INNER CODE UNIT · Python

BOCD

AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · utils/bocd.py:44

class BOCD:
    def __init__(self, hazard_function, observation_likelihood, length):   
        self.t = 0
        self.R = np.zeros((length, length))
        self.H = hazard_function
        self.observation_likelihood = observation_likelihood
        self.R[0, 0] = 1     
        self.changepoints = []
        self.cp_probs = []    
        self.length = length
        self.cp_detected = False
    
    def expand_matrix(self):
        L = self.R.shape[0]    
        self.R = np.pad(self.R, ((0,L),(0,L)))
        self.length  = self.R.shape[0]
        
    def update(self, x):   

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