statsmodels.tsa.statespace.sarimax.SARIMAX.transform_params

SARIMAX.transform_params(unconstrained)

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

Used primarily to enforce stationarity of the autoregressive lag polynomial, invertibility of the moving average lag polynomial, and positive variance parameters.

Parameters

unconstrainedarray_like

Unconstrained parameters used by the optimizer.

Returns

constrainedarray_like

Constrained parameters used in likelihood evaluation.

Notes

If the lag polynomial has non-consecutive powers (so that the coefficient is zero on some element of the polynomial), then the constraint function is not onto the entire space of invertible polynomials, although it only excludes a very small portion very close to the invertibility boundary.