statsmodels.tsa.innovations.arma_innovations.arma_innovations¶
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statsmodels.tsa.innovations.arma_innovations.
arma_innovations
(endog, ar_params=None, ma_params=None, sigma2=1, normalize=False, prefix=None)[source]¶ Compute innovations using a given ARMA process
Parameters: endog : ndarray
The observed time-series process, may be univariate or multivariate.
ar_params : ndarray, optional
Autoregressive parameters.
ma_params : ndarray, optional
Moving average parameters.
sigma2 : ndarray, optional
The ARMA innovation variance. Default is 1.
normalize : boolean, optional
Whether or not to normalize the returned innovations. Default is False.
prefix : str, optional
The BLAS prefix associated with the datatype. Default is to find the best datatype based on given input. This argument is typically only used internally.
Returns: innovations : ndarray
Innovations (one-step-ahead prediction errors) for the given endog series with predictions based on the given ARMA process. If normalize=True, then the returned innovations have been “whitened” by dividing through by the square root of the mean square error.
innovations_mse : ndarray
Mean square error for the innovations.