arch.covariance.kernel.TukeyHanning.opt_bandwidth¶
- property
TukeyHanning.
opt_bandwidth
¶ Estimate optimal bandwidth.
- Returns
The estimated optimal bandwidth.
- Return type
Notes
Computed as
\[\hat{b}_T = c_k \left[\hat{\alpha}\left(q\right) T \right]^{\frac{1}{2q+1}}\]where \(c_k\) is a kernel-dependent constant, T is the sample size, q determines the optimal bandwidth rate for the kernel.