statsmodels.tsa.statespace.varmax.VARMAX.transform_params

method

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 evalation.

Notes

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