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auto regression does not return the *co*variance #317
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Ok all this confusion is self made :-( Originally there were two code paths for drawing AR samples
I am very tempted to just revert and have However, as we average the variability of the residuals (see #307) its better to return them as |
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* add nobs to AR results * Changed std to variance in documentation (see #317) * changed tests to contain nobs * [pre-commit.ci] auto fixes from pre-commit.com hooks for more information, see https://pre-commit.ci * add entry to changelog --------- Co-authored-by: pre-commit-ci[bot] <66853113+pre-commit-ci[bot]@users.noreply.github.com>
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Ok, this is a bit akward, but what I did in #309 was wrong - not in that it leads to a wrong result, but the name is wrong. The AR process returns the variance and not the covariance!
What I found confusing is that once this variance is used to draw auto regression time series, and once the co-variance from another source is used. I should try to make that clearer.
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