I am using statsmodels .6 version and python 2.7.3
I was trying to fit an AR2MA2 model for my time series data and I get below error while fitting ar2ma2 model while there is no issue if ar2ma1 or ar3ma3 etc.
when I try ar2ma2 and ar3ma2 I get below error
The computed initial MA coefficients are not invertible
You should induce invertibility, choose a different model order, or you can
pass your own start_params.
Can some one advice me what exactly the issue is and how to make the MA coefficient invertible?.
I tried to do the same with R I get coefficients with out issue. So I assume R has an automatic way of making the MA coefficients invertible.
I need to stick to python for other reason as I use daily time series.
I have posted the files in the google groups.
with best regards,
Hi, I'm just now seeing this. There are similar discussions on the mailing list about this issue. You can read more there.