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BUG: Preserve small upper-tail Wald p-values - #975
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Thanks. I"m sure this is correct but will wait for green. I'm happy for all 1- cdf to be replaced with sf if there are any more. |
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Merged, thanks. |
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Oct 31, 2026
- Highlights and new features: NGARCH (bashtage#966), the VaR backtests (bashtage#965), the local block bootstrap (bashtage#967) and bandwidth_method (bashtage#964, and phillips_ouliaris here). - Changes that alter results: the automatic bandwidth entry of bashtage#983 now also describes the bandwidth of the kernels with bounded support, the fractional bandwidths and the Tukey-Parzen constant of bashtage#964, its S&P 500 bandwidths are those of the bandwidth attribute (30.96 and 34.50, where it said the 31.96 and 35.50 of opt_bandwidth), and it links phillips_ouliaris in arch.unitroot.cointegration. The ADF-Z tables of bashtage#972, bashtage#973 and bashtage#980. - Backward-incompatible changes: strings in object data. - Bug fixes: bashtage#954, bashtage#970, bashtage#974, bashtage#975, bashtage#977, bashtage#978, bashtage#982, and the constant data of the Newey-West bandwidth and mackinnonp at -inf and inf. - Maintenance: the CI changes and the version file. - Contributors: galafis, jackiectl2, mkzung and wavebyrd.
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WaldTestStatistic.pval subtracts the chi-squared CDF from 1. This loses relative accuracy in the upper tail and rounds representable p-values to zero. For a statistic of 100 and 2 degrees of freedom it returns 0 instead of exp(-50), approximately 1.92875e-22.
Use the distribution's survival function. Four regression cases compare the two-degree-of-freedom tail against its independent closed form exp(-stat/2), with zero absolute tolerance; all four fail before the change. Existing tests continue to cover ordinary values, NaN and infinity.
SciPy documents sf as the upper tail and notes its greater accuracy over 1-cdf: https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.chi2.html .
Validation: 1227 utility tests passed; Ruff lint and formatting passed for both changed files; git diff --check passed. Tested on current source main with Python 3.12.14, NumPy 2.5.4, pandas 3.1.0 and SciPy 1.18.1. The installed arch 8.0.0 distribution supplied only the ignored version metadata file; tests import the current source tree.