statsmodels.tsa.ar_model.AR.predict

AR.predict(params, start=None, end=None, dynamic=False)[source]

Returns in-sample and out-of-sample prediction.

Parameters
  • params (array) – The fitted model parameters.

  • start (int, str, or datetime) – Zero-indexed observation number at which to start forecasting, ie., the first forecast is start. Can also be a date string to parse or a datetime type.

  • end (int, str, or datetime) – Zero-indexed observation number at which to end forecasting, ie., the first forecast is start. Can also be a date string to parse or a datetime type.

  • dynamic (bool) – The dynamic keyword affects in-sample prediction. If dynamic is False, then the in-sample lagged values are used for prediction. If dynamic is True, then in-sample forecasts are used in place of lagged dependent variables. The first forecasted value is start.

Returns

predicted values

Return type

array

Notes

The linear Gaussian Kalman filter is used to return pre-sample fitted values. The exact initial Kalman Filter is used. See Durbin and Koopman in the references for more information.