LongMemorySV.fit

LongMemorySV.fit()

Estimate by Whittle quasi-likelihood and smooth the log variance.

Return type:

LongMemorySVResult

Returns:

The fitted LongMemorySVResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = LongMemorySV(rng.standard_normal(300)).fit()
>>> res.mean_spec, res.nobs, bool(abs(res.d) < 0.5)
('constant', 300, True)