SparseVARResult.sparsity

property SparseVARResult.sparsity: float

Share of penalized coefficients set exactly to zero.

1 - n_nonzero / (p k^2); the deterministic block is not penalized and not counted.

Example

>>> import numpy as np
>>> y = np.random.default_rng(0).standard_normal((120, 4))
>>> res = SparseVAR(y, order=1).fit(lam=0.5)
>>> res.n_nonzero, res.sparsity
(0, 1.0)
>>> loose = SparseVAR(y, order=1).fit(lam=0.01)
>>> bool(abs(loose.sparsity - (1 - loose.n_nonzero / 16)) < 1e-12)
True