tsa.statespace.tools.constrain_stationary_multivariate()

statsmodels.tsa.statespace.tools.constrain_stationary_multivariate

statsmodels.tsa.statespace.tools.constrain_stationary_multivariate(unconstrained, variance, transform_variance=False, prefix=None) [source]

Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation for a vector autoregression.

Parameters:

Parameters:	unconstrained : array or list Arbitrary matrices to be transformed to stationary coefficient matrices of the VAR. If a list, should be a list of length `order`, where each element is an array sized `k_endog` x `k_endog`. If an array, should be the matrices horizontally concatenated and sized `k_endog` x `k_endog * order`. error_variance : array The variance / covariance matrix of the error term. Should be sized `k_endog` x `k_endog`. This is used as input in the algorithm even if is not transformed by it (when `transform_variance` is False). The error term variance is required input when transformation is used either to force an autoregressive component to be stationary or to force a moving average component to be invertible. transform_variance : boolean, optional Whether or not to transform the error variance term. This option is not typically used, and the default is False. prefix : {‘s’,’d’,’c’,’z’}, optional The appropriate BLAS prefix to use for the passed datatypes. Only use if absolutely sure that the prefix is correct or an error will result.
Returns:	constrained : array or list Transformed coefficient matrices leading to a stationary VAR representation. Will match the type of the passed `unconstrained` variable (so if a list was passed, a list will be returned).

unconstrained : array or list

Arbitrary matrices to be transformed to stationary coefficient matrices of the VAR. If a list, should be a list of length order, where each element is an array sized k_endog x k_endog. If an array, should be the matrices horizontally concatenated and sized k_endog x k_endog * order.

error_variance : array

The variance / covariance matrix of the error term. Should be sized k_endog x k_endog. This is used as input in the algorithm even if is not transformed by it (when transform_variance is False). The error term variance is required input when transformation is used either to force an autoregressive component to be stationary or to force a moving average component to be invertible.

transform_variance : boolean, optional

Whether or not to transform the error variance term. This option is not typically used, and the default is False.

prefix : {‘s’,’d’,’c’,’z’}, optional

The appropriate BLAS prefix to use for the passed datatypes. Only use if absolutely sure that the prefix is correct or an error will result.

Returns:

constrained : array or list

Transformed coefficient matrices leading to a stationary VAR representation. Will match the type of the passed unconstrained variable (so if a list was passed, a list will be returned).

Notes

In the notation of [R100], the arguments (variance, unconstrained) are written as $(\Sigma, A_1, \dots, A_p)$ , where $p$ is the order of the vector autoregression, and is here determined by the length of the unconstrained argument.

There are two steps in the constraining algorithm.

First, $(A_1, \dots, A_p)$ are transformed into $(P_1, \dots, P_p)$ via Lemma 2.2 of [R100].

Second, $(\Sigma, P_1, \dots, P_p)$ are transformed into $(\Sigma, \phi_1, \dots, \phi_p)$ via Lemmas 2.1 and 2.3 of [R100].

If transform_variance=True, then only Lemma 2.1 is applied in the second step.

While this function can be used even in the univariate case, it is much slower, so in that case constrain_stationary_univariate is preferred.

References

[R100]

(1, 2, 3, 4) Ansley, Craig F., and Robert Kohn. 1986. “A Note on Reparameterizing a Vector Autoregressive Moving Average Model to Enforce Stationarity.” Journal of Statistical Computation and Simulation 24 (2): 99-106.

[R101]

Ansley, Craig F, and Paul Newbold. 1979. “Multivariate Partial Autocorrelations.” In Proceedings of the Business and Economic Statistics Section, 349-53. American Statistical Association

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© 2006 Jonathan E. Taylor
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