statsmodels.tsa.ar_model.AR¶
-
class
statsmodels.tsa.ar_model.
AR
(endog, dates=None, freq=None, missing='none')[source]¶ Autoregressive AR(p) model.
Deprecated since version 0.11.
- Parameters
- endogarray_like
A 1-d endogenous response variable. The independent variable.
- datesarray_like,
optional
An array-like object of datetime objects. If a pandas object is given for endog or exog, it is assumed to have a DateIndex.
- freq
str
,optional
The frequency of the time-series. A Pandas offset or ‘B’, ‘D’, ‘W’, ‘M’, ‘A’, or ‘Q’. This is optional if dates are given.
- missing
str
Available options are ‘none’, ‘drop’, and ‘raise’. If ‘none’, no nan checking is done. If ‘drop’, any observations with nans are dropped. If ‘raise’, an error is raised. Default is ‘none’.
Methods
fit
([maxlag, method, ic, trend, …])Fit the unconditional maximum likelihood of an AR(p) process.
from_formula
(formula, data[, subset, drop_cols])Create a Model from a formula and dataframe.
hessian
(params)Compute the hessian using a numerical approximation.
information
(params)Not implemented.
Initialization of the model (no-op).
loglike
(params)The loglikelihood of an AR(p) process.
predict
(params[, start, end, dynamic])Construct in-sample and out-of-sample prediction.
score
(params)Compute the gradient of the log-likelihood at params.
select_order
(maxlag, ic[, trend, method])Select the lag order according to the information criterion.
Properties
Names of endogenous variables.
The names of the exogenous variables.