FunctionalCoefficientVARResult.coefficients_at

FunctionalCoefficientVARResult.coefficients_at(u)

The lag stack A_1(u), ..., A_p(u) prevailing at one state value.

Parameters:

u (float) – A state value inside state_range.

Return type:

NDArray[double]

Returns:

A (p, k, k) stack; [i - 1, r, c] is the response of variable r to lag i of variable c.

Raises:

SpecificationError – If u lies outside the estimated range.

Example

On the tanh system the own-lag coefficient of y1 is negative at the low end of the state and positive at the high end:

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> y = np.zeros((250, 2))
>>> for t in range(1, 250):
...     a = 0.8 * np.tanh(y[t - 1, 0])
...     y[t, 0] = a * y[t - 1, 0] + 0.5 * rng.standard_normal()
...     y[t, 1] = 0.4 * y[t - 1, 1] + 0.5 * rng.standard_normal()
>>> res = FunctionalCoefficientVAR(y, order=1, transition_variable="y1").fit(
...     bandwidth=1.2, n_grid=21
... )
>>> low, high = res.state_range
>>> res.coefficients_at(low).shape
(1, 2, 2)
>>> bool(res.coefficients_at(low)[0, 0, 0] < 0.0 < res.coefficients_at(high)[0, 0, 0])
True
>>> res.coefficients_at(10.0)
Traceback (most recent call last):
cultivars.exceptions.SpecificationError: state value 10.0 lies outside the estimated ...