arch.univariate.ARX.constraints

ARX.constraints() → tuple[ndarray[Any, dtype[float64]], ndarray[Any, dtype[float64]]]

Construct linear constraint arrays for use in non-linear optimization

Returns:

  • a (numpy.ndarray) – Number of constraints by number of parameters loading array

  • b (numpy.ndarray) – Number of constraints array of lower bounds

Notes

Parameters satisfy a.dot(parameters) - b >= 0