NoiseLaw). I think we should use Quantization instead.

http://www.quantize.maths-fi.com/

Or maybe;
https://github.com/EconForge/dolo/blob/master/dolo/numeric/discretization/discretization.py

@leclere
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leclere commented Mar 4, 2016

As far as I know we currently ask for NoiseLaw from the user. To address this issue we can :
-- construct NoiseLaws as uniform on the given set of scenarios
-- find an optimal quantization for a given support size of xi_t. But this is pretty complex to implement.

@leclere leclere modified the milestone: Statistics Mar 4, 2016
@frapac frapac self-assigned this Mar 18, 2016
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frapac commented Mar 31, 2016

I built this in an other repository, I will move the code ASAP

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