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