statsmodels.tsa.ar_model.AR

class statsmodels.tsa.ar_model.AR(endog, dates=None, freq=None, missing='none')

Autoregressive AR(p) model

Parameters:

endog : array-like

1-d endogenous response variable. The independent variable.

dates : array-like of datetime, 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.’

Attributes

endog_names	Names of endogenous variables
exog_names

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)	Returns numerical hessian for now.
information(params)	Not Implemented Yet
initialize()
loglike(params)	The loglikelihood of an AR(p) process
predict(params[, start, end, dynamic])	Returns in-sample and out-of-sample prediction.
score(params)	Return the gradient of the loglikelihood at params.
select_order(maxlag, ic[, trend, method])	Select the lag order according to the information criterion.

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)	Returns numerical hessian for now.
information(params)	Not Implemented Yet
initialize()
loglike(params)	The loglikelihood of an AR(p) process
predict(params[, start, end, dynamic])	Returns in-sample and out-of-sample prediction.
score(params)	Return the gradient of the loglikelihood at params.
select_order(maxlag, ic[, trend, method])	Select the lag order according to the information criterion.

Attributes

endog_names	Names of endogenous variables
exog_names