ajdmom.mdl_svcj.cond2_cmom.cmoments_y_to

ajdmom.mdl_svcj.cond2_cmom.cmoments_y_to(l, J)[source]

conditional central moments of \(y_t\) of orders \(0:l\)

Parameters:

  • l (int) – highest order of the conditional central moments to derive, >= 1

  • J (tuple) – jump sizes in the variance

Returns:

a list of polys with attribute keyfor = (‘e^{kt}’,’t’,’k^{-}’,’v0-theta’,’theta’,’sigma’, ‘l_{1:n}’, ‘o_{1:n}’, ‘sigma/2k’,’rho-sigma/2k’,’sqrt(1-rho^2)’, ‘sigma_s’)

Return type:

list