Antonio Saragga Seabra comments

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                                            Antonio Saragga Seabra

Allow computing the correlation matrix from the covariance matrix only

Well, which tests? I didn’t add any tests to Statistics.jl yet. There where two tests that I added to StatsBase.jl in my PR, that failed for what are now obvious...

Allow computing the correlation matrix from the covariance matrix only

Certainly. Already tried the obvious @test cov2cor(cov1) ≈ cor1 @test cov2cor(cov2) ≈ cor2 but it throws an error... > On 19 Feb 2021, at 09:01, Milan Bouchet-Valat wrote: > >...

Allow computing the correlation matrix from the covariance matrix only

The cov2cor test errors because it is not considering the method cov2cor!(::Array{Float64,2}) that was added to Statistics.jl. Sorry about this. The error is cov2cor: Error During Test at /home/runner/work/StatsBase.jl/StatsBase.jl/test/cov.jl:127 143...

Allow computing the correlation matrix from the covariance matrix only

Indeed! Tests for the family of cov2cor methods in Statistics.jl appear to be missing?! Tried to follow some examples to keep the same style of tests. Sorry it is taking...

Deprecate TGARCH to TARCH or GJRGARCH?

First, I would like to thank you very much for this excellent package. I would also like to second the plan to deprecate the name TGARCH in favour of GJRGARCH...