numeraire.newey_west_lrv

numeraire.newey_west_lrv(x: NDArray[float64], lags: int = 0) → float

Bartlett-kernel long-run variance of a 1-D series (lags=0 = plain variance, MLE).

lrv = g0 + 2 * sum_{l=1..lags} (1 - l/(lags+1)) * g_l with g_l the lag-l autocovariance (denominator T).