FAVARResult.n_factors

property FAVARResult.n_factors: int

Number of estimated factors.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = FAVAR(
...     rng.standard_normal((120, 8)), rng.standard_normal((120, 1)),
...     n_factors=3, order=1,
... ).fit()
>>> res.n_factors, res.scores.shape, res.explained_variance.shape
(3, (120, 3), (3,))