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