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:

unconstrainedndarray

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

Returns:

constrainedndarray

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.