arch.covariance.kernel.NeweyWest¶

class arch.covariance.kernel.NeweyWest(x: ndarray | DataFrame | Series, bandwidth: float | None = None, df_adjust: int = 0, center: bool = True, weights: ndarray | DataFrame | Series | None = None, force_int: bool = False)[source]¶

Alternative name for Bartlett covariance estimator.

See also

Bartlett

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.