TimeVaryingNelsonSiegelResult._params#

TimeVaryingNelsonSiegelResult._params[source]#

The parameter record, rebuilt for the emitter.

Returns:

A _DecayNelsonSiegelParameters carrying the Cholesky factor of state_innovation_cov and the three decay parameters.

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.diag([0.04, 0.09, 0.16]),
...     measurement_var=np.full(4, 0.01), log_decay_mean=np.log(0.6),
...     decay_ar=0.9, decay_sd=0.1, factors=np.zeros((30, 3)),
...     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,
... )
>>> params = res._params
>>> np.diag(params.state_chol).round(2), params.decay_ar, params.decay_sd
(array([0.2, 0.3, 0.4]), 0.9, 0.1)