tsa.statespace.tools.unconstrain_stationary_univariate()
statsmodels.tsa.statespace.tools.unconstrain_stationary_univariate
-
statsmodels.tsa.statespace.tools.unconstrain_stationary_univariate(constrained)
[source] -
Transform constrained parameters used in likelihood evaluation to unconstrained parameters used by the optimizer
Parameters: constrained : array
Constrained parameters of, e.g., an autoregressive or moving average component, to be transformed to arbitrary parameters used by the optimizer.
Returns: unconstrained : array
Unconstrained parameters used by the optimizer, to be transformed to stationary coefficients of, e.g., an autoregressive or moving average component.
References
[R104] Monahan, John F. 1984. “A Note on Enforcing Stationarity in Autoregressive-moving Average Models.” Biometrika 71 (2) (August 1): 403-404.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.tools.unconstrain_stationary_univariate.html