linearmodels.iv.covariance.kernel_weight_parzen

kernel_weight_parzen(bw, *args)

Kernel weights from a Parzen kernel

Parameters

bwint

Maximum lag to used in kernel

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

ndarray