TimeVaryingNelsonSiegelResult.level

property TimeVaryingNelsonSiegelResult.level: NDArray[float64]

The smoothed level factor, (nobs,).

Example

>>> import numpy as np
>>> paths = np.column_stack([np.linspace(4.0, 5.0, 30), np.zeros(30), np.zeros(30)])
>>> 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=paths,
...     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.level.shape, float(res.level[-1])
((30,), 5.0)