statsmodels.regression.linear_model.burg¶
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statsmodels.regression.linear_model.burg(endog, order=1, demean=True)[source]¶ Burg’s AP(p) parameter estimator
- Parameters
- endogarray-like
The endogenous variable
- orderint, optional
Order of the AR. Default is 1.
- demeanbool, optional
Flag indicating to subtract the mean from endog before estimation
- Returns
- rhondarray
AR(p) coefficients computed using Burg’s algorithm
- sigma2float
Estimate of the residual variance
Notes
AR model estimated includes a constant estimated using the sample mean. This value is not reported.
References
- 1
Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.