statsmodels.tsa.statespace.varmax.VARMAX.transform_params

VARMAX.transform_params(unconstrained)[source]

Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation

Parameters:
unconstrainedarray_like

Array of unconstrained parameters used by the optimizer, to be transformed.

Returns:
constrainedarray_like

Array of constrained parameters which may be used in likelihood evaluation.

Notes

Constrains the factor transition to be stationary and variances to be positive.


Last update: Apr 12, 2024