DynamicNelsonSiegelResult.loadings

property DynamicNelsonSiegelResult.loadings: NDArray[float64]

The (p, 3) Nelson-Siegel loadings at the fitted decay.

Example

>>> import numpy as np
>>> res = DynamicNelsonSiegelResult(
...     panel=np.zeros((30, 4)), maturities=np.array([1.0, 2.0, 5.0, 10.0]),
...     decay=0.6, decay_fixed=True, mu=np.zeros(3), ar=np.full(3, 0.9),
...     state_innovation_cov=np.eye(3), measurement_var=np.full(4, 0.01),
...     factors=np.zeros((30, 3)), factor_cov=np.tile(np.eye(3), (30, 1, 1)),
...     llf=0.0, nobs=30, n_params=16.0,
... )
>>> res.loadings.shape, bool(np.allclose(res.loadings[:, 0], 1.0))
((4, 3), True)
>>> bool(np.all(np.diff(res.loadings[:, 1]) < 0))
True