tsa.tsatools.lagmat2ds()
statsmodels.tsa.tsatools.lagmat2ds
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statsmodels.tsa.tsatools.lagmat2ds(x, maxlag0, maxlagex=None, dropex=0, trim='forward', use_pandas=False)
[source] -
Generate lagmatrix for 2d array, columns arranged by variables
Parameters: x : array_like, 2d
2d data, observation in rows and variables in columns
maxlag0 : int
for first variable all lags from zero to maxlag are included
maxlagex : None or int
max lag for all other variables all lags from zero to maxlag are included
dropex : int (default is 0)
exclude first dropex lags from other variables for all variables, except the first, lags from dropex to maxlagex are included
trim : string
- ‘forward’ : trim invalid observations in front
- ‘backward’ : trim invalid initial observations
- ‘both’ : trim invalid observations on both sides
- ‘none’ : no trimming of observations
use_pandas : bool, optional
If true, returns a DataFrame when the input is a pandas Series or DataFrame. If false, return numpy ndarrays.
Returns: lagmat : 2d array
array with lagged observations, columns ordered by variable
Notes
Inefficient implementation for unequal lags, implemented for convenience
© 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.tsatools.lagmat2ds.html