DynamicFactor.update(params, transformed=True, complex_step=False)
[source]
Update the parameters of the model
Updates the representation matrices to fill in the new parameter values.
Parameters: |
|
---|---|
Returns: |
params – Array of parameters. |
Return type: |
array_like |
Let n = k_endog
, m = k_factors
, and p = factor_order
. Then the params
vector has length \([n imes m] + [n] + [m^2 imes p]\). It is expanded in the following way:
transform_params
.transofrm_params
.p
coefficient matrices for the vector autoregression describing the factor transition. They are transformed in transform_params
to enforce stationarity of the VAR(p). They are placed so as to make the transition matrix a companion matrix for the VAR. In particular, we assume that the first \(m^2\) parameters fill the first coefficient matrix (starting at [0,0] and filling along rows), the second \(m^2\) parameters fill the second matrix, etc.
© 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.dynamic_factor.DynamicFactor.update.html