INNER CODE UNIT · Python

expand_matrix

AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · utils/bocd.py:56

    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):   
        self.cp_detected = False
        
        if self.t == self.length - 1:
            self.expand_matrix()
                      
        t  = self.t
        
        predprobs = np.round(self.observation_likelihood.pdf(x), 16)
        # Evaluate the hazard function for this interval
        H = self.H(np.array(range(t + 1)))

        # Evaluate the growth probabilities - shift the probabilities down and to

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