arch.covariance.kernel.Gallant¶

class arch.covariance.kernel.Gallant(x, bandwidth=None, df_adjust=0, center=True, weights=None, force_int=False)[source]¶

Alternative name for Parzen covariance estimator.

See also

Methods

Properties

`bandwidth`	The bandwidth used by the covariance estimator.
`bandwidth_scale`	The power used in optimal bandwidth calculation.
`centered`	Flag indicating whether the data are centered (demeaned).
`cov`	The estimated covariances.
`force_int`	Flag indicating whether the bandwidth is restricted to be an integer.
`kernel_const`	The constant used in optimal bandwidth calculation.
`kernel_weights`	Weights used in covariance calculation.
`name`	The covariance estimator's name.
`opt_bandwidth`	Estimate optimal bandwidth.
`rate`	The optimal rate used in bandwidth selection.