statsmodels.regression.linear_model.yule_walker(X, order=1, method='unbiased', df=None, inv=False, demean=True)
[source]
Estimate AR(p) parameters from a sequence X using Yule-Walker equation.
Unbiased or maximum-likelihood estimator (mle)
See, for example:
http://en.wikipedia.org/wiki/Autoregressive_moving_average_model
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>>> import statsmodels.api as sm >>> from statsmodels.datasets.sunspots import load >>> data = load() >>> rho, sigma = sm.regression.yule_walker(data.endog, ... order=4, method="mle")
>>> rho array([ 1.28310031, -0.45240924, -0.20770299, 0.04794365]) >>> sigma 16.808022730464351
© 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.regression.linear_model.yule_walker.html