TimeVaryingNelsonSiegelResult.fitted

property TimeVaryingNelsonSiegelResult.fitted: NDArray[float64]

Smoothed fitted curves, (nobs, p).

Each date’s factors through that date’s own loadings.

Example

>>> import numpy as np
>>> res = TimeVaryingNelsonSiegelResult(
...     panel=np.zeros((30, 4)), maturities=np.array([1.0, 2.0, 5.0, 10.0]),
...     mu=np.zeros(3), ar=np.full(3, 0.9), state_innovation_cov=np.eye(3),
...     measurement_var=np.full(4, 0.01), log_decay_mean=np.log(0.6),
...     decay_ar=0.9, decay_sd=0.1, factors=np.tile([5.0, 0.0, 0.0], (30, 1)),
...     factor_cov=np.tile(np.eye(3), (30, 1, 1)), log_decay=np.full(30, np.log(0.6)),
...     log_decay_std=np.full(30, 0.1), llf=0.0, filter="unscented", nobs=30,
...     n_params=19.0,
... )
>>> res.fitted.shape, bool(np.allclose(res.fitted, 5.0))
((30, 4), True)