statsmodels.tsa.statespace.tools.constrain_stationary_univariate(unconstrained)
[source]
Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation
Parameters: | unconstrained (array) – Unconstrained parameters used by the optimizer, to be transformed to stationary coefficients of, e.g., an autoregressive or moving average component. |
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Returns: | constrained – Constrained parameters of, e.g., an autoregressive or moving average component, to be transformed to arbitrary parameters used by the optimizer. |
Return type: | array |
[*] | Monahan, John F. 1984. “A Note on Enforcing Stationarity in Autoregressive-moving Average Models.” Biometrika 71 (2) (August 1): 403-404. |
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© 2006 Jonathan E. Taylor
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