6.6.1.2.5. statsmodels.sandbox.panel.correlation_structures.whiten_ar¶

statsmodels.sandbox.panel.correlation_structures.whiten_ar(x, ar_coefs)[source]¶

Whiten a series of columns according to an AR(p) covariance structure.

This drops the initial conditions (Cochran-Orcut ?) Uses loop, so for short ar polynomials only, use lfilter otherwise

This needs to improve, option on method, full additional to conditional

Parameters:

x : array-like, (nobs,) or (nobs, k_vars)

The data to be whitened along axis 0

ar_coefs : array

coefficients of AR lag- polynomial, TODO: ar or ar_coefs?

Returns:

x_new : ndarray

transformed array