SparseVARResult._from_fit#

classmethod SparseVARResult._from_fit(fit, model)[source]#

Assemble the public result from a raw fit and its specification.

Parameters:

  • fit (_VectorSparseFit) – The packed estimate from _fit_sparse.

  • model (_SparseVectorAutoRegressionModel[SparseVARResult]) – The specification the fit was produced for.

Return type:

SparseVARResult

Returns:

The public result record.

Example

>>> import numpy as np
>>> y = np.random.default_rng(0).standard_normal((120, 3))
>>> model = SparseVAR(y, order=1)
>>> fit = model._fit_sparse(
...     penalty="lasso", lam=0.1, n_lambdas=20, lambda_min_ratio=1e-3
... )
>>> res = SparseVARResult._from_fit(fit, model)
>>> res.names, res.lam, res.lambda_path.shape
(('y1', 'y2', 'y3'), 0.1, (0,))