statsmodels.tsa.statespace.dynamic_factor.DynamicFactor.transform_params

DynamicFactor.transform_params(unconstrained)

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

Parameters:unconstrained (array_like) – Array of unconstrained parameters used by the optimizer, to be transformed. Returns:constrained – Array of constrained parameters which may be used in likelihood evalation. Return type:array_like

Notes

Constrains the factor transition to be stationary and variances to be positive.