arch.univariate.MIDASHyperbolic.constraints

MIDASHyperbolic.constraints() tuple[ndarray, ndarray][source]

Constraints

Notes

Parameters are (omega, alpha, gamma, theta)

A.dot(parameters) - b >= 0

  1. omega >0

  2. alpha>0 or alpha + gamma > 0

  3. alpha<1 or alpha+0.5*gamma<1

  4. theta > 0

  5. theta < 1