Merge 614c966 into ccbb460

bashtage · Feb 14, 2020 · 89d462e · 89d462e
2 parents ccbb460 + 614c966
commit 89d462e
Show file tree

Hide file tree

Showing 21 changed files with 1,079 additions and 74 deletions.
diff --git a/README.md b/README.md
@@ -27,6 +27,7 @@ to improve performance)
 - [Unit Root Tests](#unit-root)
 - [Bootstrapping](#bootstrap)
 - [Multiple Comparison Tests](#multiple-comparison)
+- [Long-run Covariance Estimation](#long-run-covariance)
 
 ### Python 3
 
@@ -159,6 +160,27 @@ ci = bs.conf_int(sharpe_ratio, 1000, method='percentile')
 See the [multiple comparison example notebook](http://nbviewer.ipython.org/github/bashtage/arch/blob/master/examples/multiple-comparison_examples.ipynb)
 for examples of the multiple comparison procedures.
 
+
+<a id="long-run-covariance"></a>
+
+### Long-run Covariance Estimation
+
+Kernel-based estimators of long-run covariance including the
+Bartlett kernel which is known as Newey-West in econometrics.
+Automatic bandwidth selection is available for all of the 
+covariance estimators.
+
+```python
+from arch.covariance.kernel import Bartlett
+from arch.data import nasdaq
+data = nasdaq.load()
+returns = data[["Adj Close"]].pct_change().dropna()
+
+cov_est = Bartlett(returns ** 2)
+# Get the long-run covariance
+cov_est.cov.long_run
+```
+
 ## Requirements
 
 These requirements reflect the testing environment. It is possible

diff --git a/arch/compat/numba.py b/arch/compat/numba.py
@@ -3,7 +3,7 @@
 
 
 class PerformanceWarning(UserWarning):
-    pass
+    """Warning issued if recursions are run in CPython"""
 
 
 performance_warning = """

diff --git a/arch/covariance/__init__.py b/arch/covariance/__init__.py