def _transparams(self, params):
"""
Transforms params to induce stationarity/invertability.
Reference
---------
Jones(1980)
"""
p = self.k_ar
k = self.k_trend
newparams = params.copy()
newparams[k:k+p] = _ar_transparams(params[k:k+p].copy())
return newparams
def _transparams(self, params):
"""
Transforms params to induce stationarity/invertability.
Reference
---------
Jones(1980)
"""
k_ar, k_ma = self.k_ar, self.k_ma
k = self.k_exog + self.k_trend
newparams = np.zeros_like(params)
# just copy exogenous parameters
if k != 0:
newparams[:k] = params[:k]
# AR Coeffs
if k_ar != 0:
newparams[k:k + k_ar] = _ar_transparams(params[k:k + k_ar].copy())
# MA Coeffs
if k_ma != 0:
newparams[k + k_ar:] = _ma_transparams(params[k + k_ar:].copy())
return newparams
def _transparams(self, params):
"""
Transforms params to induce stationarity/invertability.
Reference
---------
Jones(1980)
"""
k_ar, k_ma = self.k_ar, self.k_ma
k = self.k_exog + self.k_trend
newparams = np.zeros_like(params)
# just copy exogenous parameters
if k != 0:
newparams[:k] = params[:k]
# AR Coeffs
if k_ar != 0:
newparams[k:k+k_ar] = _ar_transparams(params[k:k+k_ar].copy())
# MA Coeffs
if k_ma != 0:
newparams[k+k_ar:] = _ma_transparams(params[k+k_ar:].copy())
return newparams
