statsmodels.tsa.statespace.tools.constrain_stationary_univariate

statsmodels.tsa.statespace.tools.constrain_stationary_univariate(unconstrained)

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

Parameters

unconstrainedarray

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

Returns

constrainedarray

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.