Autoregressive AR(p) model
Parameters: | endog : array-like
dates : array-like of datetime, optional
freq : str, optional
missing : str
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Methods
fit([maxlag, method, ic, trend, ...]) | Fit the unconditional maximum likelihood of an AR(p) process. |
from_formula(formula, data[, subset]) | Create a Model from a formula and dataframe. |
hessian(params) | Returns numerical hessian for now. |
information(params) | Not Implemented Yet |
initialize() | |
loglike(params) | The loglikelihood of an AR(p) process |
predict(params[, start, end, dynamic]) | Returns in-sample and out-of-sample prediction. |
score(params) | Return the gradient of the loglikelihood at params. |
select_order(maxlag, ic[, trend, method]) | Select the lag order according to the information criterion. |
Attributes
endog_names | |
exog_names |