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scikits.statsmodels.tsa.ar_model.AR

class scikits.statsmodels.tsa.ar_model.AR(endog, exog=None)[source]

Autoregressive AR(p) Model

Parameters :

endog : array-like

Endogenous response variable.

exog : array-like

Exogenous variables. Note that exogenous variables are not yet supported for AR.

Methods

fit(**kwargs[, maxlag, method, ic, trend, ...]) Fit the unconditional maximum likelihood of an AR(p) process.
hessian(params) Returns numerical hessian for now.
information(params) Not Implemented Yet
initialize()
loglike(params) The loglikelihood of an AR(p) process
predict([n, start, method, resid, confint]) Returns in-sample prediction or forecasts.
score(params) Return the gradient of the loglikelihood at params.

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