fix: align Sigma estimator and default to PIT for paper-faithful runs - #7
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Two small corrections surfaced while comparing the implementation to Chanatásig-Niza, Ciarreta and Zárraga (2022) Code_2_ENECO.R: - `fit_mhar_fixed_alpha` was computing Sigma as `np.cov(residuals.T)` (demeaned, ddof=1), inconsistent with `fit_mhar` and with the paper's `t(errors) %*% errors / nrow(errors)`. Switch to the matching uncentered, divide-by-T estimator so static and rolling spillovers share the same Sigma. - `SpilloverPipeline.fit_static`/`run` now apply `force_pit` when no PIT method was called explicitly. The paper PITs every realized series; auto_pit (Jarque-Bera-gated) remains available as an opt-in. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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Summary
Two small corrections that close the remaining gaps with Chanatásig-Niza, Ciarreta & Zárraga (2022) (verified against the authors'
Code_2_ENECO.R):fit_mhar_fixed_alphaΣ estimator. Wasnp.cov(residuals.T)(demeaned, ddof=1), inconsistent withfit_mharand with the paper'st(errors) %*% errors / nrow(errors). Switched to the matching uncentered, divide-by-T estimator so static and rolling spillovers share one definition of Σ.fit_static/runnow invokeforce_pitif no PIT method was called explicitly. The paper PITs every realized series (column suffixes_Npitpin their code);auto_pit(Jarque-Bera-gated) stays available as an opt-in.No behavior change for users who already call
force_pit()orauto_pit()explicitly.Test plan
uv run pytest -x -q(21 passed)🤖 Generated with Claude Code