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ENH: Import arima_process stuff into tsa.api #1426

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merged 7 commits into from Oct 15, 2014

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commented Feb 24, 2014

Got sick of typing these imports. I did some minimal cleanups, including some variable renames to standardize things a bit, changes some methods to properties, and fixed some things that were obviously broken. This still needs rigorous testing, more docs, and examples, but I'm not going to do it right now.

When ready, will need to fix examples that rely on this and probably add to main docs.

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commented Apr 5, 2014

This should check for stationarity (and invertibility?) when constructing the objects with an optional force argument to make it go through. Possibly separate force_stationary and force_invertible. It's a pain to check each time.

>>> ar = np.array([.75, -.25])
>>> ma = np.array([.65, .35])
>>> arparams = np.r_[1, -ar] # add zero-lag and negate
>>> maparams = np.r_[1, ma] # add zero-lag

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this reverses the notation compared to the other parts
ar, ma are polynomial, arparams, maparams are just the coefficients for lags > 0

see from_estimation

@jseabold jseabold force-pushed the jseabold:arma-process-cleanup branch 2 times, most recently from 3aab04a to 8562761 Sep 26, 2014

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commented Sep 26, 2014

I'm inclined to merge this for 0.6 since it's mainly just a cleanup and import.

@jseabold jseabold added this to the 0.6 milestone Sep 26, 2014

@jseabold jseabold force-pushed the jseabold:arma-process-cleanup branch from 8562761 to 5a93ad5 Oct 9, 2014

jseabold added a commit that referenced this pull request Oct 15, 2014

Merge pull request #1426 from jseabold/arma-process-cleanup
ENH: Import arima_process stuff into tsa.api

@jseabold jseabold merged commit 3196ccb into statsmodels:master Oct 15, 2014

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@jseabold jseabold deleted the jseabold:arma-process-cleanup branch Oct 15, 2014

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