GLSAR.iterative_fit(maxiter=3, rtol=0.0001, **kwds)[source]

Perform an iterative two-stage procedure to estimate a GLS model.

The model is assumed to have AR(p) errors, AR(p) parameters and regression coefficients are estimated iteratively.

  • maxiter (integer, optional) – the number of iterations
  • rtol (float, optional) –

    Relative tolerance between estimated coefficients to stop the estimation. Stops if

    max(abs(last - current) / abs(last)) < rtol