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

constrainedarray

Constrained parameters of, e.g., an autoregressive or moving average component, to be transformed to arbitrary parameters used by the optimizer.

Returns

unconstrainedarray

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

References

*

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