statsmodels.tsa.statespace.tools.unconstrain_stationary_univariate

statsmodels.tsa.statespace.tools.unconstrain_stationary_univariate(constrained)

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 – Unconstrained parameters used by the optimizer, to be transformed to stationary coefficients of, e.g., an autoregressive or moving average component. Return type:array

References

[*]	Monahan, John F. 1984. “A Note on Enforcing Stationarity in Autoregressive-moving Average Models.” Biometrika 71 (2) (August 1): 403-404.