arch.covariance.kernel.CovarianceEstimate¶

class arch.covariance.kernel.CovarianceEstimate(short_run: ndarray[Any, dtype[float64]], one_sided_strict: ndarray[Any, dtype[float64]], columns: Index | list[str] | None = None, long_run: ndarray[Any, dtype[float64]] | None = None, one_sided: ndarray[Any, dtype[float64]] | None = None)[source]¶

Covariance estimate using a long-run covariance estimator

Parameters:¶

short_run: ndarray[Any, dtype[float64]]¶

The short-run covariance estimate.

one_sided_strict: ndarray[Any, dtype[float64]]¶

The one-sided strict covariance estimate.

columns: Index | list[str] | None = None¶

Column labels to use if covariance estimates are returned as DataFrames.

long_run: ndarray[Any, dtype[float64]] | None = None¶

The long-run covariance estimate. If not provided, computed from short_run and one_sided_strict.

one_sided: ndarray[Any, dtype[float64]] | None = None¶

The one-sided-strict covariance estimate. If not provided, computed from short_run and one_sided_strict.

Notes

If \(\Gamma_0\) is the short-run covariance and \(\Lambda_1\) is the one-sided strict covariance, then the long-run covariance is defined

\[\Omega = \Gamma_0 + \Lambda_1 + \Lambda_1^\prime\]

and the one-sided covariance is

\[\Lambda_0 = \Gamma_0 + \Lambda_1.\]

Methods

Properties

long_run	The long-run covariance estimate.
one_sided	The one-sided covariance estimate.
one_sided_strict	The one-sided strict covariance estimate.
short_run	The short-run covariance estimate.