tsa.statespace.tools.constrain_stationary_univariate()

statsmodels.tsa.statespace.tools.constrain_stationary_univariate

statsmodels.tsa.statespace.tools.constrain_stationary_univariate(unconstrained) [source]

Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation

Parameters:

Parameters:	unconstrained : array Unconstrained parameters used by the optimizer, to be transformed to stationary coefficients of, e.g., an autoregressive or moving average component.
Returns:	constrained : array Constrained parameters of, e.g., an autoregressive or moving average component, to be transformed to arbitrary parameters used by the optimizer.

unconstrained : array

Unconstrained parameters used by the optimizer, to be transformed to stationary coefficients of, e.g., an autoregressive or moving average component.

Returns:

constrained : array

Constrained parameters of, e.g., an autoregressive or moving average component, to be transformed to arbitrary parameters used by the optimizer.

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.constrain_stationary_univariate.html