Example #1
0
def arParams(x, times=None, min_len=20, maxlag=3):
    '''
    :param x: input of the AR model
    :param times:
    :param min_len:
    :param maxlag: maximum lag
    :return: params, and loglike score
    '''
    model = AR(endog=x)
    model_fitted = model.fit(maxlag=maxlag, maxiter=200)
    loglike_score = model.loglike(model_fitted.params)
    return model_fitted.params, loglike_score