arch.univariate.EWMAVariance.constraints¶
- EWMAVariance.constraints() tuple[ndarray[Any, dtype[float64]], ndarray[Any, dtype[float64]]] [source]¶
Construct parameter constraints arrays for parameter estimation
- Returns:¶
A (
numpy.ndarray
) – Parameters loadings in constraint. Shape is number of constraints by number of parametersb (
numpy.ndarray
) – Constraint values, one for each constraint
Notes
Values returned are used in constructing linear inequality constraints of the form A.dot(parameters) - b >= 0