linearmodels.iv.covariance.kernel_weight_parzen¶
- kernel_weight_parzen(bw, *args)[source]¶
Kernel weights from a Parzen kernel
- Parameters
- bw
int
Maximum lag to used in kernel
- bw
- Returns
ndarray
Weight array ordered by lag position (maxlag + 1)
Notes
\[\begin{split}z_i & = i / (m+1) \\ w_i & = 1-6z_i^2+6z_i^3, z \leq 0.5 \\ w_i & = 2(1-z_i)^3, z > 0.5\end{split}\]- Return type