minor bug fix to EMA

microprediction · Dec 16, 2024 · 934ab22 · 934ab22
1 parent 0b5eed2
commit 934ab22
Show file tree

Hide file tree

Showing 2 changed files with 2 additions and 2 deletions.
diff --git a/precise/skaters/covariance/ewaempfactory.py b/precise/skaters/covariance/ewaempfactory.py
@@ -81,7 +81,7 @@ def _ema_scov_update(s:dict, x:[float], r:float=None, target=None, y=None):
 
         yyt = np.dot(xcol, ycolT)
         s['scov'] = (1 - r) * s['scov'] + r * yyt
-        s['mean'] = (1 - r) * s['mean'] + r * x
+        s['mean'] = (1 - r) * s['mean'] + r * np.array(x)
         s['pcov']= s['scov']*(s['n_samples']-1)/s['n_samples']
     return s
 

diff --git a/setup.py b/setup.py
@@ -7,7 +7,7 @@
 
 setup(
     name="precise",
-    version="0.16.6",
+    version="0.16.7",
     description="The home of Schur Hierarchical Portfolios: an aesthetically pleasing version of Hierarchical Risk Parity",
     long_description=README,
     long_description_content_type="text/markdown",