statsmodels.tsa.statespace.sarimax.SARIMAX.transform_params

SARIMAX.transform_params(unconstrained) [source]

Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation.

Used primarily to enforce stationarity of the autoregressive lag polynomial, invertibility of the moving average lag polynomial, and positive variance parameters.

Parameters: unconstrained (array_like) – Unconstrained parameters used by the optimizer.
Returns: constrained – Constrained parameters used in likelihood evaluation.
Return type: array_like

Notes

If the lag polynomial has non-consecutive powers (so that the coefficient is zero on some element of the polynomial), then the constraint function is not onto the entire space of invertible polynomials, although it only excludes a very small portion very close to the invertibility boundary.

© 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.sarimax.SARIMAX.transform_params.html