ajdmom.mdl_svcj.cond2_mom.moments_y_to

ajdmom.mdl_svcj.cond2_mom.moments_y_to(l, J)[source]

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

Parameters:

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

  • J (tuple) – jump sizes in the variance

Returns:

a list of polys with attribute keyfor = (‘e^{kt}’,’t’,’k^{-}’,’beta_t’,’mu-theta/2’,’v0-theta’,’theta’,’sigma’, ‘l_{1:n}’, ‘o_{1:n}’, ‘p’, ‘sigma/2k’,’rho-sigma/2k’,’sqrt(1-rho^2)’, ‘mu_s’, ‘rhoJ’, ‘sigma_s’, ‘J_{1:n}’), noting that ‘p’ encodes power of \(I\!Z_t\).

Return type:

list