arch.univariate.MIDASHyperbolic.constraints¶

MIDASHyperbolic.constraints() → tuple[ndarray[Any, dtype[float64]], ndarray[Any, dtype[float64]]][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