arch.covariance.kernel.Bartlett.opt_bandwidth

property Bartlett.opt_bandwidth

Estimate optimal bandwidth.

Returns
float

The estimated optimal bandwidth.

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.