Autoregressive Moving Average ARMA(p,q) Model
Parameters: | endog : array-like
exog : array-like, optional
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Methods
fit(order[, start_params, trend, method, ...]) | Fits ARMA(p,q) model using exact maximum likelihood via Kalman filter. |
geterrors(params) | Get the errors of the ARMA process. |
hessian(params) | Compute the Hessian at params, |
information(params) | Fisher information matrix of model |
initialize() | Initialize (possibly re-initialize) a Model instance. |
loglike(params) | Compute the log-likelihood for ARMA(p,q) model |
loglike_css(params) | Conditional Sum of Squares likelihood function. |
loglike_kalman(params) | Compute exact loglikelihood for ARMA(p,q) model using the Kalman Filter. |
predict(params[, start, end, exog]) | In-sample and out-of-sample prediction. |
score(params) | Compute the score function at params. |
Attributes
endog_names | |
exog_names |