allow colored_noise to output normalized series and use it to generat… #543
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…e SurrogateSeries that match the variance of the original series tests pass
alexkjames
approved these changes
May 15, 2024
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I noticed a bug this morning: the
CN(colored noise) option of SurrogateSeries had variance much larger than the series it is meant to emulate. This is becausetsmodel.colored_noise()did not previously allow to scale the output to a given value. This is now implemented, and used inSurrogateSeries.from_series().All tests pass on my machine, including a new one designed to test the scaling capability