Logo

statsmodels.tsa.vector_ar.var_model.VARProcess

class statsmodels.tsa.vector_ar.var_model.VARProcess(coefs, intercept, sigma_u, names=None)[source]

Class represents a known VAR(p) process

Parameters:

coefs : ndarray (p x k x k)

intercept : ndarray (length k)

sigma_u : ndarray (k x k)

names : sequence (length k)

Returns:

**Attributes:** :

Methods

acf([nlags]) Compute theoretical autocovariance function
acorr([nlags]) Compute theoretical autocorrelation function
forecast(y, steps) Produce linear minimum MSE forecasts for desired number of steps
forecast_cov(steps) Compute theoretical forecast error variance matrices
forecast_interval(y, steps[, alpha]) Construct forecast interval estimates assuming the y are Gaussian
get_eq_index(name) Return integer position of requested equation name
is_stable([verbose]) Determine stability based on model coefficients
long_run_effects() Compute long-run effect of unit impulse
ma_rep([maxn]) Compute MA(

System Message: WARNING/2 (\infty)

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.15 (TeX Live 2014) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2011/06/27> Babel <3.9k> and hyphenation patterns for 2 languages loaded. (/usr/share/texlive/texmf-dist/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texlive/texmf-dist/tex/latex/base/size12.clo)) (/usr/share/texlive/texmf-dist/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.131 \endinput ^^M No pages of output. Transcript written on math.log.
) coefficient matrices
mean() Mean of stable process
mse(steps) Compute theoretical forecast error variance matrices
orth_ma_rep([maxn, P]) Compute Orthogonalized MA coefficient matrices using P matrix such that

System Message: WARNING/2 (\Sigma_u = PP^\prime)

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.15 (TeX Live 2014) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2011/06/27> Babel <3.9k> and hyphenation patterns for 2 languages loaded. (/usr/share/texlive/texmf-dist/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texlive/texmf-dist/tex/latex/base/size12.clo)) (/usr/share/texlive/texmf-dist/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.131 \endinput ^^M No pages of output. Transcript written on math.log.
.
plot_acorr([nlags, linewidth]) Plot theoretical autocorrelation function
plotsim([steps]) Plot a simulation from the VAR(p) process for the desired number of

Previous topic

statsmodels.tsa.vector_ar.var_model.VAR.select_order

Next topic

statsmodels.tsa.vector_ar.var_model.VARProcess.acf

This Page