6.11.8. statsmodels.sandbox.tsa.varma¶
VAR and VARMA process
this doesn’t actually do much, trying out a version for a time loop
alternative representation: * textbook, different blocks in matrices * Kalman filter * VAR, VARX and ARX could be calculated with signal.lfilter
only tried some examples, not implemented
TODO: try minimizing sum of squares of (Y-Yhat)
- Note: filter has smallest lag at end of array and largest lag at beginning,
- be careful for asymmetric lags coefficients check this again if it is consistently used
changes 2009-09-08 : separated from movstat.py
Author : josefpkt License : BSD