statsmodels.tsa.statespace.tools.constrain_stationary_univariate¶
-
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.
- unconstrained
- Returns
- constrained
array
Constrained parameters of, e.g., an autoregressive or moving average component, to be transformed to arbitrary parameters used by the optimizer.
- constrained
References
- *
Monahan, John F. 1984. “A Note on Enforcing Stationarity in Autoregressive-moving Average Models.” Biometrika 71 (2) (August 1): 403-404.